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The Resource Sustainable Asset Accumulation and Dynamic Portfolio Decisions

Sustainable Asset Accumulation and Dynamic Portfolio Decisions

Label
Sustainable Asset Accumulation and Dynamic Portfolio Decisions
Title
Sustainable Asset Accumulation and Dynamic Portfolio Decisions
Creator
Contributor
Subject
Language
eng
Member of
Cataloging source
MiAaPQ
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Dynamic Modeling and Econometrics in Economics and Finance Ser.
Series volume
v.18
Sustainable Asset Accumulation and Dynamic Portfolio Decisions
Label
Sustainable Asset Accumulation and Dynamic Portfolio Decisions
Link
http://libproxy.rpi.edu/login?url=https://ebookcentral.proquest.com/lib/rpi/detail.action?docID=4662683
Publication
Copyright
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Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Preface -- Acknowledgements -- Contents -- List of Figures -- List of Tables -- 1 Introduction -- 1.1 Institutions, Models and Empirics -- 1.2 Dynamic Programming as Solution Method -- 1.3 Previous Work -- 1.4 Outline and Results -- 2 Forecasting and Low Frequency Movements of Asset Returns -- 2.1 Introduction -- 2.2 Limits on Forecasting Asset Returns -- 2.3 The Use of Periodic Returns -- 2.4 Conclusions -- 3 Portfolio Modeling with Sustainability Constraints -- 3.1 Introduction -- 3.2 Mean-Variance Portfolio Models -- 3.3 Description of Statistical Properties of Returns Data -- 3.3.1 Computing Expected Real Returns on Risky Assets -- 3.3.2 Variance-Covariance and Correlation Matrices and Volatility of Real Returns -- 3.3.3 Eigenvalue and Eigenvector Properties of the Empirical Covariance and Correlation Matrix -- 3.4 Estimation Results of the Portfolio Models -- 3.5 Conclusion -- Appendix -- Forecasting the Monthly Consumer Price Inflation -- Capital Allocation Line and Efficient Frontiers -- 4 Dynamic Saving and Portfolio Decisions-Theory -- 4.1 Introduction -- 4.2 The Model with One Asset and Constant Returns -- 4.2.1 Numerical Results for the Benchmark Model -- 4.2.2 Variation of Risk Aversion, Returns and Discount Rate -- 4.3 Dynamic Consumption and Portfolio Decisions: Two Assets and Time Varying Returns -- 4.3.1 The Model with Time Varying Returns -- 4.3.2 Numerical Results on a Benchmark Case -- 4.3.3 Variation of Risk Aversion -- 4.3.4 Variation of Returns -- 4.3.5 Variation of Time Horizon -- 4.4 A Stochastic Model with Mean Reversion in Returns -- 4.5 Conclusions -- Appendix -- The Solution to the Dynamic Decision Problem with One Asset -- 5 Asset Accumulation with Estimated Low Frequency Movements of Asset Returns -- 5.1 Introduction -- 5.2 The Literature and Results -- 5.3 The Dynamic Programming Solution
  • 5.4 Varying Risk Aversion Across Investors -- 5.5 Varying Time Horizon Across Investors -- 5.6 Some Conclusions -- 6 Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income -- 6.1 Introduction -- 6.2 Literature and Results -- 6.3 Business Cycles, Asset Returns and Labor Income -- 6.4 Dynamic Decisions on Asset Accumulation -- 6.5 Wealth Disparities -- 6.6 Conclusions -- 7 Continuous and Discrete Time Modeling -- 7.1 Introduction -- 7.2 Literature and Results -- 7.3 Discrete-Time Approximation -- 7.3.1 Euler Method -- 7.3.2 Milstein Method -- 7.3.3 New Local Linearization Method -- 7.3.4 Equivalence of the Euler and NLL Predictors -- 7.4 Empirical Results on Modeling Short Term Interest Rates -- 7.4.1 Specification Test -- 7.4.1.1 Autocorrelation Checking -- 7.4.1.2 Testing Normality -- 7.4.2 Results of Estimating CKLS Model -- 7.5 Searching for New Models -- 7.5.1 Improvement in the Continuous-Time Framework -- 7.5.2 Modeling Autocorrelations in the Estimated Noise -- 7.5.3 Modeling Thick-Tails in the Estimated Noise -- 7.5.4 Model Identification -- 7.5.5 Results -- 7.6 Conclusions -- Appendix -- Tables: Estimation Results -- The Likelihood Function of the Milstein Approximation -- 8 Asset Accumulation and Portfolio Decisions Under Inflation Risk -- 8.1 Introduction -- 8.2 A New Multi-factor Model for Nominal and Inflation-Indexed Bonds -- 8.2.1 The Factors -- 8.2.2 The Nominal Bonds -- 8.2.3 The Inflation Indexed Bonds (IIB) -- 8.2.4 The No-Arbitrage Pricing -- 8.3 Intertemporal Asset Accumulation with Inflation Risk -- 8.3.1 The Intertemporal Asset Allocation Model -- 8.3.2 The Systematic Factors -- 8.3.3 The Investment Opportunity Set -- 8.3.4 Agents' Action -- 8.3.5 Dynamic Programming Approach -- 8.3.6 Solving for the Intertemporal Portfolio -- 8.4 Model Estimation -- 8.4.1 The Term Structure of Real Yields
  • 8.4.2 The Term Structure of Nominal Yields -- 8.4.3 Estimation of Realized Inflation Dynamics -- 8.4.4 Estimation of Stock Return Dynamics -- 8.5 Application of Intertemporal Optimal Portfolios -- 8.5.1 Example 1: Expected Optimal Final Utility and the Factors -- 8.5.2 Example 2: Asset Allocation and Risk Aversion Parameter Þ -- 8.5.3 Example 3: Asset Allocation and Investment Horizon -- 8.6 Conclusions -- Appendix -- 9 Concluding Remarks -- Appendix A: Dynamic Programming as Solution Method -- Bibliography
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unknown
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{'f': 'http://opac.lib.rpi.edu/record=b4392760'}
Extent
1 online resource (203 pages)
Form of item
online
Isbn
9783662492291
Media category
computer
Media MARC source
rdamedia
Media type code
c
Sound
unknown sound
Specific material designation
remote

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