Optimal investment of DC pension under the inflation and loss aversion

The optimal investment problem of DC pension under the inflation and loss aversion was studied.First， the stochastic differential equation of the real stock price after inflation was discounted by the Ito formula. Then， in the framework of prospect theory， considering the problem of maximizing the expected utility of terminal wealth discounted by inflation at retirement， the explicit solution of the optimal investment strategy of DC pension at any time before retirement was derived by using the martingale method.In the end， the impact of the loss aversion on the optimal investment strategy of DC pension was analyzed using the Monte-Carlo method.