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.

目标日期基金（TDF）在具有长期前景的投资者中正成为越来越受欢迎的投资选择。例子包括退休金基金成员寻求在给定年龄的退休储蓄。TDF向各种资产类别提供有效的风险敞口，这些资产类别随着投资者的年龄增长而动态地匹配投资收益的风险状况。通常，随着退休日期的临近，随着时间的推移，资产分配会越来越保守，通常可以实现这一目标。TDF的这种动态演变的分配策略通常称为滑行路径。我们提出了一种设计退休时间和风险偏好所隐含的最佳TDF滑行路径的系统方法，并构建了相应的动态资产分配策略，以最小的成本实现了最佳的收益。我们提出的TDF策略是动态投资组合，由增长最优投资组合（GP）和无风险资产组成。在这里，GP通常由多种风险资产的多元化指数来近似。我们使用S＆P500总回报指数的历史回报作为GP近似值来回溯TDF策略。