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class="ds2-5-heading-sans-serif-xs">Uploads</h2></div><div class="documents-container backbone-social-profile-documents" style="width: 100%;"><div class="u-taCenter"></div><div class="profile--tab_content_container js-tab-pane tab-pane active" id="all"><div class="profile--tab_heading_container js-section-heading" data-section="Papers" id="Papers"><h3 class="profile--tab_heading_container">Papers by Anand Radhakrishnan</h3></div><div class="js-work-strip profile--work_container" data-work-id="75954411"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/75954411/A_New_Approach_to_Goals_Based_Wealth_Management"><img alt="Research paper thumbnail of A New Approach to Goals-Based Wealth Management" class="work-thumbnail" src="https://attachments.academia-assets.com/83635155/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/75954411/A_New_Approach_to_Goals_Based_Wealth_Management">A New Approach to Goals-Based Wealth Management</a></div><div class="wp-workCard_item"><span>SSRN Electronic Journal</span><span>, 2018</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood as the probability of investors not attaining their goals, not just the standard deviation of investor's portfolios. Our framework is based on a foundation of developments in behavioral economics and finance and is consistent with modern portfolio theory. Using a simple geometric analysis, we determine a specific portfolio that matches each individual investor's stated goals. Our approach requires information from the investors about their goals, elicited in a clear manner that market research shows is superior to common current practices. This new approach can improve the communication between advisors and clients and produce better advice for enabling clients to attain their goals with high probability through the use of efficient portfolios.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="0c0856abed3e0b8db3b06dc398470707" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":83635155,"asset_id":75954411,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/83635155/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="75954411"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="75954411"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 75954411; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="75954384"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/75954384/Dynamic_optimization_for_multi_goals_wealth_management"><img alt="Research paper thumbnail of Dynamic optimization for multi-goals wealth management" class="work-thumbnail" src="https://attachments.academia-assets.com/83635064/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/75954384/Dynamic_optimization_for_multi_goals_wealth_management">Dynamic optimization for multi-goals wealth management</a></div><div class="wp-workCard_item"><span>Journal of Banking and Finance</span><span>, 2021</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We develop a dynamic programming methodology that seeks to maximize investor outcomes over multip...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We develop a dynamic programming methodology that seeks to maximize investor outcomes over multiple, potentially competing goals (such as upgrading a home, paying college tuition, or maintaining an income stream in retirement), even when financial resources are limited. Unlike Monte Carlo approaches currently in wide use in the wealth management industry, our approach uses investor preferences to dynamically make the optimal determination for fulfilling or not fulfilling each goal and for selecting the investor’s investment portfolio. This can be computed quickly, even for numerous investor goals spread over different or concurrent time periods, where each goal may be all-or-nothing or may allow for partial fulfillment. The probabilities of attaining each (full or partial) goal under the optimal scenario are also computed, so the investor can ensure the algorithm accurately reflects their preference for the relative importance of each of their goals. This approach vastly outperforms...</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="e05da0a46c0f6b00a6542a0a7383f4c4" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":83635064,"asset_id":75954384,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/83635064/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="75954384"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="75954384"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 75954384; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="71031357"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/71031357/Combining_Investment_and_Tax_Strategies_for_Optimizing_Lifetime_Solvency_under_Uncertain_Returns_and_Mortality"><img alt="Research paper thumbnail of Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/71031357/Combining_Investment_and_Tax_Strategies_for_Optimizing_Lifetime_Solvency_under_Uncertain_Returns_and_Mortality">Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality</a></div><div class="wp-workCard_item"><span>SSRN Electronic Journal</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We consider an investor who is looking to maximize their probability of remaining solvent through...