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.

中文翻译：

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基准法下目标日期基金的动态资产配置

目标日期基金 (TDF) 在具有长期前景的投资者中越来越受欢迎。示例包括寻求在给定年龄为退休储蓄的退休金基金成员。TDF 为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年龄的增长而动态匹配投资回报的风险状况。这通常是通过随着退休日期的临近而随着时间的推移进行越来越保守的资产分配来实现的。这种用于 TDF 的动态演化分配策略通常被称为滑行路径。我们提出了一种系统方法来设计退休日期和风险偏好所暗示的最佳 TDF 滑行路径，并构建相应的动态资产分配策略，以最小的成本提供最佳的回报。我们提出的 TDF 策略是由增长最优投资组合 (GP) 和无风险资产单位组成的动态投资组合。在这里，GP 通常由多种风险资产的多元化指数来近似。我们以 S&P500 总回报指数的历史回报作为 GP 近似值对 TDF 策略进行了回测。