Essec\Faculty\Model\Profile {#2233
#_id: "B00000430"
#_source: array:40 [
"bid" => "B00000430"
"academId" => "2078"
"slug" => "poncet-patrice"
"fullName" => "Patrice PONCET"
"lastName" => "PONCET"
"firstName" => "Patrice"
"title" => array:2 [
"fr" => "Professeur éminent émérite"
"en" => "Distinguished Emeritus Professor"
]
"email" => "poncet@essec.edu"
"status" => "ACTIF"
"campus" => "Campus de Cergy"
"departments" => []
"phone" => "+33 (0)1 34 43 30 26"
"sites" => []
"facNumber" => "2078"
"externalCvUrl" => "https://faculty.essec.edu/cv/poncet-patrice/pdf"
"googleScholarUrl" => "https://scholar.google.com/citations?user=YBd_DHMAAAAJ"
"facOrcId" => "https://orcid.org/0000-0002-7066-8810"
"career" => array:11 [
0 => Essec\Faculty\Model\CareerItem {#2254
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1972-01-01"
"endDate" => "1979-09-30"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur assistant"
"en" => "Assistant Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\CareerItem {#2255
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1979-10-01"
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"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur associé"
"en" => "Associate Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
2 => Essec\Faculty\Model\CareerItem {#2256
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1982-10-01"
"endDate" => "2009-08-31"
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]
"label" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
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"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
3 => Essec\Faculty\Model\CareerItem {#2257
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2009-09-01"
"endDate" => "2021-08-31"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur éminent"
"en" => "Distinguished Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
4 => Essec\Faculty\Model\CareerItem {#2258
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1983-01-01"
"endDate" => "1983-06-30"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Professeur visitant en Finance"
"en" => "Visiting Professor of Finance"
]
"institution" => array:2 [
"fr" => "New York University"
"en" => "New York University"
]
"country" => array:2 [
"fr" => "États-Unis"
"en" => "United States of America"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
5 => Essec\Faculty\Model\CareerItem {#2259
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1983-07-01"
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"label" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
]
"institution" => array:2 [
"fr" => "Université Strasbourg I"
"en" => "Université Strasbourg I"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
6 => Essec\Faculty\Model\CareerItem {#2260
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1987-10-01"
"endDate" => "2014-04-11"
"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur de Finance"
"en" => "Finance Professor"
]
"institution" => array:2 [
"fr" => "Université Paris 1 Panthéon-Sorbonne"
"en" => "Université Paris 1 Panthéon-Sorbonne"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
7 => Essec\Faculty\Model\CareerItem {#2261
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1987-02-01"
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"en" => "Professional appointments"
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]
"label" => array:2 [
"fr" => "Consultant Options"
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]
"institution" => array:2 [
"fr" => "Delahaye-Ripault"
"en" => "Delahaye-Ripault"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
8 => Essec\Faculty\Model\CareerItem {#2262
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1991-10-01"
"endDate" => "2018-02-28"
"isInternalPosition" => true
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"en" => "Professional appointments"
"fr" => "Positions professionnelles"
]
"label" => array:2 [
"fr" => "Consultant"
"en" => "Consultant"
]
"institution" => array:2 [
"fr" => "Société Générale"
"en" => "Société Générale"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
9 => Essec\Faculty\Model\CareerItem {#2263
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2014-01-01"
"endDate" => "2017-12-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Titulaire et co-directeur (avec Gérard Békerman, Président de l'AFER) de la Chaire ESSEC Finance"
"en" => "Chaired Professor and co-director (with Gérard Békerman, President of the AFER) of ESSEC Finance Chair"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
10 => Essec\Faculty\Model\CareerItem {#2264
#_index: null
#_id: null
#_source: array:7 [
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"isInternalPosition" => true
"type" => array:2 [
"fr" => "Positions académiques principales"
"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur éminent émérite"
"en" => "Distinguished Emeritus Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"diplomes" => array:4 [
0 => Essec\Faculty\Model\Diplome {#2235
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1977"
"label" => array:2 [
"en" => "Ph.D. in Finance"
