Who buys and who sells options: The role of options in an economy with background risk
成果类型：
Article
署名作者：
Franke, G; Stapleton, RC; Subrahmanyam, MG
署名单位：
University of Konstanz; Lancaster University; New York University
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1998.2420
发表日期：
1998
页码：
89-109
关键词：
摘要：
In this paper, we derive an equilibrium in which some investors buy call/put options on the market portfolio while others sell them. Since investors are assumed to have similar risk-averse preferences, the demand for these contracts is not explained by differences in the shape of utility functions. Rather, it is the degree to which agents face other, non-hedgeable, background risks that determines their risk-taking behavior in the model. We show that investors with low or no background risk have a concave sharing rule, i.e., they sell options on the market portfolio, whereas investors with high background risk have a convex sharing rule and buy these options. (C) 1998 Academic Press.