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.
URL https://clapesuc.cl/investigacion/paper-a-u seful-but-painful-risk-management-lesson-from-the-chilean-pension-system
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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.