"fr" => "Ph.D. en Finance"
]
"institution" => array:2 [
"fr" => "Northwestern University"
"en" => "Northwestern University"
]
"country" => array:2 [
"fr" => "États-Unis"
"en" => "United States of America"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\Diplome {#2237
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1982"
"label" => array:2 [
"en" => "University Professor in Management Sciences (Agrégé des Universités)"
"fr" => "Agrégé des Universités"
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"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
2 => Essec\Faculty\Model\Diplome {#2234
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1970"
"label" => array:2 [
"en" => "Master in Law (Maîtrise de Droit Privé)"
"fr" => "Maîtrise de Droit Privé"
]
"institution" => array:2 [
"fr" => "Université Paris 2 Panthéon-Assas"
"en" => "Université Paris 2 Panthéon-Assas"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
3 => Essec\Faculty\Model\Diplome {#2238
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
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"label" => array:2 [
"en" => "MSc in Management"
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"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"bio" => array:2 [
"fr" => "<p><b>Patrice Poncet, diplômé de l’ESSEC, maîtrise de droit privé (</b><b>Paris Panthéon-Assas), et Ph.D. de Finance de Northwestern University (Kellogg School of Management), fut Professeur de Sciences de Gestion agrégé à l'Université Paris-Panthéon-Sorbonne, et est actuellement Professeur Eminent de Finance à l'ESSEC. Il a été Professeur visitant à New York University (Stern School of Business), administrateur du MONEP, membre du Comité scientifique de la Fondation pour la Recherche de la Banque de France, membre du Comité scientifique du CREST et expert financier près la Cour d’Appel de Versailles. Conseiller auprès d’institutions financières et Président d’Honneur de l'Association Française de Finance, il est également membre du Comité scientifique de l’AMF et membre du Comité de rédaction de plusieurs revues. Il a publié plus de soixante articles dans des revues scientifiques et professionnelles et douze livres. Il est Chevalier dans l’ordre des Palmes Académiques.</b></p>"
"en" => "<p><span style="color:rgb(0, 0, 0)">Patrice Poncet, MBA, ESSEC Business School, Master in Private Law, University of Paris Panthéon-Assas, and Ph.D. in Finance, Northwestern University (Kellogg School of Management), was Professor of Finance at the University of Paris-Panthéon-Sorbonne and is currently Distinguished Professor of Finance at ESSEC Business School. He was a visiting Professor at New York University (Stern School of Business), member of the Board of the Parisian Stock Option Market, member of the Scientific Committee of the Research Foundation of the Bank of France and of the Scientific Committee of INSEE’s Research Center, and financial expert at the Versailles Court of Appeal. Currently a consultant to financial institutions and Honorary President of the French Finance Association, he is also a member of AMF’s Scientific Committee and serves in the board of several academic journals. He has co-authored twelve books and has published more than sixty scientific or professional papers. He holds the Palmes Académiques Distinction.</span></p>"
]
"department" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"site" => array:2 [
"fr" => ""
"en" => ""
]
"industrrySectors" => array:2 [
"fr" => "Banques - Marchés financiers - Services financiers diversifiés"
"en" => "Banks - Capital Markets - Diversified Financial Services"
]
"researchFields" => array:2 [
"fr" => "Finance d'entreprise - Investissements et évaluation des actifs - Macroéconomie - Marchés financiers et institutions financières - Modélisation du risque et Actuariat"
"en" => "Corporate Finance - Investments & Asset Pricing - Macroeconomics - Financial Markets & Institutions - Risk Modelling & Actuarial Science"
]
"teachingFields" => array:2 [
"fr" => "Finance d'entreprise - Investissements et évaluation des actifs - Marchés financiers et institutions financières"
"en" => "Corporate Finance - Investments & Asset Pricing - Financial Markets & Institutions"
]
"distinctions" => array:3 [
0 => Essec\Faculty\Model\Distinction {#2265
#_index: null
#_id: null
#_source: array:6 [
"date" => "1999-05-31"
"label" => array:2 [
"fr" => "Président d'Honneur, Association Française de Finance (AFFI)"
"en" => "Honorary Président, French Finance Association (AFFI)"
]
"type" => array:2 [
"fr" => "Prix"
"en" => "Awards"
]
"tri" => " 1 "
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"fr" => null
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]
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]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\Distinction {#2266
#_index: null
#_id: null
#_source: array:6 [
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"label" => array:2 [
"fr" => "Who's who dans Finance and Industry"
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]
"type" => array:2 [
"fr" => "Prix"
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}
