Target-date funds are designed with some level of investment risk that declines over time as the target retirement date approaches. It is possible to design a safe target-date fund in terms of market risk — although in terms of meeting a target level of wealth at retirement (or income in...

This paper applies the methods of Detemple, Garcia, and Rindisbacher (2003, 2005) and derives explicit optimal lifetime consumption-portfolio plans in an economy whose fixed-income sector is characterized by an N-factor Heath-Jarrow-Morton (1992) model that is Markovian in 3N state variables

We derive the analogue of the classic Arrow-Pratt approximation of the certainty equivalent under model uncertainty as defined by the smooth model of decision making under ambiguity of Klibanoff, Marinacci and Mukerji (2005). We study its scope via a portfolio allocation exercise that delivers a...