Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk
推导了一个均衡模型，其中投资者因面临不同程度的不可对冲背景风险而选择买卖市场组合的期权，解释了风险偏好相似时期权交易行为的差异。
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.Journal of Economic LiteratureClassification Numbers: D52, D81, G11, G13”