Abstract:With the gradually perfecting of China's pension system, in recent years, a performance fee arrangement has been approved as a management incentive measure of DCtype pension management plan to motivate the managers. In order to encourage the managers to make more efforts to work hard in investment perspective, inflation risk factor is added in financial market,and the optimal investment strategy of DCtype pension under the incentive scheme is studied. With regard to dynamic asset portfolio, Ito lemma is used to obtain the dynamics formula of asset portfolio, then, an auxiliary labor capital process is added to the asset portfolio to transform the original problem into an equivalent selffinancing problem, and finally, the optimal investment strategy is derived from the terminal returns and the influence of inflation risk and incentive scheme on the optimal investment strategy is obtained through the numerical analysis. The results show that the optimal investment strategy ratio demonstrates peak-to-valley distribution under the setting of the geometric Brownian movement asset price dynamic state and CRRA utility function.