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The Journal of Wealth Management

The Journal of Wealth Management

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Article

Goal-Based Portfolio Optimization

Franklin J. Parker
The Journal of Wealth Management Winter 2016, 19 (3) 22-30; DOI: https://doi.org/10.3905/jwm.2016.19.3.022
Franklin J. Parker
is the chief investment officer at Bright Wealth Management, LLC, in Dallas, TX.
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Abstract

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.

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The Journal of Wealth Management: 19 (3)
The Journal of Wealth Management
Vol. 19, Issue 3
Winter 2016
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Goal-Based Portfolio Optimization
Franklin J. Parker
The Journal of Wealth Management Oct 2016, 19 (3) 22-30; DOI: 10.3905/jwm.2016.19.3.022

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Goal-Based Portfolio Optimization
Franklin J. Parker
The Journal of Wealth Management Oct 2016, 19 (3) 22-30; DOI: 10.3905/jwm.2016.19.3.022
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  • Article
    • Abstract
    • EVOLUTION OF GOAL-BASED PORTFOLIO OPTIMIZATION
    • A GOAL-NATIVE PORTFOLIO OPTIMIZATION APPROACH
    • PRELIMINARY RESULTS
    • A PRELIMINARY DISCUSSION OF GOALS-BASED UTILITY
    • REMARKS
    • ENDNOTES
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