2 => Essec\Faculty\Model\Distinction {#2267
#_index: null
#_id: null
#_source: array:6 [
"date" => "2006-07-01"
"label" => array:2 [
"fr" => "Chevalier des Palmes Académiques"
"en" => "Chevalier des Palmes Académiques"
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"type" => array:2 [
"fr" => "Prix"
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]
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]
]
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}
]
"teaching" => array:2 [
0 => Essec\Faculty\Model\TeachingItem {#2253
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2013"
"endDate" => "2017"
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"label" => array:2 [
"fr" => "Political variables, financial markets and extreme events"
"en" => "Political variables, financial markets and extreme events"
]
"type" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
1 => Essec\Faculty\Model\TeachingItem {#2252
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2008"
"endDate" => "2012"
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"en" => "Exotic options, infinitely divisible distributions and Levy processes - Theoretical and applied perspectives"
]
"type" => array:2 [
"fr" => "Directeur de thèse"
"en" => "Thesis director"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
}
]
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0 => Essec\Faculty\Model\ExtraActivity {#2232
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#_id: null
#_source: array:9 [
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"uuid" => "501"
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"label" => array:2 [
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"en" => "Member of the Scientific Committee of AMF (Autorité des Marchés Financiers)"
]
"institution" => array:2 [
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}
1 => Essec\Faculty\Model\ExtraActivity {#2236
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}
2 => Essec\Faculty\Model\ExtraActivity {#2239
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}
3 => Essec\Faculty\Model\ExtraActivity {#2240
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4 => Essec\Faculty\Model\ExtraActivity {#2241
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5 => Essec\Faculty\Model\ExtraActivity {#2242
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"uuid" => "501"
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"en" => "Professional activities"
]
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"en" => "Member of a professional association, of an expert group or of a board of directors"
]
"label" => array:2 [
"fr" => "Membre du Conseil de Réglementation et de Développement du MONEP"
"en" => "Member of the Conseil de Réglementation et de Développement du MONEP"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
6 => Essec\Faculty\Model\ExtraActivity {#2243
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1991-01-01"
"endDate" => "2008-12-31"
"year" => null
"uuid" => "501"
"type" => array:2 [
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"en" => "Member of a professional association, of an expert group or of a board of directors"
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"label" => array:2 [
"fr" => "Expert financier près la Cour d'Appel de Versailles"
"en" => "Financial Expert for the Cour d'Appel of Versailles"
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"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => "France"
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]
+lang: "fr"
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}
7 => Essec\Faculty\Model\ExtraActivity {#2244
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2015-07-01"
"endDate" => "2015-08-31"
"year" => null
"uuid" => "502"
"type" => array:2 [
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"subType" => array:2 [
"fr" => "Consulting"
"en" => "Consulting"
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"label" => array:2 [
"fr" => "Consultant à la Société Générale (Special Study on Equity Derivatives Trading)"
"en" => "Consultant at Société Générale (and Special study on Equity Derivatives Trading)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
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}
8 => Essec\Faculty\Model\ExtraActivity {#2245
#_index: null
#_id: null
#_source: array:9 [
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"type" => array:2 [
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]
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"fr" => null
"en" => null
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"country" => array:2 [
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]
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}
9 => Essec\Faculty\Model\ExtraActivity {#2246
#_index: null
#_id: null
#_source: array:9 [
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"year" => null
"uuid" => "202"
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"fr" => "Activités de recherche"
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"fr" => "Fonction dans une association académique"
