{"repo":"ArturSepp/GoalBasedAllocation","free":true,"listed":false,"github":"https://github.com/ArturSepp/GoalBasedAllocation","clone":"git clone https://github.com/ArturSepp/GoalBasedAllocation.git","description":"Dynamic mean-variance allocation under regime-switching jump-diffusions with wealth floors - fully analytical (SSRN 6534579)","language":"Python","stars":10,"topics":["asset-allocation","goal-based-investing","jump-diffusion","laplace-transform","mean-variance","portfolio-optimization","python","quantitative-finance","regime-switching","wealth-management"],"license":"MIT","category":"trading","readme_excerpt":"GoalBasedAllocation ( goal-based-allocation ) Analytical dynamic mean-variance allocation and terminal-wealth risk under regime-switching jump-diffusions in Python for quantitative researchers and wealth-management model developers. Documentation: artursepp.github.io/GoalBasedAllocation Paper: companion code to Sepp, A. (2026), Dynamic Mean-Variance Portfolio Allocation under Regime-Switching Jump-Diffusions with Absorbing Barriers and Distribution Matching — SSRN 6534579. See Citation for BibTeX. --- Overview This package provides a fully analytical Laplace-transform framework for dynamic mean-variance (MV) portfolio allocation under a two-state regime-switching model with exponential jumps at regime transitions and an absorbing wealth floor. It models two regimes and multi-asset mandates aggregated to one effective risky asset. It is not a discrete constrained multi-asset optimiser, trading engine, or production portfolio-management system; use optimalportfolios for rolling multi-asset construction, constraints, transaction costs, and backtesting. The MV-optimal strategy takes the form $$\\omega^{\\ast}(t) = \\omega^{\\ast} a \\cdot \\left(\\frac{\\Pi^{\\ast}(t)}{\\Pi t} - 1\\right)$$ where $\\Pi^{\\ast}(t)$ is the target wealth trajectory derived from the Riccati ODE system, and $ \\omega^{\\ast} a $ is the regime-dependent allocation intensity. This produces an endogenous de-risking glide path : early in the horizon the funding gap is large and allocation is aggressive; as the portfolio","default_branch":null,"files":null,"tree":[],"storefront":"/r/ArturSepp","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/ArturSepp/GoalBasedAllocation/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}