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We consider an investor who is looking to maximize their probability of remaining solvent throughout their lifetime by using an algorithm that aims to optimize their investment allocation strategy and optimize their tax strategy for withdrawal allocations between tax deferred accounts (TDAs), Roth accounts, and taxable stock and bond accounts. Our optimization works with stochastic investment returns and stochastic mortality. We find that optimizing the investment strategy (via dynamic programming) has a much larger impact on the investor remaining solvent than optimizing the tax strategy (via Monte Carlo and numerical optimization). This result is key to effectively optimizing both strategies simultaneously. We show that our optimized investment strategy soundly beats a standard target date fund strategy, while our novel optimized tax strategy displays the optimal desired properties suggested by non-stochastic tax optimization research.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031357"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031357"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031357; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=71031357]").text(description); $(".js-view-count[data-work-id=71031357]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 71031357; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='71031357']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); 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</script> <div class="js-work-strip profile--work_container" data-work-id="71031356"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/71031356/Combining_Investment_and_Tax_Strategies_for_Optimizing_Lifetime_Solvency_under_Uncertain_Returns_and_Mortality"><img alt="Research paper thumbnail of Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/71031356/Combining_Investment_and_Tax_Strategies_for_Optimizing_Lifetime_Solvency_under_Uncertain_Returns_and_Mortality">Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality</a></div><div class="wp-workCard_item"><span>Journal of Risk and Financial Management</span><span>, 2021</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This paper considers investors who are looking to maximize their probability of remaining solvent...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This paper considers investors who are looking to maximize their probability of remaining solvent throughout their lifetime by using an algorithm that aims to optimize their investment allocation strategy and optimize their tax strategy for withdrawal allocations between tax deferred accounts (TDAs), Roth accounts, and taxable stock and bond accounts. This optimization works with stochastic investment returns and stochastic mortality, extending and combining different investment and tax-efficiency paradigms. We find that optimizing the investment strategy has a much larger impact on the investor remaining solvent than optimizing the tax strategy. This result is key to effectively optimizing both strategies simultaneously. This optimized investment strategy soundly beats a standard target date fund strategy, and the novel optimized tax strategy displays optimal desired properties suggested by non-stochastic tax optimization research.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031356"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031356"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031356; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); 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</script> <div class="js-work-strip profile--work_container" data-work-id="71031355"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/71031355/Dynamic_Optimization_for_Goals_Based_Wealth_Management_with_Multiple_Goals"><img alt="Research paper thumbnail of Dynamic Optimization for Goals-Based Wealth Management with Multiple Goals" class="work-thumbnail" src="https://attachments.academia-assets.com/80543978/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/71031355/Dynamic_Optimization_for_Goals_Based_Wealth_Management_with_Multiple_Goals">Dynamic Optimization for Goals-Based Wealth Management with Multiple Goals</a></div><div class="wp-workCard_item"><span>SSRN Electronic Journal</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We develop a dynamic programming methodology that seeks to maximize investor outcomes over multip...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We develop a dynamic programming methodology that seeks to maximize investor outcomes over multiple, potentially competing goals (such as upgrading a home, paying college tuition, or maintaining an income stream in retirement), even when financial resources are limited. Unlike Monte Carlo approaches currently in wide use in the wealth management industry, our approach uses investor preferences to dynamically make the optimal determination for fulfilling or not fulfilling each goal and for selecting the investor's investment portfolio. This can be computed quickly, even for numerous investor goals spread over different or concurrent time periods, where each goal may be all-or-nothing or may allow for partial fulfillment. The probabilities of attaining each (full or partial) goal under the optimal scenario are also computed, so the investor can ensure the algorithm accurately reflects their preference for the relative importance of each of their goals. This approach vastly outperforms buy and hold strategies and target-date funds, widely used in the wealth management industry.