"en" => "Function in an academic association"
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"label" => array:2 [
"fr" => "Président, Association Française de Finance (AFFI)"
"en" => "President, Association Française de Finance (AFFI)"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
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]
+lang: "fr"
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}
10 => Essec\Faculty\Model\ExtraActivity {#2247
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "1949-04-11"
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"uuid" => "501"
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"en" => "Member of a professional association, of an expert group or of a board of directors"
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"label" => array:2 [
"fr" => "Administrateur de MONEP SA"
"en" => "Administrator of MONEP SA"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
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]
+lang: "fr"
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}
11 => Essec\Faculty\Model\ExtraActivity {#2248
#_index: null
#_id: null
#_source: array:9 [
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"type" => array:2 [
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"subType" => array:2 [
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"en" => "Editorial Board Membership"
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"label" => array:2 [
"fr" => "Membre du comité de lecture - Bankers, Markets and Investors"
"en" => "Editorial board membership - Bankers, Markets and Investors"
]
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"fr" => null
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"country" => array:2 [
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}
12 => Essec\Faculty\Model\ExtraActivity {#2249
#_index: null
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"label" => array:2 [
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"en" => "Editorial board membership - Bankers, Markets and Investors"
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"institution" => array:2 [
"fr" => null
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"country" => array:2 [
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}
13 => Essec\Faculty\Model\ExtraActivity {#2250
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2011-01-01"
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"uuid" => "103"
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"fr" => "Membre du comité de lecture - Frontiers in Finance and Economics"
"en" => "Editorial board membership - Frontiers in Finance and Economics"
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}
14 => Essec\Faculty\Model\ExtraActivity {#2251
#_index: null
#_id: null
#_source: array:9 [
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"subType" => array:2 [
"fr" => "Membre d'un comité de lecture"
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"label" => array:2 [
"fr" => "Membre du comité de lecture - Journal of Financial Perspectives"
"en" => "Editorial board membership - Journal of Financial Perspectives"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
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]
]
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}
]
"theses" => array:2 [
0 => Essec\Faculty\Model\These {#2268
#_index: null
#_id: null
#_source: array:9 [
"year" => "2012"
"startDate" => "2008"
"endDate" => "2012"
"student" => "COQUERET Guillaume"
"firstJob" => "Associate Professor of Finance - EM Lyon Business School"
"label" => array:2 [
"fr" => "Exotic options, infinitely divisible distributions and Levy processes - Theoretical and applied perspectives"
"en" => "Exotic options, infinitely divisible distributions and Levy processes - Theoretical and applied perspectives"
]
"role" => array:2 [
"fr" => "Directeur de thèse"
"en" => "Thesis director"
]
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"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
1 => Essec\Faculty\Model\These {#2269
#_index: null
#_id: null
#_source: array:9 [
"year" => "2017"
"startDate" => "2013"
"endDate" => "2017"
"student" => "PAGLIARDI Giovanni"
"firstJob" => "Associate Professor - BI Norwegian Business School"
"label" => array:2 [
"fr" => "Political variables, financial markets and extreme events"
"en" => "Political variables, financial markets and extreme events"
]
"role" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "fr"
+"parent": Essec\Faculty\Model\Profile {#2233}
}
]
"indexedAt" => "2024-11-21T05:21:23.000Z"
"contributions" => array:142 [
0 => Essec\Faculty\Model\Contribution {#2271
#_index: "academ_contributions"
#_id: "739"
#_source: array:18 [
"id" => "739"
"slug" => "brochure-dinformation-technique-officielle-du-matif"
"yearMonth" => "1986-01"
"year" => "1986"
"title" => "Brochure d'information technique officielle du MATIF"
"description" => "PONCET, P., JACQUILLAT, B. et PORTAIT, R. (1986). Brochure d'information technique officielle du MATIF."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "JACQUILLAT B."
