Optimal positioning in derivative securities
研究在一个只有债券、股票和欧式期权的单期经济中，投资者如何通过最大化期望效用来决定三类资产的最优头寸，发现偏好或信念的异质性会促使个体持有衍生品，尽管总体持有量为零。
We consider a simple single period economy in which agents invest so as to maximize expected utility of terminal wealth. We assume the existence of three asset classes, namely a riskless asset (the bond), a single risky asset (the stock), and European options of all strikes (derivatives). In this setting, the inability to trade continuously potentially induces investment in all three asset classes. We consider both a partial equilibrium where all asset prices are initially given, and a more general equilibrium where all asset prices are endogenously determined. By restricting investor beliefs and preferences in each case, we solve for the optimal position for each investor in the three asset classes. We find that in partial or general equilibrium, heterogeneity in preferences or beliefs induces investors to hold derivatives individually, even though derivatives are not held in aggregate.