Summary: We investigate the optimal investment problem of a DC pension fund manager under loss aversion and a limited expectation losses (LEL) constraint. We apply the concavification technique to solve the LEL-constrained problem and derive the closedform representations of the optimal wealth and portfolio processes. Furthermore, we compare the effects of a VaR and a LEL constraint on the optimal investment behavior under prospect theory. Although a LEL constraint can provide a better protection for the investors’ benefits than a VaR constraint in a concave optimization problem since the VaR-based risk management will incur heavier losses than the LEL-based risk management in the worst financial states under a concave utility, in our non-concave optimization problem, theoretical and numerical results show that for a relatively low protection level, a VaR and a LEL constraint induce the same optimal terminal wealth and the same investment behavior, that is to say, there is an equivalence between a LEL and a VaR constraint. Therefore, under a non-concave utility, the LEL-based risk management has lost its advantage over the VaR-based risk management. It needs to design a more efficient risk measure for loss averse investors to improve the risk management for a DC pension plan.