Project “GBI” is implemented within the framework of the National Recovery and Resilience Plan 2021–2026 and is financed by European Union funds through the NextGenerationEU instrument.
About the project
Goal-Based Investing (GBI) entails the optimal allocation of financial assets over time in order to achieve a predefined investment goal after a specified period. The probability of failing to meet the goal represents the key risk for the investor, stemming from non-stationary, unreliable, or inconsistent estimates of risk-return parameters both within and between different asset classes. Consequently, throughout the investment horizon, portfolio managers make allocation decisions intended to fulfill the investment goal with the highest possible probability.
In practice, dominant analytical approaches often simplify reality by assuming stationarity in the expected risk-return characteristics of financial instruments. This consciously ignores the complexity and dynamics of capital markets, as well as the volatility of market participant sentiment. Goal-Based Investing can be viewed as a sequential decision-making problem. In this context, modern portfolio management challenges are addressed through sophisticated yield curve modeling, factor-based investing (systematic risk exposure), the implementation of behavioral finance concepts, and analytical machine learning methods.
The objective of this project is to examine relevant systematic risk factors and behavioral phenomena in capital markets within the context of dynamic changes across the investment horizon. By employing financial return modeling, machine learning, and portfolio optimization, the aim is to apply existing and explore novel analytical procedures in the investment process, ultimately enabling superior investment decision-making.
Total project value: 60.000,00 EUR
Project duration: October 1, 2025 until September 30, 2029
Project holder: University of Zagreb, Faculty of Economics & Business
Contact
Project leader: Denis Dolinar, Ph.D., associate professor
E-mail: ddolinar@net.efzg.hr
Address: Faculty of Economics & Business – Zagreb
Trg J. F. Kennedyja 6
10000 Zagreb, CROATIA