{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T04:47:52Z","timestamp":1792039672702,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":17,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Sovereign wealth funds and pension funds require portfolio allocation strategies that maximize the probability of reaching target returns without fixed time horizons. Traditional dynamic allocation approaches face time-dependence issues leading to inconsistent allocation rules.&amp;nbsp; \n&lt;div&gt;\n We develop a stationary portfolio optimization framework that maximizes target return probabilities, where portfolio weights depend only on market drivers rather than time, ensuring natural backtestability. Our key contributions include: semi-analytical solutions revealing \"phase transition\" phenomena for short horizons, a stable iterative procedure handling non-convex probability objectives with arbitrary weight constraints, and comprehensive validation through Monte Carlo simulations and historical backtests.&amp;nbsp;\n&lt;\/div&gt;\n&lt;div&gt;\n Performing a backtest for 25 years of GICS sector data, we demonstrate material probability improvements for longer investment horizons, showing that stationary dynamic optimization significantly outperforms natural benchmarks.\n&lt;\/div&gt;<\/jats:p>","DOI":"10.2139\/ssrn.6569179","type":"posted-content","created":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T13:20:10Z","timestamp":1785331210000},"source":"Crossref","is-referenced-by-count":0,"title":["Stationary Portfolio Goal-Based Optimization"],"prefix":"10.2139","author":[{"given":"Alexandre","family":"Antonov","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"ahmed","family":"alqubaisi","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Dmitry","family":"Muravey","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","author":"Antonov ; Alqubaisi","year":"2025","journal-title":"Stationary portfolio construction"},{"key":"ref2","author":"Alqubaisi","year":"2026","journal-title":"Stationary portfolio goalbased optimization"},{"key":"ref3","author":"Alqubaisi","year":"2026","journal-title":"Stationary portfolio goalbased optimization with regime-switching"},{"key":"ref4","author":"Bollerslev","year":"2017","journal-title":"Risk everywhere: Modeling and managing volatility"},{"key":"ref5","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511804441","author":"Vandenberghe ; Boyd","year":"2004","journal-title":"Convex Optimization"},{"key":"ref6","first-page":"269","article-title":"Portfolio choice problems","author":"M W Brandt ; Brandt","year":"2009","journal-title":"Handbook of Financial Econometrics"},{"issue":"8-9","key":"ref7","doi-asserted-by":"crossref","first-page":"1377","DOI":"10.1016\/S0165-1889(97)00031-6","article-title":"Strategic asset allocation","volume":"21","author":"Brennan","year":"1997","journal-title":"Journal of Economic Dynamics and Control"},{"key":"ref8","first-page":"551","article-title":"Reaching goals by a deadline: Digital options and continuous-time active portfolio management","volume":"31","author":"S Browne ; Browne","year":"1999","journal-title":"Foundations of Financial Economics"},{"key":"ref9","doi-asserted-by":"crossref","DOI":"10.1093\/0198296940.001.0001","author":"Viceira ; Campbell","year":"2002","journal-title":"Strategic Asset Allocation: Portfolio Choice for Long-Term Investors"},{"issue":"16","key":"ref10","first-page":"1","article-title":"Goals-based wealth management: A new approach","volume":"3","author":"Das","year":"2018","journal-title":"Journal of Investment Management"},{"issue":"4","key":"ref11","doi-asserted-by":"crossref","first-page":"543","DOI":"10.1287\/opre.51.4.543.16101","article-title":"Worst-case value-at-risk and robust portfolio optimization: A conic programming approach","volume":"51","author":"Ghaoui","year":"2003","journal-title":"Operations Research"},{"issue":"1","key":"ref12","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1093\/rfs\/9.1.141","article-title":"Dynamic nonmyopic portfolio behavior","volume":"9","author":"Omberg ; Kim","year":"1996","journal-title":"The Review of Financial Studies"},{"issue":"2","key":"ref13","doi-asserted-by":"crossref","first-page":"356","DOI":"10.1016\/j.ejor.2013.10.060","article-title":"60 years of portfolio optimization: Practical challenges and current trends","volume":"234","author":"Kolm","year":"2014","journal-title":"European Journal of Operational Research"},{"key":"ref14","doi-asserted-by":"crossref","DOI":"10.1142\/4694","author":"A Lipton ; Lipton","year":"2001","journal-title":"Mathematical Methods for Foreign Exchange: A Financial Engineers Approach"},{"key":"ref15","article-title":"Volatility-managed portfolios","author":"Moreira","year":"2016","journal-title":"Journal of Finance. Forthcoming"},{"issue":"3","key":"ref16","doi-asserted-by":"crossref","first-page":"423","DOI":"10.1111\/j.1467-9965.2009.00378.x","article-title":"Maximizing the growth rate under risk constraints","volume":"19","author":"\u017ditkovi\u0107 ; Pirvu","year":"2009","journal-title":"Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics"},{"key":"ref17","doi-asserted-by":"crossref","first-page":"19","DOI":"10.1007\/s002450010003","article-title":"Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework","volume":"42","author":"Li ; Zhou","year":"2000","journal-title":"Applied Mathematics & Optimization"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T04:24:38Z","timestamp":1792038278000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6569179"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":17,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6569179","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}