]
2 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
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"publicationUrl" => null
"publicationInfo" => array:3 [
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]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
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"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
1 => Essec\Faculty\Model\Contribution {#2273
#_index: "academ_contributions"
#_id: "1272"
#_source: array:18 [
"id" => "1272"
"slug" => "gestion-collective-le-salaire-du-risque"
"yearMonth" => "1990-03"
"year" => "1990"
"title" => "Gestion collective : le salaire du risque"
"description" => "AFTALION, F. et PONCET, P. (1990). Gestion collective : le salaire du risque. <i>Haute Finance</i>, pp. 87-89."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:18"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "87-89"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
2 => Essec\Faculty\Model\Contribution {#2275
#_index: "academ_contributions"
#_id: "1495"
#_source: array:18 [
"id" => "1495"
"slug" => "la-finance-recoit-le-prix-nobel"
"yearMonth" => "1990-12"
"year" => "1990"
"title" => "La finance reçoit le Prix Nobel"
"description" => "AFTALION, F. et PONCET, P. (1990). La finance reçoit le Prix Nobel. <i>Haute Finance</i>, pp. 34-36."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "34-36"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
3 => Essec\Faculty\Model\Contribution {#2272
#_index: "academ_contributions"
#_id: "1501"
#_source: array:18 [
"id" => "1501"
"slug" => "la-formation-aux-nouvelles-techniques-financieres"
"yearMonth" => "1990-06"
"year" => "1990"
"title" => "La formation aux nouvelles techniques financières"
"description" => "AFTALION, F., PONCET, P. et PORTAIT, R. (1990). La formation aux nouvelles techniques financières. <i>Banque et Stratégie</i>, pp. 15-16."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
2 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "15-16"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
4 => Essec\Faculty\Model\Contribution {#2276
#_index: "academ_contributions"
#_id: "1528"
#_source: array:18 [
"id" => "1528"
"slug" => "la-mesure-de-performance-dune-sicav-marianne"
"yearMonth" => "1990-01"
"year" => "1990"
"title" => "La mesure de performance d'une SICAV : Marianne"
"description" => "AFTALION, F. et PONCET, P. (1990). La mesure de performance d'une SICAV : Marianne. <i>Synthèse Financière</i>, pp. 2."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:26"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "2"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
5 => Essec\Faculty\Model\Contribution {#2270
#_index: "academ_contributions"
#_id: "1576"
#_source: array:18 [
"id" => "1576"
"slug" => "la-stabilite-a-long-terme-de-la-demande-de-monnaie-de-court-terme-une-comparaison-internationale"
"yearMonth" => "1991-03"
"year" => "1991"
"title" => "La stabilité à long terme de la demande de monnaie de court terme : une comparaison internationale"
"description" => "PONCET, P. (1991). La stabilité à long terme de la demande de monnaie de court terme : une comparaison internationale. <i>Economies et Sociétés</i>, pp. 49-74."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "49-74"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
6 => Essec\Faculty\Model\Contribution {#2274
#_index: "academ_contributions"
#_id: "1583"
#_source: array:18 [
"id" => "1583"
"slug" => "la-theorie-moderne-du-portefeuille"
"yearMonth" => "2008-01"
"year" => "2008"
"title" => "La théorie moderne du portefeuille"
"description" => "PONCET, P. (2008). La théorie moderne du portefeuille. <i>Maths & Finance</i>, pp. 14-19."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Diversification"
1 => "Portefeuille"
2 => "Portfolio"
3 => "Théorème de séparation"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "14-19"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente la génèse et le développement de la théorie du portefeuille due à H. Markowitz."
