Before revision: We determine the optimal strategy for investing in a Black-Scholes market in order to maximize the probability that wealth at death meets a bequest goal b . We, thereby, make more objective the goal of maximizing expected utility of death, first considered in a continuous-time framework by Merton (1969). Specifically, instead of requiring the individual tochoose a utility function, we only require the individual to choose a bequest goal b. We learn that, for wealth lying between 0 and b , the optimal investment strategy is {\it independent } of b , a surprising result.
After revision: We determine the optimal strategy for investing in a Black-Scholes market in order to maximize the probability that wealth at death meets a bequest goal b , the optimal investment strategy is {\it independent } of b , a surprising result.