Hostname: page-component-78c5997874-s2hrs Total loading time: 0 Render date: 2024-11-10T03:18:13.208Z Has data issue: false hasContentIssue false
  • English
  • Français

Portfolio Selection in Financial Intermediaries: A New Approach

Published online by Cambridge University Press:  19 October 2009

Jacob B. Michaelsen  and
Robert C. Goshay
Get access Rights & Permissions [Opens in a new window]

Extract

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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 2 , Issue 2 , June 1967 , pp. 166 - 199
Copyright
Copyright © School of Business Administration, University of Washington 1967

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

1.Bickelhaupt, D. L., Transition to Multiple Line Insurance Companies. Homewood, Ill: Irwin, 1961.Google Scholar
2.Brewer, D. E. and Michaelsen, J. B., “The Cost of Capital, Corporation Finance, and the Theory of Investment: Comment,” American Economic Review, 06 1965, pp. 516–524.Google Scholar
3.Carson, D. and Scott, I. O. Jr., “Commercial Bank Attributes and Aversion to Risk,” Banking and Monetary Studies. Homewood, Ill., Irwin, 1963.Google Scholar
4. Consolidated Laws, State of New York, Chapter 28, “Insurance Law,” 1964, Article IV, Paragraphs 79–81.Google Scholar
5.Davis, S. C., “How U. S. Fire and Casualty Companies Invest,” Financial Analysts Journal, 11–12 1961, pp. 19–23.CrossRefGoogle Scholar
6.Denenberg, H. R., et al. Risk and Insurance. Englewood Cliffs, N. J., Prentice-Hall, 1964.Google Scholar
7.Gurley, J. and Shaw, E., Money in a Theory of Finance, Washington, Brookings Institution, 1960.Google Scholar
8.Hicks, J. R., Value and Capital. Oxford, Clarendon Press, 1946.Google Scholar
9.Hirshleifer, J., “Investment Decision Under Uncertainty: Applications of the State-Preference Approach,” Quart. Journ. Econ., 05 1966, 80, 252–277.CrossRefGoogle Scholar
10.Kenney, R., Fundamentals of Fire and Casualty Insurance Strength, Dedham, Mass. 1949.Google Scholar
11.Keynes, J. M., A Treatise on Money, Vol. II. London, Harcourt Brace, 1930.Google Scholar
12.Markowitz, H., Portfolio Selection. New York, Wiley, 1959.Google Scholar
13.Meigs, A. J., Free Reserves and the Money Supply, Chicago, 1962.Google Scholar
14.Meiselman, D., The Term Structure of Interest Rates. Englewood Cliffs, N.J.Prentice-Hall, 1962.Google Scholar
15.Michaelsen, J. B., “The Term Structure of Interest Rates and Holding Period Yields on Government Securities,” Journal of Finance, September 1965, 20, 444–463.Google Scholar
16.Modigliani, F. and Miller, M., “The Cost of Capital, Corporation Finance, and the Theory of Investment,” American Economic Review, 06 1958, 48, 261–297.Google Scholar
17.Modigliani, F. and Miller, M., “The Cost of Capital, Corporation Finance, and the Theory of Investment: Reply,” American Economic Review, September 1959, 49, 655–669.Google Scholar
18.Modigliani, F. and Miller, M., “Corporate Income Taxes and The Cost of Capital: A Correction,” American Economic Review, 06 1963, 53, 433–443.Google Scholar
19.Modigliani, F. and Sutch, R., “Innovations in Interest Rate Policy,” American Economic Review, 05 1966, 56, 178–197.Google Scholar
20.Polakoff, M., “Reluctance Elasticity, Least Cost, and Member-Bank Borrowing: A Suggested Integration, Journal of Finance, 03 1960, 15, 1–18.Google Scholar
21.Sharpe, W., “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance, September 1964, 19, 425–442.Google Scholar
22.Williamson, O., The Economics, of Discretionary Behavior: Managerial Objectives in a Theory of the Firm. Englewood Cliffs, N. J., Prentice-Hall, 1964.Google Scholar