@article {Simonatojpm.2023.1.469, author = {Jean-Guy Simonato}, title = {Maximizing the Probability to Reach the Goal: An Exploration Exercise in Goal-Based Wealth Management}, elocation-id = {jpm.2023.1.469}, year = {2023}, doi = {10.3905/jpm.2023.1.469}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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{\textendash}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{\textendash}variance investor. Compared to a goal-attentive mean{\textendash}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{\textendash}variance investors yield similar results in many cases.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/early/2023/02/06/jpm.2023.1.469}, eprint = {https://jpm.pm-research.com/content/early/2023/02/06/jpm.2023.1.469.full.pdf}, journal = {The Journal of Portfolio Management} }