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
