Proposes a declining CVaR glidepath framework for target-date funds that links portfolio risk constraints to exogenous return targets derived from pension parameters and applies it to the Chilean system.
Practical and robust glide path design for multi-asset Target Date Funds.The Journal of Retirement, 13(3): 66–80, October 2025
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A Declining CVaR Glidepath Framework for Target-Date Fund Design with an Application to the Chilean Pension System
Proposes a declining CVaR glidepath framework for target-date funds that links portfolio risk constraints to exogenous return targets derived from pension parameters and applies it to the Chilean system.