Portfolio Selection in Financial Intermediaries: A New Approach

Jacob B. Michaelsen · Robert C. Goshay

45 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Banking stability, regulation, efficiency Financial Analysis and Corporate Governance Risk and Portfolio Optimization

Abstract

A theoretical model capable of supporting a rigorous analysis of portfolio selection in financial intermediaries appeared only recently. In the absence of a suitable theoretical framework, the limitations of maximizing behavior as an explanation of the selection of asset and liability structures in this class of firms were obscured. Discussions bearing on this question usually focused on the structure of one or the other side of intermediary balance sheets and gave little attention to the effects of these structures on the risk associated with their equity.

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1958The Cost of Capital, Corporation Finance and the Theory of Investment 1963CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION 1939Value and Capital 1971A Treatise on Money 1965The Economics of Discretionary Behavior: Managerial Objectives in a Theory of the Firm 1960Money in a Theory of Finance.1966Investment Decision under Uncertainty: Applications of the State-Preference Approach

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1980Regulation of Bank Capital and Portfolio Risk 1981The Determinants of Bank Interest Margins: Theory and Empirical Evidence 1977Capital adequacy and the regulation of financial intermediaries 1971ON THE THEORY OF FINANCIAL INTERMEDIATION 1975A Portfolio Approach to the Property-Liability Insurance Industry 1986A Regression-Based Methodology for Solvency Surveillance in the Property-Liability Insurance Industry

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