"en" => "This article presents the origins and developpment of modern portfolio theory pioneered by H. Markowitz."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
7 => Essec\Faculty\Model\Contribution {#2277
#_index: "academ_contributions"
#_id: "1803"
#_source: array:18 [
"id" => "1803"
"slug" => "les-difficultes-de-levaluation-de-la-performance-des-portefeuilles"
"yearMonth" => "1989-06"
"year" => "1989"
"title" => "Les difficultés de l'évaluation de la performance des portefeuilles"
"description" => "AFTALION, F. et PONCET, P. (1989). Les difficultés de l'évaluation de la performance des portefeuilles. <i>Le Figaro</i>, pp. 3."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "3"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
8 => Essec\Faculty\Model\Contribution {#2278
#_index: "academ_contributions"
#_id: "1835"
#_source: array:18 [
"id" => "1835"
"slug" => "les-marches-a-terme-dinstruments-financiers-quelques-mises-au-point-sur-les-theories-de-la-couverture-et-de-lequilibre"
"yearMonth" => "1987-12"
"year" => "1987"
"title" => "Les marchés à terme d'instruments financiers : quelques mises au point sur les théories de la couverture et de l'équilibre"
"description" => "PONCET, P. et PORTAIT, R. (1987). Les marchés à terme d'instruments financiers : quelques mises au point sur les théories de la couverture et de l'équilibre. <i>Finance</i>, pp. 55-76."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:35"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "55-76"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
9 => Essec\Faculty\Model\Contribution {#2279
#_index: "academ_contributions"
#_id: "1849"
#_source: array:18 [
"id" => "1849"
"slug" => "les-operations-sur-le-matif-et-la-fiscalite"
"yearMonth" => "1986-10"
"year" => "1986"
"title" => "Les opérations sur le MATIF et la fiscalité"
"description" => "PONCET, P. et PORTAIT, R. (1986). Les opérations sur le MATIF et la fiscalité. <i>Analyse Financière</i>, pp. 66-74."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:35"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "66-74"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
10 => Essec\Faculty\Model\Contribution {#2280
#_index: "academ_contributions"
#_id: "1886"
#_source: array:18 [
"id" => "1886"
"slug" => "les-strategies-doptions-arbitrages-adaptes-aux-contrats-francais"
"yearMonth" => "1987-07"
"year" => "1987"
"title" => "Les stratégies d'options : arbitrages adaptés aux contrats français"
"description" => "PONCET, P., PORTAIT, R. et BITO, C. (1987). Les stratégies d'options : arbitrages adaptés aux contrats français. <i>Analyse Financière</i>, pp. 80-87."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
2 => array:1 [
"name" => "BITO Christian"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:36"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "80-87"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
11 => Essec\Faculty\Model\Contribution {#2281
#_index: "academ_contributions"
#_id: "1903"
#_source: array:18 [
"id" => "1903"
"slug" => "levaluation-des-performances-des-opcvm"
"yearMonth" => "1989-12"
"year" => "1989"
"title" => "L'évaluation des performances des OPCVM"
"description" => "AFTALION, F. et PONCET, P. (1989). L'évaluation des performances des OPCVM. <i>OPCVM, Finway</i>, pp. 47-49."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:37"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "47-49"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
12 => Essec\Faculty\Model\Contribution {#2282
#_index: "academ_contributions"
#_id: "1947"
#_source: array:18 [
"id" => "1947"
"slug" => "linfluence-de-lexistence-doptions-cge-sur-la-volatilite-du-titre"
"yearMonth" => "1990-11"
"year" => "1990"
"title" => "L'influence de l'existence d'options CGE sur la volatilité du titre"
"description" => "PONCET, P. (1990). L'influence de l'existence d'options CGE sur la volatilité du titre. <i>Synthèse Financière</i>, pp. 3."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:38"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "3"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
13 => Essec\Faculty\Model\Contribution {#2283
#_index: "academ_contributions"
#_id: "2033"
#_source: array:18 [
"id" => "2033"
"slug" => "market-making-sur-le-monep"
"yearMonth" => "1989-02"
"year" => "1989"
"title" => "Market-making sur le MONEP"
