{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T04:48:31Z","timestamp":1792039711417,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":10,"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:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<div>\n &nbsp; &nbsp; &nbsp;We formulate and solve a stationary goal-based portfolio optimization problem under regime-switching market drivers. Portfolio weights depend only on the current regime, so the weight and return processes are strictly stationary; ergodicity then aligns the along-path frequency with which a target return is attained with the model-implied utility, turning historical backtests into direct empirical estimators of the objective-an identity that time-dependent frameworks lack.&nbsp;\n<\/div>\n<div>\n <br>\n<\/div>\n<div>\n &nbsp; &nbsp; &nbsp; Analytically, the utility reduces in closed form to a low-dimensional integral over regime occupation times, yielding a two-level optimization scheme whose complexity scales with the number of regimes rather than the number of assets. The inner sub-problem admits a non-convex hard-equality form and a convex soft-inequality relaxation; a sign-analysis criterion in the target rate r characterises when a plain convex QP suffices in place of the DCCP fallback. Empirically, in a proof-of-concept long-only setting on 25 years of GICS-sector returns, the regime-conditional strategy exceeds the passive S&amp;P 500 baseline by 15-40% of goal-reaching probability at multi-year horizons and aggressive targets, 2\u03c3-significant under paired Monte-Carlo standard errors derived in closed form; a state-blind single-regime collapse captures only part of the lift, isolating regime conditioning as the source of the gain. The unconstrained optimum is intrinsically concentrated-Browne's phenomenon for probability-of-reaching utilities-and a trackingand-turnover-bounded Hedged variant recovers most of the gain in an institutionally tradable form. Analytical robustness bounds indicate that the headline magnitudes survive natural perturbations of the VIX thresholds, calibration windows, and sample length.\n<\/div><\/jats:p>","DOI":"10.2139\/ssrn.7543459","type":"posted-content","created":{"date-parts":[[2026,10,1]],"date-time":"2026-10-01T09:42:37Z","timestamp":1790847757000},"source":"Crossref","is-referenced-by-count":0,"title":["Stationary Portfolio Goal-based Optimization with Regime-switching"],"prefix":"10.2139","author":[{"given":"Ahmed","family":"Alqubaisi","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0009-0002-6272-7224","authenticated-orcid":true,"given":"Alexandre","family":"Antonov","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":"Alqubaisi","year":"2026","journal-title":"Stationary portfolio goal-based optimization"},{"key":"ref2","first-page":"13","article-title":"Deep reinforcement learning for goal-based investing under regime-switching","volume":"233","author":"Bauman","year":"2024","journal-title":"Proceedings of the 5th Northern Lights Deep Learning Conference (NLDL)"},{"issue":"3","key":"ref3","doi-asserted-by":"crossref","first-page":"337","DOI":"10.1007\/s002459900110","article-title":"Risk-sensitive dynamic asset management","volume":"39","author":"Pliska ; Bielecki","year":"1999","journal-title":"Applied Mathematics & Optimization"},{"key":"ref4","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":"ref5","doi-asserted-by":"crossref","first-page":"95","DOI":"10.1007\/BF00532537","article-title":"Markov additive processes. II","volume":"24","author":"E","year":"1972","journal-title":"Zeitschrift f\u00fcr Wahrscheinlichkeitstheorie und Verwandte Gebiete"},{"key":"ref6","doi-asserted-by":"crossref","first-page":"83","DOI":"10.1080\/14697688.2017.1342857","article-title":"Dynamic portfolio optimization across hidden market regimes","volume":"18","author":"Nystrup","year":"2016","journal-title":"Quantitative Finance"},{"issue":"5","key":"ref7","first-page":"445","article-title":"Optimizing the terminal wealth under partial information: The case of bounded portfolio positions","volume":"15","author":"J Sass And Haussmann ; Sass","year":"2004","journal-title":"Integral Transforms and Special Functions"},{"issue":"1-2","key":"ref8","doi-asserted-by":"crossref","first-page":"395","DOI":"10.1016\/S0378-4371(96)00271-3","article-title":"Generalized simulated annealing","volume":"233","author":"Tsallis","year":"1996","journal-title":"Physica A"},{"issue":"3","key":"ref9","doi-asserted-by":"crossref","first-page":"216","DOI":"10.1016\/S0375-9601(97)00474-X","article-title":"Generalized simulated annealing algorithm and its application to the Thomson model","volume":"233","author":"Xiang","year":"1997","journal-title":"Physics Letters A"},{"issue":"4","key":"ref10","doi-asserted-by":"crossref","first-page":"1466","DOI":"10.1137\/S0363012902405583","article-title":"Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model","volume":"42","author":"Yin ; Zhou","year":"2003","journal-title":"SIAM Journal on Control and Optimization"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T04:30:02Z","timestamp":1792038602000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7543459"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":10,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7543459","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}