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Sustainable Asset Accumulation and Dynamic Portfolio Decisions

  • Carl Chiarella
  • Willi Semmler
  • Chih-Ying Hsiao
  • Lebogang Mateane
Book

Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 18)

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane
    Pages 1-8
  3. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane
    Pages 9-17
  4. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane
    Pages 19-51
  5. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane
    Pages 53-79
  6. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane
    Pages 81-96
  7. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane
    Pages 97-114
  8. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane
    Pages 115-137
  9. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane
    Pages 139-177
  10. Carl Chiarella, Willi Semmler, Chih-Ying Hsiao, Lebogang Mateane
    Pages 179-180
  11. Back Matter
    Pages 181-189

About this book

Introduction

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

Keywords

Asset management Asset accumulation Wealth accumulation Sustainable wealth accumulation Portfolio decisions Dynamic portfolio decisions Dynamic programming Harmonic fit of asset returns Behavioral guidelines

Authors and affiliations

  • Carl Chiarella
    • 1
  • Willi Semmler
    • 2
  • Chih-Ying Hsiao
    • 3
  • Lebogang Mateane
    • 4
  1. 1.School of Finance and EconomicsUniversity of TechnologySydneyAustralia
  2. 2.Department of EconomicsNew School for Social ResearchNew YorkUSA
  3. 3.School of Finance and EconomicsUniversity of TechnologySydneyAustralia
  4. 4.Department of EconomicsNew School for Social ResearchNew YorkUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-49229-1
  • Copyright Information Springer-Verlag Berlin Heidelberg 2016
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-662-49228-4
  • Online ISBN 978-3-662-49229-1
  • Series Print ISSN 1566-0419
  • Series Online ISSN 2363-8370
  • Buy this book on publisher's site