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.
The glidepath illusion: An international perspective.Journal of Portfolio Management, 40(4):52–64, 2014
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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.