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.
Are target date funds dinosaurs? Failure to adapt can lead to extinction
1 Pith paper cite this work. Polarity classification is still indexing.
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Pith paper citing it
abstract
Investors in Target Date Funds are automatically switched from high risk to low risk assets as their retirements approach. Such funds have become very popular, but our analysis brings into question the rationale for them. Based on both a model with parameters fitted to historical returns and on bootstrap resampling, we find that adaptive investment strategies significantly outperform typical Target Date Fund strategies. This suggests that the vast majority of Target Date Funds are serving investors poorly.
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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.