Dachraoui, Kaïs; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2004
We explore how the demand for a risky asset can be separated 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. We restrict dependence among returns on the risky assets to...