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="7c4b9d1f7a80dd42bdcd33ab6ba75046" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":80543978,"asset_id":71031355,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/80543978/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031355"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031355"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031355; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="71031353"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/71031353/Dynamic_Portfolio_Allocation_in_Goals_Based_Wealth_Management"><img alt="Research paper thumbnail of Dynamic Portfolio Allocation in Goals-Based Wealth Management" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/71031353/Dynamic_Portfolio_Allocation_in_Goals_Based_Wealth_Management">Dynamic Portfolio Allocation in Goals-Based Wealth Management</a></div><div class="wp-workCard_item"><span>SSRN Electronic Journal</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We report a dynamic programming algorithm which, given a set of efficient (or even inefficient) p...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We report a dynamic programming algorithm which, given a set of efficient (or even inefficient) portfolios, constructs an optimal portfolio trading strategy that maximizes the probability of attaining an investor’s specified target wealth at the end of a designated time horizon. Our algorithm also accommodates periodic infusions or withdrawals of cash with no degradation to the dynamic portfolio’s performance or runtime. We explore the sensitivity of the terminal wealth distribution to restricting the segment of the efficient frontier available to the investor. Since our algorithm’s optimal strategy can be on the efficient frontier and is driven by an investor’s wealth and goals, it soundly beats the performance of target date funds in attaining investors’ goals. These optimal goals-based wealth management strategies are useful for independent financial advisors to implement behavioral-based FinTech offerings and for robo-advisors.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031353"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031353"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031353; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=71031353]").text(description); $(".js-view-count[data-work-id=71031353]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 71031353; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='71031353']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=71031353]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":71031353,"title":"Dynamic Portfolio Allocation in Goals-Based Wealth Management","internal_url":"https://www.academia.edu/71031353/Dynamic_Portfolio_Allocation_in_Goals_Based_Wealth_Management","owner_id":69636103,"coauthors_can_edit":true,"owner":{"id":69636103,"first_name":"Anand","middle_initials":null,"last_name":"Radhakrishnan","page_name":"AnandRadhakrishnan4","domain_name":"independent","created_at":"2017-10-13T07:52:08.174-07:00","display_name":"Anand Radhakrishnan","url":"https://independent.academia.edu/AnandRadhakrishnan4"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="71031322"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/71031322/Optimal_Goals_Based_Investment_Strategies_for_Switching_between_Bull_and_Bear_Markets"><img alt="Research paper thumbnail of Optimal Goals-Based Investment Strategies for Switching between Bull and Bear Markets" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/71031322/Optimal_Goals_Based_Investment_Strategies_for_Switching_between_Bull_and_Bear_Markets">Optimal Goals-Based Investment Strategies for Switching between Bull and Bear Markets</a></div><div class="wp-workCard_item"><span>The Journal of Wealth Management</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We apply dynamic programming to solve a long-horizon fund choice problem, given that the underlyi...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We apply dynamic programming to solve a long-horizon fund choice problem, given that the underlying market can switch between different regimes. The objective function is based on reaching a target level of wealth, following the paradigm of goal-based investing. In a world with a good regime (e.g., a bull market) and a bad regime (e.g., a bear market), we find that an investor who is cognizant of regime switching can potentially do much better over time than an investor who assumes there is only one regime. However, there is a caveat---an investor must be able to predict the regime they are in with reasonable levels of confidence, and if not, they are in fact worse off than an investor who assumes just one regime. Using data from recent history, we find that investors may be better off not switching from existing single-regime models to more complex multiple-regime models.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031322"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031322"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031322; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=71031322]").text(description); $(".js-view-count[data-work-id=71031322]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 71031322; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='71031322']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=71031322]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":71031322,"title":"Optimal Goals-Based Investment Strategies for Switching between Bull and Bear Markets","internal_url":"https://www.academia.edu/71031322/Optimal_Goals_Based_Investment_Strategies_for_Switching_between_Bull_and_Bear_Markets","owner_id":69636103,"coauthors_can_edit":true,"owner":{"id":69636103,"first_name":"Anand","middle_initials":null,"last_name":"Radhakrishnan","page_name":"AnandRadhakrishnan4","domain_name":"independent","created_at":"2017-10-13T07:52:08.174-07:00","display_name":"Anand