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The aggregate “portfolio”: Econometrics of economic rates of return with a Portuguese illustration

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  • Ana Paula MARTINS

Abstract

This paper presents an econometric framework for estimating economic rates of return using aggregate portfolio analysis. A Portuguese case study illustrates the methodology and its implications for investment evaluation.

Suggested Citation

  • Ana Paula MARTINS, 2022. "The aggregate “portfolio”: Econometrics of economic rates of return with a Portuguese illustration," Journal of Economics Bibliography, EconSciences Journals, vol. 9(3), pages 99-136, September.
    • Handle: RePEc:cvv:journ6:v:9:y:2022:i:3:p:99-136
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    References listed on IDEAS

    as
    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    2. Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
    3. 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.
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    Keywords

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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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