A Note on the Interpretation and Estimation of Parkin's Discount House Portfolio Model.
The article focuses on the interpretation and estimation of economist Michael Parkin's Discount House portfolio model. Asset demand and liability supply functions are derived by the constrained maximization of a negative exponential utility function under the assumption that profit is normally distr...
| Publicado en: | Review of Economic Studies Vol. 48; no. 3; pp. 533 - 536 |
|---|---|
| Autor principal: | |
| Formato: | Artículo |
| Publicado: |
Oxford University Press / USA
Jul81
|
| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=hlh&AN=4622367&site=ehost-live header: @attributes: shortDbName: hlh uiTerm: 4622367 longDbName: Humanities International Complete uiTag: AN controlInfo: bkinfo: jinfo: jid: 00346527 REM jtl: Review of Economic Studies issn: 00346527 maglogo: N pubinfo: dt: Jul81 vid: 48 iid: 3 pid: 622 pub: Oxford University Press / USA artinfo: ui: 4622367 10.2307/2297165 ppf: 533 ppct: 3 formats: tig: atl: A Note on the Interpretation and Estimation of Parkin's Discount House Portfolio Model. aug: au: Clements, Kenneth W. affil: The University of Western Australia. su: Analysis of variance Discount houses (Finance) Assets (Accounting) Financial institutions Investments Rate of return Supply-side economics Utility theory Economic demand sug: subj: Analysis of variance Discount houses (Finance) Assets (Accounting) Financial institutions Investments Rate of return Supply-side economics Utility theory Economic demand ab: The article focuses on the interpretation and estimation of economist Michael Parkin's Discount House portfolio model. Asset demand and liability supply functions are derived by the constrained maximization of a negative exponential utility function under the assumption that profit is normally distributed. These demand functions are linear in expected rates of return and the scale variable. The rate of return coefficient matrix is a function of the covariance matrix of returns; so also is the scale variable coefficient vector. Because these functional relationships appear to be complex, they are mostly ignored in estimation, with the result that it is not possible to identify the covariance matrix from the demand equations. The objective of this note is to show that it is possible to This is done by using relative rates of return. This procedure has the advantage that the model has a simpler interpretation. Also, the covariance matrix can be estimated from the demand equations. Placing restrictions on the covariance matrix is the natural way to impose more structure on the model; our procedure provides a convenient way to do this. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: Y dt: @attributes: year: 1981 holdings: @attributes: islocal: N |
|---|