GoalBasedAllocation

goal-based-allocation provides analytical dynamic mean-variance allocation and terminal-wealth risk under regime-switching jump-diffusions for quantitative researchers and wealth-management model developers.

It solves a two-regime model with exponential jumps at regime transitions and an absorbing wealth floor. Multi-asset mandates are aggregated to one effective risky asset. Monte Carlo is used to validate the analytical Laplace-transform and Riccati calculations, not to implement them.

Start with the wheel-first quickstart, then read the conventions before interpreting a numerical result.

Start here

Allocation workflows

Supporting workflows