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Optimal Goals-Based Investment Strategies for Switching Between Bull and Bear Markets

Sanjiv R. Das, Daniel Ostrov, Aviva Casanova, Anand Radhakrishnan and Deep Srivastav
The Journal of Wealth Management Spring 2022, jwm.2021.1.161; DOI: https://doi.org/10.3905/jwm.2021.1.161
Sanjiv R. Das
is Professor of Finance and Data Science at Santa Clara University, Santa Clara, CA
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Daniel Ostrov
is Professor of Mathematics at Santa Clara University, Santa Clara, CA
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Aviva Casanova
is Lead Business Enablement Partner, Client Analytics at Franklin Templeton, San Mateo, CA
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Anand Radhakrishnan
is Director, Strategy and Analytics at Franklin Templeton, San Mateo, CA
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Deep Srivastav
is SVP, Head of Digital Solutions at Franklin Templeton, San Mateo, CA
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Abstract

We solve a dynamic, long-horizon, goals-based wealth management problem, given different investment regimes. In a world with a good regime (bull market) and a bad regime (bear market), an investor who is cognizant that regime switching occurs has the potential to do better than an investor who assumes only one regime. However, models with more than one regime incur the additional risk of regime uncertainty. Investors must be able to predict which regime is governing the market with reasonable levels of confidence, or they can be worse off than investors who assume just one regime. Using data from recent history, we develop a framework that determines how accurate regime prediction needs to be to achieve gains from a regime-cognizant goals-based investing approach.

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The Journal of Wealth Management: 25 (1)
The Journal of Wealth Management
Vol. 25, Issue 1
Summer 2022
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Optimal Goals-Based Investment Strategies for Switching Between Bull and Bear Markets
Sanjiv R. Das, Daniel Ostrov, Aviva Casanova, Anand Radhakrishnan, Deep Srivastav
The Journal of Wealth Management Nov 2021, jwm.2021.1.161; DOI: 10.3905/jwm.2021.1.161

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Optimal Goals-Based Investment Strategies for Switching Between Bull and Bear Markets
Sanjiv R. Das, Daniel Ostrov, Aviva Casanova, Anand Radhakrishnan, Deep Srivastav
The Journal of Wealth Management Nov 2021, jwm.2021.1.161; DOI: 10.3905/jwm.2021.1.161
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    • RISK REGIMES
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