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

Robert Lafrance
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Robert Lafrance: Département de sciences économiques, Université de Montréal

L'Actualité Economique, 1983, vol. 59, issue 1, 20-37

Abstract: 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.

Date: 1983
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Persistent link: https://EconPapers.repec.org/RePEc:ris:actuec:v:59:y:1983:i:1:p:20-37

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