Wei, K C John; Lee, Cheng F; Lee, Alice C - In: Journal of Financial Research 22 (1999) 4, pp. 471-87
We show that E[X(g(Y[subscript 1],...,Y[subscript n])] (where E[.] is the expectation operator) can be decomposed into a product of two expected values plus a sum of n comovement terms, if X, Y[subscript 1], . . . , Y[subscript n] follow a distribution that admits linear conditional expectation...
