Adding-up constraints and gross substitution in portfolio models

Jan Jacobs; Lambert Schoonbeek

Adding-up constraints and gross substitution in portfolio models

Jan Jacobs, Lambert Schoonbeek

SOM research institute

Onderzoeksoutput: Working paper › Academic

773 Downloads (Pure)

Samenvatting

The paper considers a (static) portfolio system that satisfies adding-up contraints and the gross substitution theorem. The paper shows the relationship of the two conditions to the weak dominant diagonal property of the matrix of interest rate elasticities. This enables to investigate the impact of simultaneous changes in interest rates on the asset demands.

Originele taal-2	English
Aantal pagina's	0
Status	Published - 1995

Toegang tot document

95C19.pdfFinal publisher's version, 63,7 KB

Handle.net

Permanente koppeling

Citeer dit

@techreport{01663d09abd04cafb302f5c6a5d635f8,

title = "Adding-up constraints and gross substitution in portfolio models",

abstract = "The paper considers a (static) portfolio system that satisfies adding-up contraints and the gross substitution theorem. The paper shows the relationship of the two conditions to the weak dominant diagonal property of the matrix of interest rate elasticities. This enables to investigate the impact of simultaneous changes in interest rates on the asset demands.",

author = "Jan Jacobs and Lambert Schoonbeek",

note = "Relation: http://som.rug.nl/ date_submitted:1996 Rights: Graduate School/Research Institute, Systems, Organisations and Management (SOM)",

year = "1995",

language = "English",

type = "WorkingPaper",

}

TY - UNPB

T1 - Adding-up constraints and gross substitution in portfolio models

AU - Jacobs, Jan

AU - Schoonbeek, Lambert

N1 - Relation: http://som.rug.nl/ date_submitted:1996 Rights: Graduate School/Research Institute, Systems, Organisations and Management (SOM)

PY - 1995

Y1 - 1995

N2 - The paper considers a (static) portfolio system that satisfies adding-up contraints and the gross substitution theorem. The paper shows the relationship of the two conditions to the weak dominant diagonal property of the matrix of interest rate elasticities. This enables to investigate the impact of simultaneous changes in interest rates on the asset demands.

AB - The paper considers a (static) portfolio system that satisfies adding-up contraints and the gross substitution theorem. The paper shows the relationship of the two conditions to the weak dominant diagonal property of the matrix of interest rate elasticities. This enables to investigate the impact of simultaneous changes in interest rates on the asset demands.

M3 - Working paper

BT - Adding-up constraints and gross substitution in portfolio models

ER -