3 papers
q-fin.PM2026
A Declining CVaR Glidepath Framework for Target-Date Fund Design with an Application to the Chilean Pension System
Israel Muñoz, Fernando Suárez, Omar Larré +1
We propose a framework for designing Target-Date Funds (TDFs) around an explicit return objective while controlling risk directly at the portfolio level through a declining Conditi…
q-fin.PM2025
Target-Date Funds: A State-of-the-Art Review with Policy Applications to Chile's Pension Reform
Fernando Suárez, José Manuel Peña, Omar Larré
This review paper explores the evolution and implementation of target-date funds (TDFs), specifically focusing on their application within the context of Chile's 2025 pension refor…
q-fin.PM2024
A Modified CTGAN-Plus-Features Based Method for Optimal Asset Allocation
José-Manuel Peña, Fernando Suárez, Omar Larré +2
We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization p…