Work

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

Year: 1980

Type: report

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.

Source: National Bureau of Economic Research

DOI: 10.3386/w0593

Author: V. Vance Roley

Institutions: University of Hawaiʻi at Mānoa, National Bureau of Economic Research

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2007156926

Cites: 9

Cited by: 23

Related to: 10