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Évaluation de l’hypothèse de la moyenne-variance : une application au portefeuille des banques canadiennes

  • Lafrance, Robert

    (Département de sciences économiques, Université de Montréal)

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    In 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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    Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

    Volume (Year): 59 (1983)
    Issue (Month): 1 (mars)
    Pages: 20-37

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    Handle: RePEc:ris:actuec:v:59:y:1983:i:1:p:20-37
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    1. Parkin, M, 1970. "Discount House Portfolio and Debt Selection," Review of Economic Studies, Wiley Blackwell, vol. 37(4), pages 469-97, October.
    2. Courakis, A S, 1975. "Testing Theories of Discount House Portfolio Selection," Review of Economic Studies, Wiley Blackwell, vol. 42(4), pages 643-48, October.
    3. Ghosh, Debapriya & Parkin, Michael, 1972. "A Theoretical and Empirical Analysis of the Portfolio, Debt and Interest Rate Behaviour of Building Societies," The Manchester School of Economic & Social Studies, University of Manchester, vol. 40(3), pages 231-44, September.
    4. 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.
    5. Towey, Richard E, 1974. "Money Creation and the Theory of the Banking Firm," Journal of Finance, American Finance Association, vol. 29(1), pages 57-72, March.
    6. Baltensperger, Ernst, 1980. "Alternative approaches to the theory of the banking firm," Journal of Monetary Economics, Elsevier, vol. 6(1), pages 1-37, January.
    7. David F. Hendry & Gordon J. Anderson, 1975. "Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom," Cowles Foundation Discussion Papers 398, Cowles Foundation for Research in Economics, Yale University.
    8. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-17, June.
    9. Ratti, Ronald A, 1980. "Bank Attitude toward Risk, Implicit Rates of Interest, and the Behavior of an Index of Risk Aversion for Commercial Banks," The Quarterly Journal of Economics, MIT Press, vol. 95(2), pages 309-31, September.
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