"description" => "PONCET, P. (1989). Market-making sur le MONEP. <i>Banque</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:41"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
14 => Essec\Faculty\Model\Contribution {#2284
#_index: "academ_contributions"
#_id: "2109"
#_source: array:18 [
"id" => "2109"
"slug" => "notes-de-lecture-les-options-negociables-daugros-et-navatte-vuibert-1987-et-les-options-sur-actions-dassocies-en-finance-p-u-f-1987"
"yearMonth" => "1988-06"
"year" => "1988"
"title" => "Notes de lecture : "Les options négociables" d'Augros et Navatte, Vuibert 1987 , et " Les options sur actions", d'Associés en Finance, P.U.F. 1987"
"description" => "PONCET, P. (1988). Notes de lecture : "Les options négociables" d'Augros et Navatte, Vuibert 1987 , et " Les options sur actions", d'Associés en Finance, P.U.F. 1987. <i>Finance</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:43"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
15 => Essec\Faculty\Model\Contribution {#2285
#_index: "academ_contributions"
#_id: "2110"
#_source: array:18 [
"id" => "2110"
"slug" => "notes-de-lecture-les-options-sur-taux-dinteret-dynamique-des-taux-et-evaluation-de-j-c-augros-economica-gestion-1989"
"yearMonth" => "1990-12"
"year" => "1990"
"title" => "Notes de lecture : "Les options sur taux d'intérêt dynamique des taux et évaluation" de J.C. Augros, Economica, gestion, 1989"
"description" => "PONCET, P. (1990). Notes de lecture : "Les options sur taux d'intérêt dynamique des taux et évaluation" de J.C. Augros, Economica, gestion, 1989. <i>Finance</i>, pp. 137-139."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:43"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "137-139"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
16 => Essec\Faculty\Model\Contribution {#2286
#_index: "academ_contributions"
#_id: "719"
#_source: array:18 [
"id" => "719"
"slug" => "bernoulli-speculator-and-trading-strategy-risk"
"yearMonth" => "2000-07"
"year" => "2000"
"title" => "Bernoulli Speculator and Trading Strategy Risk"
"description" => "PONCET, P. et LIOUI, A. (2000). Bernoulli Speculator and Trading Strategy Risk. <i>Journal of Futures Markets</i>, pp. 507-523."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "507-523"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Un spéculateur logarithmique intervient sur des contrats forwards ou futures écrits sur une obligation zéro-coupon dont le prix obéit au modèle de Heath-Jarrow-Morton. Par rapport à la stratégie utilisant des futures, celle utilisant des forwards fait apparaître un terme supplémentaire. Ce terme est nouveau dans la littérature et représente une couverture dynamique contre le risque de taux d'intérêt que fait subir au spéculateur la position forward même."
"en" => "A log utility speculator trades on either forwards or futures written on a long term bond whose price obeys the Heath-Jarrow-Morton model. The strategy involving forwards, as compared to the one using futures, exhibits an extra term, akin to, but different from, a Merton-Breeden dynamic hedge. This term is novel and is a hedge againt the interest-rate risk brought about by the optimal trading strategy itself."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
17 => Essec\Faculty\Model\Contribution {#2287
#_index: "academ_contributions"
#_id: "2142"
#_source: array:18 [
"id" => "2142"
"slug" => "opcvm-pour-faire-mieux-que-lindice"
"yearMonth" => "1990-09"
"year" => "1990"
"title" => "OPCVM : pour faire mieux que l'indice"
"description" => "PONCET, P. (1990). OPCVM : pour faire mieux que l'indice. <i>Investir</i>, pp. 6-7."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:44"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "6-7"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
18 => Essec\Faculty\Model\Contribution {#2288
#_index: "academ_contributions"
#_id: "2216"
#_source: array:18 [
"id" => "2216"
"slug" => "performances-des-opcvm-et-efficience-des-marches-boursiers"
"yearMonth" => "1990-03"
"year" => "1990"
"title" => "Performances des OPCVM et efficience des marchés boursiers"
"description" => "PONCET, P. (1990). Performances des OPCVM et efficience des marchés boursiers. <i>Editorial de la Lettre de l'AFFI</i>, pp. 1-2."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1-2"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
19 => Essec\Faculty\Model\Contribution {#2289
#_index: "academ_contributions"
