This paper extends the use of Rao (1982b)'s Quadratic Entropy (RQE) to modern portfolio theory. It argues that the RQE of a portfolio is a valid, exible and unifying approach to measuring portfolio diversification. The paper demonstrates that portfolio's RQE can encompass most existing measures,...

In this article our main objective is to study simultaneously the influence of three important risk factors on asset returns, namely the return on financial market (proxy for financial wealth), the consumption growth and the return on real estate wealth. The third factor has been surprisingly...

The purpose of this study is to estimate the production structure and the adjustement dynamics in the manufacturing sector of Québec between 1962 and 1983. A dynamic model with adjustement costs and rational expectations is estimated by the generalized method of moments. The results indicate...

This article provides a Bayesian method of estimating the marginal posterior distributions for stochastic discount factors associated with observed asset returns. These estimates can be used to provide measures of fit for asset pricing models and to identify broad features of the characteristics...

This paper analyzes the effects of perfectly foreseen monetary policy within the framework of a standard cash-in-advance economy. Anticipated monetary policy is shown to have real effects by influencing inflationary expectations. In a cash-in-advance economy, an increase in the anticipated rate...

Within the context of an endogenous growth model, it is shown that in the presence of health risks which influence household income, the introduction of a private insurance company increases the long-term economic growth rate. The introduction of such an institution has two effects on savings: a...

In this paper, the authors consider the restrictions imposed on excess returns denominated in different currencies by a dynamic optimization model. The restrictions are tested on stock market data from the New York Stock Exchange and the Toronto Stock Exchange. In the first part of the paper,...