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A Quarterly Econometric Model of Portfolio Choice—Part I: Specification and Estimation Problems

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  • Ian Sharpe

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  • Ian Sharpe, 1973. "A Quarterly Econometric Model of Portfolio Choice—Part I: Specification and Estimation Problems," The Economic Record, The Economic Society of Australia, vol. 49(4), pages 518-533, December.
    • Handle: RePEc:bla:ecorec:v:49:y:1973:i:4:p:518-533
    DOI: 10.1111/j.1475-4932.1973.tb01953.x
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    References listed on IDEAS

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    1. Nadiri, M Ishaq & Rosen, Sherwin, 1969. "Interrelated Factor Demand Functions," American Economic Review, American Economic Association, vol. 59(4), pages 457-471, Part I Se.
    2. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    4. William C. Brainard & James Tobin, 1968. "Pitfalls in Financial Model-Building," Cowles Foundation Discussion Papers 244, Cowles Foundation for Research in Economics, Yale University.
    5. M. Parkin, 1970. "Discount House Portfolio and Debt Selection," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(4), pages 469-497.
    6. J. P. Gould, 1968. "Adjustment Costs in the Theory of Investment of the Firm," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 35(1), pages 47-55.
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    Cited by:

    1. Aurikko, Esko, 1985. "Testing Disequilibrium Adjustment Models for Finnish Exports of Goods," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 47(1), pages 33-50, February.
    2. K. Davis, 1974. "A Quarterly Econometric Model of Portfolio Choice: A Comment," The Economic Record, The Economic Society of Australia, vol. 50(4), pages 623-626, December.
    3. Christopher J. Green & Victor Murinde, 2003. "Flow of funds: implications for research on financial sector development and the real economy," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(8), pages 1015-1036.
    4. Paul Gatward & Ian G. Sharpe, 1996. "Capital Structure Dynamics with Interrelated Adjustment: Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 21(2), pages 89-112, December.
    5. John R. Perrin, 1980. "A Note on the ‘Zero Row‐Sum’ Property of Mean‐Variance Portfolio Allocation Models," The Economic Record, The Economic Society of Australia, vol. 56(152), pages 91-93, March.

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