An Optimizing Framework for the Glide Paths of Lifecycle Asset Allocation Funds

Wade Pfau

No 09-16, GRIPS Discussion Papers from National Graduate Institute for Policy Studies

Abstract: In choosing a glide path strategy for asset allocation over their working lives, retirement savers face a tradeoff between the higher expected wealth provided by strategies that maintain or increase equity holdings over time, against the greater potential security offered from shifting into more conservative assets. We quantify this tradeoff with an expected utility framework for our simulated distribution of target date wealth accumulations under a variety of lifecycle, fixed, and contrarian glide path strategies. We find justification for the lifecycle strategy for savers with very reasonable amounts of risk aversion, and we also provide guidance about utility-maximizing glide paths.

Keywords: lifecycle; target date; retirement planning; glide paths (search for similar items in EconPapers)
JEL-codes: D14 D81 G11 G23 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2009-10
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://grips.repo.nii.ac.jp/?action=repository_ac ... bute_id=20&file_no=1 (application/pdf)

Related works:
Journal Article: An optimizing framework for the glide paths of life cycle asset allocation funds (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ngi:dpaper:09-16

Access Statistics for this paper

More papers in GRIPS Discussion Papers from National Graduate Institute for Policy Studies Contact information at EDIRC.
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).