Hedging Demand for Bequest Motives

11 Pages Posted: 15 Feb 2012

See all articles by Sami Attaoui

Sami Attaoui

NEOMA Business School

Pierre Six

Neoma Business School

Date Written: February 5, 2012

Abstract

This paper considers the case of an investor who has only bequest motives while facing uncertainty in the opportunity set. We analyze her optimal hedging demand and show that the latter can be cast into a single portfolio that involves the wealth certainty equivalent. Our decomposition is useful to understand humps in the hedging demand of the equity market that are usually attributed to consumption (Wachter, 2002; Munk, 2008).

Keywords: Bequest Motive, Hedging Demand, Dynamic Opportunity Set, Wealth Certainty Equivalent, Risk Aversion

JEL Classification: G13

Suggested Citation

Attaoui, Sami and Six, Pierre, Hedging Demand for Bequest Motives (February 5, 2012). Available at SSRN: https://ssrn.com/abstract=2005235 or http://dx.doi.org/10.2139/ssrn.2005235

Sami Attaoui

NEOMA Business School ( email )

Boulevard André Siegfried - BP 215
Mont Saint Aignan, 76825
France

Pierre Six (Contact Author)

Neoma Business School ( email )

1, rue du Maréchal Juin - BP 188
Mont Saint Aignan Cedex, Normandy 76825
France

Register to save articles to
your library

Register

Paper statistics

Downloads
42
Abstract Views
506
PlumX Metrics