%0 Journal Article %A Hungjen Wang %A Anil Suri %A David Laster %A Himanshu Almadi %T Portfolio Selection in Goals-Based Wealth
Management %D 2011 %R 10.3905/jwm.2011.14.1.055 %J The Journal of Wealth Management %P 55-65 %V 14 %N 1 %X The authors propose an incremental step toward combining the insights of modern portfolio theory with some of the propensities documented in the literature on behavioral finance. They develop a goals-based wealth management approach that finds a specific subportfolio to address each of an investor’s goals and then derive the least-cost solution. They relate the closed-form solution for the one-period, two-asset problem to the mean–variance efficient frontier. Consistent with the “lockbox separation”concept proposed by Sharpe, they demonstrate that a multiperiod goal, such as a retirement plan, can be viewed as a collection of single-period problems. Next, they extend their result to a market with many assets, where portfolios are exogenously given. Finally, they illustrate the approach with a case study with multiple asset classes and multiperiod goals.TOPICS: Portfolio theory, in wealth management %U https://jwm.pm-research.com/content/iijwealthmgmt/14/1/55.full.pdf