Évaluation de l’hypothèse de la moyenne-variance : une application au portefeuille des banques canadiennes
AbstractIn this paper we evaluate the mean-variance hypothesis (MVH) in the case of the domestic portfolios of seven Canadians banks. Following previous studies by Parkin, Gray, Barrett and Courakis we test a particular version of the MVH by restricting the objective function of the banks (presented as a negative exponential utility function). The banks select their optimal portfolios by maximizing their expected utility of profit over a one period horizon. Optimal portfolios are revised in each period. The MVH yields a number of properties which characterize the asset demands: homogeneity, additivity, symmetry and non-negativity of own expected rate effects. Le but de cet article est d’évaluer la pertinence du modèle de la moyenne-variance comme schéma explicatif du portefeuille domestique des banques canadiennes. Le modèle théorique entraîne certaines restrictions que nous tentons de vérifier à l’aide d’un test de chi-carré dans le cas de sept banques à charte. Les résultats indiquent que le modèle postulé ne peut être accepté.
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Bibliographic InfoArticle provided by Société Canadienne de Science Economique in its journal L'Actualité économique.
Volume (Year): 59 (1983)
Issue (Month): 1 (mars)
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- Rhoades, Stephen A. & Rutz, Roger D., 1982. "Market power and firm risk : A test of the `quiet life' hypothesis," Journal of Monetary Economics, Elsevier, vol. 9(1), pages 73-85.
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