Article1974

On the Application of Portfolio Theory to Depository Financial Intermediaries

197 citations0/0 files storedThe Review of Economic Studies

No readable copy stored yet — this record is metadata only.

Banking stability, regulation, efficiency Stochastic processes and financial applications Economic theories and models

Abstract

Oliver D. Hart, Dwight M. Jaffee; On the Application of Portfolio Theory to Depository Financial Intermediaries12, The Review of Economic Studies, Volume 4

Citations in this library

Stored only when both papers are in the corpus — 197 citations exist upstream.

References

1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1971Optimum consumption and portfolio rules in a continuous-time model 1976Risk Aversion in the Small and in the Large 1972An Analytic Derivation of the Efficient Portfolio Frontier 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments 1970The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds 1969The Effects of Income, Wealth, and Capital Gains Taxation on Risk-Taking 1969Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection

Cited by

1992Credit risk measurement 2007Regulating financial conglomerates 1982Market power and firm risk 1980Deposit Rate-Setting, Risk Aversion, and the Theory of Depository Financial Intermediaries 1999Bank capital and equity investment regulations 1980Banks, bankruptcy, and public regulation 2010Cross‐Border Diversification in Bank Asset Portfolios*2016Diversification of geographic risk in retail bank networks: evidence from bank expansion after the Riegle‐Neal Act

Imported from OpenAlex (CC0) — nothing here is generated.