Maximizing the Probability to Reach the Goal: An Exploration Exercise in Goal-Based Wealth Management
研究了多期基于目标的财富管理策略，该策略最大化实现财务目标的概率，并与标准及关注目标的均值-方差投资者比较，发现前者在无交易成本时表现更优。
Goal-based wealth management (GBWM) is a portfolio approach in which the investor associates risk with the probability of not attaining a financial goal. Using several datasets, the author examines the performance of a multiperiod GBWM strategy that maximizes the probability of achieving a financial goal. With varying restrictions about leverage and short sales, he compares the goal-based wealth investor with a standard and a goal-attentive mean–variance investor. Without transaction costs, the results suggest that, in terms of goal achievement, a goal-based wealth investor focusing on the probability of reaching a goal does better than a standard mean–variance investor. Compared to a goal-attentive mean–variance investor, the results still favor the goal-based wealth investor but to a lesser extent. With transaction costs, goal-based wealth and goal-attentive mean–variance investors yield similar results in many cases.