Radhakrishnan","url":"https://independent.academia.edu/AnandRadhakrishnan4"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="71030960"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/71030960/A_New_Approach_to_Goals_Based_Wealth_Management"><img alt="Research paper thumbnail of A New Approach to Goals-Based Wealth Management" class="work-thumbnail" src="https://attachments.academia-assets.com/80543660/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/71030960/A_New_Approach_to_Goals_Based_Wealth_Management">A New Approach to Goals-Based Wealth Management</a></div><div class="wp-workCard_item"><span>Journal of Investment Management</span><span>, 2018</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood as the probability of investors not attaining their goals, not just the standard deviation of investors' portfolios. Our framework is based on a foundation of developments in behavioral economics and finance and is consistent with modern portfolio theory. Using a simple geometric analysis, we determine a specific portfolio that matches each individual investor's stated goals. Our approach requires information from the investor about their goals, elicited in a clear manner that market research shows is superior to common current practices. This new approach can improve the communication between advisors and clients and produce better advice for enabling clients to attain their goals with high probability through the use of efficient portfolios.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="8965bc9421cbec78fa206167e1a03f1a" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":80543660,"asset_id":71030960,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/80543660/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71030960"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71030960"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71030960; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> </div><div class="profile--tab_content_container js-tab-pane tab-pane" data-section-id="13973448" id="papers"><div class="js-work-strip profile--work_container" data-work-id="75954411"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/75954411/A_New_Approach_to_Goals_Based_Wealth_Management"><img alt="Research paper thumbnail of A New Approach to Goals-Based Wealth Management" class="work-thumbnail" src="https://attachments.academia-assets.com/83635155/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/75954411/A_New_Approach_to_Goals_Based_Wealth_Management">A New Approach to Goals-Based Wealth Management</a></div><div class="wp-workCard_item"><span>SSRN Electronic Journal</span><span>, 2018</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood as the probability of investors not attaining their goals, not just the standard deviation of investor's portfolios. Our framework is based on a foundation of developments in behavioral economics and finance and is consistent with modern portfolio theory. Using a simple geometric analysis, we determine a specific portfolio that matches each individual investor's stated goals. Our approach requires information from the investors about their goals, elicited in a clear manner that market research shows is superior to common current practices. This new approach can improve the communication between advisors and clients and produce better advice for enabling clients to attain their goals with high probability through the use of efficient portfolios.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="0c0856abed3e0b8db3b06dc398470707" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":83635155,"asset_id":75954411,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/83635155/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="75954411"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="75954411"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 75954411; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="75954384"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/75954384/Dynamic_optimization_for_multi_goals_wealth_management"><img alt="Research paper thumbnail of Dynamic optimization for multi-goals wealth management" class="work-thumbnail" src="https://attachments.academia-assets.com/83635064/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/75954384/Dynamic_optimization_for_multi_goals_wealth_management">Dynamic optimization for multi-goals wealth management</a></div><div class="wp-workCard_item"><span>Journal of Banking and Finance</span><span>, 2021</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We develop a dynamic programming methodology that seeks to maximize investor outcomes over multip...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We develop a dynamic programming methodology that seeks to maximize investor outcomes over multiple, potentially competing goals (such as upgrading a home, paying college tuition, or maintaining an income stream in retirement), even when financial resources are limited. Unlike Monte Carlo approaches currently in wide use in the wealth management industry, our approach uses investor preferences to dynamically make the optimal determination for fulfilling or not fulfilling each goal and for selecting the investor’s investment portfolio. This can be computed quickly, even for numerous investor goals spread over different or concurrent time periods, where each goal may be all-or-nothing or may allow for partial fulfillment. The probabilities of attaining each (full or partial) goal under the optimal scenario are also computed, so the investor can ensure the algorithm accurately reflects their preference for the relative importance of each of their goals. This approach vastly outperforms...