Adding up constraints and gross subsitution in portfolio models

OnderzoeksoutputAcademicpeer review


We consider a static portfolio system that satisfies adding-up constraints and Tobin's gross substitution theorem. We show the relationship of the two conditions to the weak dominant diagonal property of the matrix of interest rate elasticities. This enables us to investigate effects of arbitrary simultaneous changes in interest rates on the asset demands. Finally, we show that all asset demands are invariant under a certain nonnegative, but nonzero, change of the interest rates.
Originele taal-2English
Pagina's (van-tot)531-533
Aantal pagina's3
TijdschriftApplied Economics Letters
Nummer van het tijdschrift8
StatusPublished - 1998

Citeer dit