Journal Article Capital Taxes, the Redistribution of Wealth and Individual Savings Get access A. B. Atkinson A. B. Atkinson St John's College, Cambridge Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 38, Issue 2, April 1971, Pages 209–227, https://doi.org/10.2307/2296780 Published: 01 April 1971

This paper presents a discrete stochastic programming model for commercial bank bond portfolio management. It differs from previous bond portfolio models in that it provides an optimization technique that explicitly takes into consideration the dynamic nature of the problem and that incorporates risk by treating future cash flows and interest rates as discrete random variables. The model's data requirements and its computational demands are sufficiently limited so that it can be implemented as a normative aid to bond portfolio management. In addition, it can be extended by the addition of other asset and liability categories to serve as a more general model for commercial bank asset and liability management.

Articles by Sharpe [1], Lintner [2], and Hastie [3] introduce concepts of systematic and unsystematic risk associated with portfolio rate of return. Defining risk as variation in portfolio return, such risk comprises two elements:1. Systematic risk or variation, which is the covariation of portfolio rate of return with market rate of return.2. Unsystematic risk or variation, which is the difference between total portfolio variation and systematic variation. Unsystematic variation is therefore variation due to attributes of individual securities.

I. The Ashenfelter-Pencavel model, 187.—II. An alternative model, 190.

Benoit B. Mandelbrot, When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models, The Review of Economics and Statistics, Vol. 53, No. 3 (Aug., 1971), pp. 225-236

Alan S. McCall, Neil B. Murphy, A Note on Evaluating Liquidity Under Conditions of Uncertainty in Mutual Savings Banks, The Journal of Financial and Quantitative Analysis, Vol. 6, No. 4 (Sep., 1971), pp. 1165-1169

James Melvin's examination of the indeterminacy in the three-good, two-factor, two-country trade model prompts him to claim in his recent article in this Review that whenever all goods are traded, that country exporting the labor intensive good will also be exporting the capital intensive good (p. 1263). Recognizing the damage this claim does to the standard Heckscher-Ohlin theorem, Melvin reformulates the theorem into a much weaker proposition. We will show that Melvin's claim does not hold in general; that it is true if, and only if, both countries have identical relative factor endowments-a definitely uninteresting case. The example from which Melvin generalizes is often a possibility when endowment ratios differ, and this possibility alone is sufficiently damaging to the HeckscherOhlin theorem to merit comment. But, as we shall see, the damage is much less than Melvin would have it.

I. Oligopoly, risk, and rates of return, 514.— II. Factor payments and risk aversion, 516.