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Adding-up constraints and gross substitution in portfolio models

Author

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  • Jacobs, Jan
  • Schoonbeek, Lambert

    (Groningen University)

Abstract

The paper considers a (static) portfolio system that satisfies adding-up contraints and the gross substitution theorem. The paper shows the relationship of the two conditions to the weak dominant diagonal property of the matrix of interest rate elasticities. This enables to investigate the impact of simultaneous changes in interest rates on the asset demands.

Suggested Citation

  • Jacobs, Jan & Schoonbeek, Lambert, 1995. "Adding-up constraints and gross substitution in portfolio models," Research Report 95C19, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:95c19
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    File URL: http://irs.ub.rug.nl/ppn/143812394
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    References listed on IDEAS

    as
    1. Schoonbeek, Lambert, 1992. "Negative coefficients and eigenvalues of economic models," Economic Modelling, Elsevier, vol. 9(2), pages 111-120, April.
    2. Tobin, James, 1982. "Money and Finance in the Macroeconomic Process," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 14(2), pages 171-204, May.
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