</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="e05da0a46c0f6b00a6542a0a7383f4c4" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":83635064,"asset_id":75954384,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/83635064/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="75954384"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="75954384"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 75954384; 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Our optimization works with stochastic investment returns and stochastic mortality. We find that optimizing the investment strategy (via dynamic programming) has a much larger impact on the investor remaining solvent than optimizing the tax strategy (via Monte Carlo and numerical optimization). This result is key to effectively optimizing both strategies simultaneously. We show that our optimized investment strategy soundly beats a standard target date fund strategy, while our novel optimized tax strategy displays the optimal desired properties suggested by non-stochastic tax optimization research.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031357"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031357"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031357; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); 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</script> <div class="js-work-strip profile--work_container" data-work-id="71031356"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/71031356/Combining_Investment_and_Tax_Strategies_for_Optimizing_Lifetime_Solvency_under_Uncertain_Returns_and_Mortality"><img alt="Research paper thumbnail of Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/71031356/Combining_Investment_and_Tax_Strategies_for_Optimizing_Lifetime_Solvency_under_Uncertain_Returns_and_Mortality">Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality</a></div><div class="wp-workCard_item"><span>Journal of Risk and Financial Management</span><span>, 2021</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">This paper considers investors who are looking to maximize their probability of remaining solvent...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">This paper considers investors who are looking to maximize their probability of remaining solvent throughout their lifetime by using an algorithm that aims to optimize their investment allocation strategy and optimize their tax strategy for withdrawal allocations between tax deferred accounts (TDAs), Roth accounts, and taxable stock and bond accounts. This optimization works with stochastic investment returns and stochastic mortality, extending and combining different investment and tax-efficiency paradigms. We find that optimizing the investment strategy has a much larger impact on the investor remaining solvent than optimizing the tax strategy. This result is key to effectively optimizing both strategies simultaneously. This optimized investment strategy soundly beats a standard target date fund strategy, and the novel optimized tax strategy displays optimal desired properties suggested by non-stochastic tax optimization research.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031356"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031356"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031356; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); 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</script> <div class="js-work-strip profile--work_container" data-work-id="71031355"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/71031355/Dynamic_Optimization_for_Goals_Based_Wealth_Management_with_Multiple_Goals"><img alt="Research paper thumbnail of Dynamic Optimization for Goals-Based Wealth Management with Multiple Goals" class="work-thumbnail" src="https://attachments.academia-assets.com/80543978/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/71031355/Dynamic_Optimization_for_Goals_Based_Wealth_Management_with_Multiple_Goals">Dynamic Optimization for Goals-Based Wealth Management with Multiple Goals</a></div><div class="wp-workCard_item"><span>SSRN Electronic Journal</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We develop a dynamic programming methodology that seeks to maximize investor outcomes over multip...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We develop a dynamic programming methodology that seeks to maximize investor outcomes over multiple, potentially competing goals (such as upgrading a home, paying college tuition, or maintaining an income stream in retirement), even when financial resources are limited. Unlike Monte Carlo approaches currently in wide use in the wealth management industry, our approach uses investor preferences to dynamically make the optimal determination for fulfilling or not fulfilling each goal and for selecting the investor's investment portfolio. This can be computed quickly, even for numerous investor goals spread over different or concurrent time periods, where each goal may be all-or-nothing or may allow for partial fulfillment. The probabilities of attaining each (full or partial) goal under the optimal scenario are also computed, so the investor can ensure the algorithm accurately reflects their preference for the relative importance of each of their goals. This approach vastly outperforms buy and hold strategies and target-date funds, widely used in the wealth management industry.