Sustainable Asset Accumulation and Dynamic Portfolio Decisions

This book examinessustainable wealth formation and dynamic decision-making. The global economyexperienced a veritable meltdown of asset markets in the years 2007-9, wheremany funds were overexposed to risky returns and suffered considerable losses. On the other hand, the long-term upswing inthe sto [...]
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This book examinessustainable wealth formation and dynamic decision-making. The global economyexperienced a veritable meltdown of asset markets in the years 2007-9, wheremany funds were overexposed to risky returns and suffered considerable losses. On the other hand, the long-term upswing inthe stock market since 2010 has led to asset price booms and some new, but also uneven, wealth formation. In this book a broader set ofconstraints and guidelines for asset management and wealth accumulation is developed. The authorsinvestigate how wealth formation and the proper management of financial fundscan help to adequately buffer income risk and obtain sufficient risk-freeincome at a later stage of life, while alsobeing socially and environmentally sustainable.The book explores behavioral and institutional rules fordecision-making that reflect such constraints and guidelines, withoutnecessarily being optimal in the narrow sense. The authors explain the need forsuch a dynamic decision-making and dynamic re-balancing of portfolios, by putting forward dynamic programming as anapproach to dynamic decision-making that can allow sustainable wealthaccumulation and dynamic asset allocation to be successfully integrated.This book provides a clear andcomprehensive treatment of asset accumulation and dynamic portfolio models withan emphasis on long term and sustainable wealth formation. An important concernin public debate is the sustainability of our economy and this book employscutting edge quantitative techniques and models to highlight important factsthat cannot be disputed under any reasonable assumptions. It has the potentialto become a standard reference for both academic researchers and quantitativelytrained practitioners.Eckhard Platen, Professor of Quantitative Finance, University of Technology Sydney, AustraliaThis book should be read by both academics and practitionersalike. The former will find intellectually rigorous discussions andinnovative solutions. The latter may find a few of the concepts a bitchallenging. Yet, theory and technology are there to help simplify the work ofthose who worry about what time it is rather than how to make a watch--- butthey do need a watch.Jean Brunel, Founder of BrunelAssociates and Editor of The Journalof Wealth Management