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Testing Further Restrictions on Portfolio Models

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  • 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
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    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.

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