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="7c4b9d1f7a80dd42bdcd33ab6ba75046" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":80543978,"asset_id":71031355,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/80543978/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031355"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031355"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031355; 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$(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="71031353"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/71031353/Dynamic_Portfolio_Allocation_in_Goals_Based_Wealth_Management"><img alt="Research paper thumbnail of Dynamic Portfolio Allocation in Goals-Based Wealth Management" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/71031353/Dynamic_Portfolio_Allocation_in_Goals_Based_Wealth_Management">Dynamic Portfolio Allocation in Goals-Based Wealth Management</a></div><div class="wp-workCard_item"><span>SSRN Electronic Journal</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We report a dynamic programming algorithm which, given a set of efficient (or even inefficient) p...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We report a dynamic programming algorithm which, given a set of efficient (or even inefficient) portfolios, constructs an optimal portfolio trading strategy that maximizes the probability of attaining an investor’s specified target wealth at the end of a designated time horizon. Our algorithm also accommodates periodic infusions or withdrawals of cash with no degradation to the dynamic portfolio’s performance or runtime. We explore the sensitivity of the terminal wealth distribution to restricting the segment of the efficient frontier available to the investor. Since our algorithm’s optimal strategy can be on the efficient frontier and is driven by an investor’s wealth and goals, it soundly beats the performance of target date funds in attaining investors’ goals. These optimal goals-based wealth management strategies are useful for independent financial advisors to implement behavioral-based FinTech offerings and for robo-advisors.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031353"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031353"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031353; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=71031353]").text(description); $(".js-view-count[data-work-id=71031353]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 71031353; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='71031353']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=71031353]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":71031353,"title":"Dynamic Portfolio Allocation in Goals-Based Wealth Management","internal_url":"https://www.academia.edu/71031353/Dynamic_Portfolio_Allocation_in_Goals_Based_Wealth_Management","owner_id":69636103,"coauthors_can_edit":true,"owner":{"id":69636103,"first_name":"Anand","middle_initials":null,"last_name":"Radhakrishnan","page_name":"AnandRadhakrishnan4","domain_name":"independent","created_at":"2017-10-13T07:52:08.174-07:00","display_name":"Anand Radhakrishnan","url":"https://independent.academia.edu/AnandRadhakrishnan4"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="71031322"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" rel="nofollow" href="https://www.academia.edu/71031322/Optimal_Goals_Based_Investment_Strategies_for_Switching_between_Bull_and_Bear_Markets"><img alt="Research paper thumbnail of Optimal Goals-Based Investment Strategies for Switching between Bull and Bear Markets" class="work-thumbnail" src="https://a.academia-assets.com/images/blank-paper.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" rel="nofollow" href="https://www.academia.edu/71031322/Optimal_Goals_Based_Investment_Strategies_for_Switching_between_Bull_and_Bear_Markets">Optimal Goals-Based Investment Strategies for Switching between Bull and Bear Markets</a></div><div class="wp-workCard_item"><span>The Journal of Wealth Management</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We apply dynamic programming to solve a long-horizon fund choice problem, given that the underlyi...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We apply dynamic programming to solve a long-horizon fund choice problem, given that the underlying market can switch between different regimes. The objective function is based on reaching a target level of wealth, following the paradigm of goal-based investing. In a world with a good regime (e.g., a bull market) and a bad regime (e.g., a bear market), we find that an investor who is cognizant of regime switching can potentially do much better over time than an investor who assumes there is only one regime. However, there is a caveat---an investor must be able to predict the regime they are in with reasonable levels of confidence, and if not, they are in fact worse off than an investor who assumes just one regime. Using data from recent history, we find that investors may be better off not switching from existing single-regime models to more complex multiple-regime models.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71031322"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71031322"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71031322; window.Academia.workViewCountsFetcher.queue(workId, function (count) { var description = window.