Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse Investors
研究了在均值方差框架之外，如何将风险资产需求分解为投资效应和对冲效应，发现象限依赖分布可确保这种分解，并讨论了与两基金分离分布的关系。
Abstract The paper explores how the demand for a risky asset can be decomposed into an investment effect and a hedging effect by all risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework. Dependence among returns on the risky assets is restricted to quadrant dependence and it is found that the demand for one risky asset can be decomposed into an investment component based on the risk premium offered by the asset and a hedging component used against the fluctuations in the return on the other risky asset. The paper also discusses how the class of quadrant-dependent distributions is related to that of two-fund separating distributions. This contribution opens up the search for broader distributional hypotheses suitable to asset demand models. Examples are discussed.