A note on a dynamic goal-based wealth management problem

Michel Denault and Jean-Guy Simonato

Finance Research Letters, 2022, vol. 46, issue PB

Abstract: This short note suggests two improvements for solving the goal-based wealth management problem proposed by Das, Ostrov, Radhakrishnan and Srivastav (2020). The first suggestion smoothes and improves the convergence of the approximate solutions towards the underlying, continuous solution either by using analytic solutions at the penultimate time point or by adjusting the wealth grid. The second suggestion pertains to fast matrix products and is purely computational but has a large impact on the time required to solve the problem. We also propose a more consistent approximation for the calculation of the return parameters.

Keywords: Goal-based wealth management; Dynamic asset allocation; Portfolio optimization; Dynamic programming (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004001

DOI: 10.1016/j.frl.2021.102404

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