RT Journal Article
SR Electronic
T1 Goal-Based Portfolio Optimization
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 22
OP 30
DO 10.3905/jwm.2016.19.3.022
VO 19
IS 3
A1 Franklin J. Parker
YR 2016
UL https://pm-research.com/content/19/3/22.abstract
AB The article presents a goal-based portfolio optimization approach that is truly native to the goal-based environment. It begins by redefining risk as the probability of failing to attain a specified goal and redefining reward as the excess wealth over and above what is required by the goal. It then presents an optimization procedure that seeks to minimize goal failure and maximize excess return. In preliminary tests, it finds that this goal-based procedure lowers the probability of failing to achieve a specified goal while delivering higher excess wealth than the procedures currently available.TOPICS: Portfolio construction, wealth management, performance measurement