Glide Path and Dynamic Asset Allocation of Target Date Funds

2009 ◽  
Author(s):  
Youngjun Yoon
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Glide Path ◽  
Target Date ◽  
Target Date Funds

DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH

2021 ◽  
pp. 1-26
Author(s):  
Jin Sun ◽  
Dan Zhu ◽  
Eckhard Platen
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Growth Optimal Portfolio ◽  
Risky Assets ◽  
Target Date ◽  
Target Date Funds ◽  
Asset Allocations ◽  
Investment Choices ◽  
Glide Paths

ABSTRACT Target date funds (TDFs) are becoming increasingly popular investment choices among investors with long-term prospects. Examples include members of superannuation funds seeking to save for retirement at a given age. TDFs provide efficient risk exposures to a diversified range of asset classes that dynamically match the risk profile of the investment payoff as the investors age. This is often achieved by making increasingly conservative asset allocations over time as the retirement date approaches. Such dynamically evolving allocation strategies for TDFs are often referred to as glide paths. We propose a systematic approach to the design of optimal TDF glide paths implied by retirement dates and risk preferences and construct the corresponding dynamic asset allocation strategy that delivers the optimal payoffs at minimal costs. The TDF strategies we propose are dynamic portfolios consisting of units of the growth-optimal portfolio (GP) and the risk-free asset. Here, the GP is often approximated by a well-diversified index of multiple risky assets. We backtest the TDF strategies with the historical returns of the S&P500 total return index serving as the GP approximation.

Glide Paths Based on a Retirement Goal and Depleting Human Capital

2019 ◽  
Keyword(s):  
Human Capital ◽  
Life Cycle ◽  
Asset Allocation ◽  
Retirement Planning ◽  
Retirement Savings ◽  
Financial Assets ◽  
Dynamic Asset Allocation ◽  
Glide Path ◽  
Input Variables ◽  
Glide Paths

The retirement goals of many Americans are underfunded. The problem is compounded by the complexity of self-managing distribution portfolios, particularly as DC plans replace DB plans. We believe most retirement glide paths are satisfactory but suboptimal solutions. We introduce a glide path of financial assets over the life cycle based on a retirement goal and depleting human capital. The method is anchored to the foundational principles of intertemporal portfolio theory while borrowing heavily from goals-based asset allocation. The result is a dynamic asset allocation over the life cycle that is a function of critical input variables relevant to retirement planning such as retirement savings, retirement consumption and risk aversion. The glide path can be customized to individuals, or semi-customized to discrete subpopulations of DC plan participants.

Dynamic Asset Allocation

1987 ◽  
Vol 1987 (1) ◽  
pp. 82-85, 93
Author(s):  
H. Gifford Fong
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation

Dynamic Asset Allocation for Stocks, Bonds, and Cash

CFA Digest ◽  
2004 ◽  
Vol 34 (1) ◽  
pp. 69-70
Author(s):  
Brian A. Maris
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation
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