Symmetry Restrictions in a System of Financial Asset Demands: A Theoretical and Empirical Analysis

Abstract

The symmetry restriction in a system of financial asset demands has frequently been employed to reduce the number of independent parameters to be estimated. The theoretical implications of the symmetry restriction are examined in this paper, and it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also examined empirically, and the evidence supports symmetry only in cases where coefficients on cross-asset yields are insignificantly different from zero.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 23 citations exist upstream.