IDEAS home Printed from https://ideas.repec.org/h/spr/dymchp/978-3-662-49229-1_3.html
   My bibliography  Save this book chapter

Portfolio Modeling with Sustainability Constraints

In: Sustainable Asset Accumulation and Dynamic Portfolio Decisions

Author

Listed:
  • Carl Chiarella

    (University of Technology)

  • Willi Semmler

    (New School for Social Research
    Bielefeld University)

  • Chih-Ying Hsiao

    (University of Technology)

  • Lebogang Mateane

    (New School for Social Research)

Abstract

As mentioned in Chap. 1 following the events of the world-wide financial crisis over the periods 2007–2009, the risk profile of some assets changed drastically and many assets exhibited large losses. These events have reinforced thinking about proper portfolio models that not only avoid large losses, but also allow to impose some constraints. This chapter will introduce standard static portfolio models that however also impose some constraints. Asset accumulation through saving or consumption decisions, will not be discussed in this chapter, so we will assume that the funds are given and only asset allocations have to be made. More generally, portfolio decisions under constraints are important for practitioners that invest on behalf of institutions with some ethical or social guidelines. For example, investment decisions of wealth funds, pension funds or university endowments, are often supposed to follow multiple guidelines and procedures rather than only choosing one procedure, such as an optimizing procedure without constraints. This is a point emphasized by Danthine and Donaldson (2005). They note that one step corresponds to the choice of instruments, another decision corresponds to the country or sector allocation or the choice of specific individual assets based on available information—to all of them maybe some constraints attached.

Suggested Citation

  • Carl Chiarella & Willi Semmler & Chih-Ying Hsiao & Lebogang Mateane, 2016. "Portfolio Modeling with Sustainability Constraints," Dynamic Modeling and Econometrics in Economics and Finance, in: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, chapter 0, pages 19-51, Springer.
  • Handle: RePEc:spr:dymchp:978-3-662-49229-1_3
    DOI: 10.1007/978-3-662-49229-1_3
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:dymchp:978-3-662-49229-1_3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.