Dynamic Modeling and Econometrics in Economics and Finance

Sustainable Asset Accumulation and Dynamic Portfolio Decisions

Authors: Chiarella, C., Semmler, W., Hsiao, C.-Y., Mateane, L.

  • Shows how dynamic decision making and re-balancing of portfolios optimize asset management and sustainable wealth formation
  • Proposes a broader set of constraints and guidelines that can help to achieve the goal of sustainable wealth formation
  • Elaborates on sustainable wealth formation when inflation risk is rising
  • Presents dynamic programming as an approach that allows sustainable wealth accumulation and dynamic asset allocation to be successfully integrated
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eBook 95,19 €
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  • ISBN 978-3-662-49229-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 114,99 €
price for China (P.R.) (gross)
  • ISBN 978-3-662-49228-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

This book examines sustainable wealth formation and dynamic decision-making. The global economy experienced a veritable meltdown of asset markets in the years 2007-9, where many funds were overexposed to risky returns and suffered considerable losses.  On the other hand, the long-term upswing in the stock market since 2010 has led to asset price booms and some new, but also uneven, wealth formation.

In this book a broader set of constraints and guidelines for asset management and wealth accumulation is developed. The authors investigate how wealth formation and the proper management of financial funds can help to adequately buffer income risk and obtain sufficient risk-free income at a later stage of life, while also being socially and environmentally sustainable.

The book explores behavioral and institutional rules for decision-making that reflect such constraints and guidelines, without necessarily being optimal in the narrow sense. The authors explain the need for such a dynamic decision-making and dynamic re-balancing of portfolios, by putting forward dynamic programming as an approach to dynamic decision-making that can allow sustainable wealth accumulation and dynamic asset allocation to be successfully integrated.

This book provides a clear and comprehensive treatment of asset accumulation and dynamic portfolio models with an emphasis on long term and sustainable wealth formation. An important concern in public debate is the sustainability of our economy and this book employs cutting edge quantitative techniques and models to highlight important facts that cannot be disputed under any reasonable assumptions. It has the potential to become a standard reference for both academic researchers and quantitatively trained practitioners.

Eckhard Platen, Professor of Quantitative Finance, University of Technology Sydney, Australia

This book should be read by both academics and practitioners alike.  The former will find intellectually rigorous discussions and innovative solutions.  The latter may find a few of the concepts a bit challenging. Yet, theory and technology are there to help simplify the work of those who worry about what time it is rather than how to make a watch--- but they do need a watch.

Jean Brunel, Founder of Brunel Associates and Editor of The Journal of Wealth Management

Table of contents (9 chapters)

  • Introduction

    Chiarella, Carl (et al.)

    Pages 1-8

    Preview Buy Chapter 24,95 €
  • Forecasting and Low Frequency Movements of Asset Returns

    Chiarella, Carl (et al.)

    Pages 9-17

    Preview Buy Chapter 24,95 €
  • Portfolio Modeling with Sustainability Constraints

    Chiarella, Carl (et al.)

    Pages 19-51

    Preview Buy Chapter 24,95 €
  • Dynamic Saving and Portfolio Decisions-Theory

    Chiarella, Carl (et al.)

    Pages 53-79

    Preview Buy Chapter 24,95 €
  • Asset Accumulation with Estimated Low Frequency Movements of Asset Returns

    Chiarella, Carl (et al.)

    Pages 81-96

    Preview Buy Chapter 24,95 €

Buy this book

eBook 95,19 €
price for China (P.R.) (gross)
  • ISBN 978-3-662-49229-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 114,99 €
price for China (P.R.) (gross)
  • ISBN 978-3-662-49228-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Sustainable Asset Accumulation and Dynamic Portfolio Decisions
Authors
Series Title
Dynamic Modeling and Econometrics in Economics and Finance
Series Volume
18
Copyright
2016
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-662-49229-1
DOI
10.1007/978-3-662-49229-1
Hardcover ISBN
978-3-662-49228-4
Series ISSN
1566-0419
Edition Number
1
Number of Pages
XVIII, 189
Number of Illustrations and Tables
45 b/w illustrations, 22 illustrations in colour
Topics