Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089905 | Journal of Banking & Finance | 2012 | 13 Pages |
Abstract
⺠I develop a framework to analyse the risk and return of large loan portfolios in a joint setting. ⺠I investigate the validity of mean-variance analysis and study its relationship with utility maximisation. ⺠I study the efficiency of corporate and household loan portfolios in an empirical application to the Spanish banking system.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Javier MencÃa,