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Optimal Lifetime Asset Allocation with Goals-Based, Lifecycle Glide Paths

Peter Mladina
The Journal of Wealth Management Summer 2016, 19 (1) 10-22; DOI: https://doi.org/10.3905/jwm.2016.19.1.010
Peter Mladina
is director of portfolio research for wealth management at Northern Trust in Los Angeles, CA.
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Abstract

Assets should serve a purpose: to fund a lifetime of financial goals. If assets serve the purpose of funding lifetime goals, it naturally follows that optimal lifetime asset allocation should be goals-based and multi-period, requiring customization according to goals, human capital, and risk preference. Ideally, risk preference is defined intuitively for private investors. We present a dynamic asset allocation method based on an intertemporal capital asset pricing model that incorporates these features to produce a goals-based lifecycle glide path—an asset allocation roadmap that optimally funds lifetime consumption goals while adapting to evolving conditions.

TOPICS: Wealth management, in wealth management

  • © 2016 Pageant Media Ltd
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The Journal of Wealth Management: 19 (1)
The Journal of Wealth Management
Vol. 19, Issue 1
Summer 2016
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Optimal Lifetime Asset Allocation with Goals-Based, Lifecycle Glide Paths
Peter Mladina
The Journal of Wealth Management Apr 2016, 19 (1) 10-22; DOI: 10.3905/jwm.2016.19.1.010

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Optimal Lifetime Asset Allocation with Goals-Based, Lifecycle Glide Paths
Peter Mladina
The Journal of Wealth Management Apr 2016, 19 (1) 10-22; DOI: 10.3905/jwm.2016.19.1.010
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  • Article
    • Abstract
    • GOALS-BASED, LIFECYCLE GLIDE PATH
    • CONSTRUCTION
    • THE SPECIAL CASE OF ACCUMULATION
    • ADAPTIVE TRADE-OFFS
    • EXAMPLES
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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