IDEAS home Printed from https://ideas.repec.org/a/bla/ausecp/v25y1986i47p193-205.html
   My bibliography  Save this article

Testing Further Restrictions on Portfolio Models

Author

Listed:
  • McLaren, Keith R
  • Upcher, Mark R

Abstract

Further sets of restrictions that can arise from the theory of portfolio models are examined. These are of two major classes: variance-covariance restrictions arising from explicit attention to the introduction of the error term, restrictions on the interest-rate response matrix which have not been fully accounted for in previous studies. Under certain assumptions a "reverse regression" procedure for estimation becomes more appropriate. A hierarchy of restrictions is developed, and estimation and testing are demonstrated using an empirical application. Copyright 1986 by Blackwell Publishers Ltd/University of Adelaide and Flinders University of South Australia

Suggested Citation

  • McLaren, Keith R & Upcher, Mark R, 1986. "Testing Further Restrictions on Portfolio Models," Australian Economic Papers, Wiley Blackwell, vol. 25(47), pages 193-205, December.
    • Handle: RePEc:bla:ausecp:v:25:y:1986:i:47:p:193-205
    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.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alaaeddin Al-Tarawneh & Mohmmad Khataybeh, 2015. "Portfolio Behaviour of Commercial Banks: The Expected Utility Approach: Evidence from Jordan," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 312-323.

    More about this item

    Statistics

    Access and download statistics

    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:bla:ausecp:v:25:y:1986:i:47:p:193-205. 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: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0004-900X .

    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.