$h.commaizeInt(count) + " " + window.$h.pluralize(count, 'View'); $(".js-view-count[data-work-id=71031322]").text(description); $(".js-view-count[data-work-id=71031322]").attr('title', description).tooltip(); }); });</script></span></span><span><span class="percentile-widget hidden"><span class="u-mr2x work-percentile"></span></span><script>$(function () { var workId = 71031322; window.Academia.workPercentilesFetcher.queue(workId, function (percentileText) { var container = $(".js-work-strip[data-work-id='71031322']"); container.find('.work-percentile').text(percentileText.charAt(0).toUpperCase() + percentileText.slice(1)); container.find('.percentile-widget').show(); container.find('.percentile-widget').removeClass('hidden'); }); });</script></span></div><div id="work-strip-premium-row-container"></div></div></div><script> require.config({ waitSeconds: 90 })(["https://a.academia-assets.com/assets/wow_profile-a9bf3a2bc8c89fa2a77156577594264ee8a0f214d74241bc0fcd3f69f8d107ac.js","https://a.academia-assets.com/assets/work_edit-ad038b8c047c1a8d4fa01b402d530ff93c45fee2137a149a4a5398bc8ad67560.js"], function() { // from javascript_helper.rb var dispatcherData = {} if (false){ window.WowProfile.dispatcher = window.WowProfile.dispatcher || _.clone(Backbone.Events); dispatcherData = { dispatcher: window.WowProfile.dispatcher, downloadLinkId: "-1" } } $('.js-work-strip[data-work-id=71031322]').each(function() { if (!$(this).data('initialized')) { new WowProfile.WorkStripView({ el: this, workJSON: {"id":71031322,"title":"Optimal Goals-Based Investment Strategies for Switching between Bull and Bear Markets","internal_url":"https://www.academia.edu/71031322/Optimal_Goals_Based_Investment_Strategies_for_Switching_between_Bull_and_Bear_Markets","owner_id":69636103,"coauthors_can_edit":true,"owner":{"id":69636103,"first_name":"Anand","middle_initials":null,"last_name":"Radhakrishnan","page_name":"AnandRadhakrishnan4","domain_name":"independent","created_at":"2017-10-13T07:52:08.174-07:00","display_name":"Anand Radhakrishnan","url":"https://independent.academia.edu/AnandRadhakrishnan4"},"attachments":[]}, dispatcherData: dispatcherData }); $(this).data('initialized', true); } }); $a.trackClickSource(".js-work-strip-work-link", "profile_work_strip") }); </script> <div class="js-work-strip profile--work_container" data-work-id="71030960"><div class="profile--work_thumbnail hidden-xs"><a class="js-work-strip-work-link" data-click-track="profile-work-strip-thumbnail" href="https://www.academia.edu/71030960/A_New_Approach_to_Goals_Based_Wealth_Management"><img alt="Research paper thumbnail of A New Approach to Goals-Based Wealth Management" class="work-thumbnail" src="https://attachments.academia-assets.com/80543660/thumbnails/1.jpg" /></a></div><div class="wp-workCard wp-workCard_itemContainer"><div class="wp-workCard_item wp-workCard--title"><a class="js-work-strip-work-link text-gray-darker" data-click-track="profile-work-strip-title" href="https://www.academia.edu/71030960/A_New_Approach_to_Goals_Based_Wealth_Management">A New Approach to Goals-Based Wealth Management</a></div><div class="wp-workCard_item"><span>Journal of Investment Management</span><span>, 2018</span></div><div class="wp-workCard_item"><span class="js-work-more-abstract-truncated">We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood...</span><a class="js-work-more-abstract" data-broccoli-component="work_strip.more_abstract" data-click-track="profile-work-strip-more-abstract" href="javascript:;"><span> more </span><span><i class="fa fa-caret-down"></i></span></a><span class="js-work-more-abstract-untruncated hidden">We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood as the probability of investors not attaining their goals, not just the standard deviation of investors' portfolios. Our framework is based on a foundation of developments in behavioral economics and finance and is consistent with modern portfolio theory. Using a simple geometric analysis, we determine a specific portfolio that matches each individual investor's stated goals. Our approach requires information from the investor about their goals, elicited in a clear manner that market research shows is superior to common current practices. This new approach can improve the communication between advisors and clients and produce better advice for enabling clients to attain their goals with high probability through the use of efficient portfolios.</span></div><div class="wp-workCard_item wp-workCard--actions"><span class="work-strip-bookmark-button-container"></span><a id="8965bc9421cbec78fa206167e1a03f1a" class="wp-workCard--action" rel="nofollow" data-click-track="profile-work-strip-download" data-download="{"attachment_id":80543660,"asset_id":71030960,"asset_type":"Work","button_location":"profile"}" href="https://www.academia.edu/attachments/80543660/download_file?s=profile"><span><i class="fa fa-arrow-down"></i></span><span>Download</span></a><span class="wp-workCard--action visible-if-viewed-by-owner inline-block" style="display: none;"><span class="js-profile-work-strip-edit-button-wrapper profile-work-strip-edit-button-wrapper" data-work-id="71030960"><a class="js-profile-work-strip-edit-button" tabindex="0"><span><i class="fa fa-pencil"></i></span><span>Edit</span></a></span></span></div><div class="wp-workCard_item wp-workCard--stats"><span><span><span class="js-view-count view-count u-mr2x" data-work-id="71030960"><i class="fa fa-spinner fa-spin"></i></span><script>$(function () { var workId = 71030960; 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