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Efficient Portfolios: Risk Shares and Monetary Policy

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Econometrics of Planning and Efficiency

Part of the book series: Advanced Studies in Theoretical and Applied Econometrics ((ASTA,volume 11))

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Abstract

The paper first groups some key results in the choice of E, V efficient portfolios by homogeneous programming. The optimal portfolio and the risk share accruing to the financial intermediary are determined by the rate of interest. This portfolio solves a two-person game. Existence theorems are established for Nash-type equilibria in imperfect capital markets. This is done first for financial institutions acting on given monetary policy parameters. The result is then generalized to allow interaction with the instruments of monetary policy.

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Author information

Authors and Affiliations

  1. Massey University, Palmerston North, New Zealand

    Paul Van Moeseke

Authors
  1. Paul Van Moeseke
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Editor information

Editors and Affiliations

  1. University of California, Santa Barbara, USA

    Jati K. Sengupta (Professor of Economics and Operations Research) (Professor of Economics and Operations Research)

  2. Institute of Economic Growth, Delhi, India

    Gopal K. Kadekodi (Professor of Economics) (Professor of Economics)

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© 1988 Martinus Nijhoff Publishers, Dordrecht

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Van Moeseke, P. (1988). Efficient Portfolios: Risk Shares and Monetary Policy. In: Sengupta, J.K., Kadekodi, G.K. (eds) Econometrics of Planning and Efficiency. Advanced Studies in Theoretical and Applied Econometrics, vol 11. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-3677-5_6

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  • DOI: https://doi.org/10.1007/978-94-009-3677-5_6

  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-94-010-8146-7

  • Online ISBN: 978-94-009-3677-5

  • eBook Packages: Springer Book Archive

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