Goal Based Investment Management
We develop a continuous time framework for goals-based investing, where the objective is to maximize the expected weighted fundedness of client’s goals. Our analysis highlights the fundamental tradeoff between immediate goal consumption versus saving towards future goal liabilities. We show that it is optimal to fund an expiring goal up to the level where the marginal benefit of additional fundedness is exceeded by the marginal opportunity cost of subtracting wealth from future goals. Our comparative statics analysis reveals that the risk of the portfolio decreases if a goal has an approaching deadline, or a high priority relative to future goals.
Agostino Capponi is an Associate Professor in the IEOR Department at Columbia University, where he is also the founding director of the Columbia Center for Digital Finance and Technology.. His current research interests are in financial technology, market microstructure, systemic and liquidity risk, and economic networks. Agostino’s research has been funded by major agencies, including NSF, DARPA, DOE, IBM, GRI, INET, Ripple, and the Ethereum foundation. His research has been recognized with the 2018 NSF CAREER award, and with a JP Morgan AI Research Faculty award. His research has also been covered by various media outlets, including Bloomberg, the Financial Times, Vox, and the Oxford Business Law.
Agostino is a fellow of the crypto and blockchain economics research forum, and an academic fellow of Alibaba’s Luohan academy. He serves as an editor of Management Science in the Finance Department, co-editor of Mathematics and Financial Economics, and area editor of Operations Research Letters. He also serves as an associate editor of major journals in his field, including Operations Research, the SIAM Journal on Financial Mathematics, Finance and Stochastics, and Stochastic Systems.
Agostino is the former Chair of the SIAG/FME Activity Group and of the INFORMS Finance Section, and is currently a member of the Council of the Bachelier Finance Society.