#_id: "2291"
#_source: array:18 [
"id" => "2291"
"slug" => "problemes-et-solutions"
"yearMonth" => "1991-06"
"year" => "1991"
"title" => "Problèmes et solutions"
"description" => "AFTALION, F. et PONCET, P. (1991). Problèmes et solutions. <i>Banque</i>, pp. 582-588."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:48"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "582-588"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
20 => Essec\Faculty\Model\Contribution {#2290
#_index: "academ_contributions"
#_id: "757"
#_source: array:18 [
"id" => "757"
"slug" => "capital-structure-and-debt-priority"
"yearMonth" => "2013-12"
"year" => "2013"
"title" => "Capital Structure and Debt Priority"
"description" => "ATTAOUI, S. et PONCET, P. (2013). Capital Structure and Debt Priority. <i>Financial Management</i>, 42(4), pp. 737-775."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "ATTAOUI S."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Liquidation"
1 => "Probabilité de défaut"
2 => "Spread de crédit"
3 => "Structure de priorité de la dette"
4 => "Structure du capital"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://onlinelibrary.wiley.com/doi/abs/10.1111/fima.12011"
"publicationInfo" => array:3 [
"pages" => "737-775"
"volume" => "42"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous dérivons des solutions explicites pour les valeurs de marché du capital et des dettes d'une firme sujette au défaut quand deux types de dette, senior et junior, sont émis. Nous déterminons simultanément la structure optimale des dettes et la structure optimale du passif. Nous examinons le spread de rendement entre les deux types de dette, la structure par terme des spreads, et celle des probabilités de défaut."
"en" => "We derive closed form solutions for the market values of a defaultable firm's debt and equity when debt has a heterogeneous priority structure and the absolute priority rule prevails. We determine the firm's interior optimal priority structure and its optimal capital structure. We also examine the spread differential between senior and junior bond yields and the term structure of credit spreads and default probabilities."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
21 => Essec\Faculty\Model\Contribution {#2291
#_index: "academ_contributions"
#_id: "2536"
#_source: array:18 [
"id" => "2536"
"slug" => "strategies-dynamiques-dutilisation-des-options"
"yearMonth" => "1987-10"
"year" => "1987"
"title" => "Stratégies dynamiques d'utilisation des options"
"description" => "BITO, R., PONCET, P. et PORTAIT, R. (1987). Stratégies dynamiques d'utilisation des options. <i>Analyse Financière</i>, pp. 56-65."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "BITO R."
]
2 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:55"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "56-65"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
22 => Essec\Faculty\Model\Contribution {#2292
#_index: "academ_contributions"
#_id: "2790"
#_source: array:18 [
"id" => "2790"
"slug" => "un-nouveau-metier-sur-la-place-financiere-de-paris-market-maker"
"yearMonth" => "1989-01"
"year" => "1989"
"title" => "Un nouveau métier sur la place financière de Paris : market-maker"
"description" => "PONCET, P. et BITO, C. (1989). Un nouveau métier sur la place financière de Paris : market-maker. <i>Banque</i>."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "BITO Christian"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:02"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
23 => Essec\Faculty\Model\Contribution {#2293
#_index: "academ_contributions"
#_id: "2989"
#_source: array:18 [
"id" => "2989"
"slug" => "dynamic-asset-allocation-with-forwards-and-futures"
"yearMonth" => "2005-01"
"year" => "2005"
"title" => "Dynamic Asset Allocation with Forwards and Futures"
"description" => "LIOUI, A. et PONCET, P. (2005). <i>Dynamic Asset Allocation with Forwards and Futures</i>. Springer, 263 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
24 => Essec\Faculty\Model\Contribution {#2294
#_index: "academ_contributions"
#_id: "3003"
#_source: array:18 [
"id" => "3003"
"slug" => "finance-de-marche"
"yearMonth" => "2008-09"
"year" => "2008"
"title" => "Finance de marché"
"description" => "PORTAIT, R. et PONCET, P. (2008). <i>Finance de marché</i>. Dalloz, 1089 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Gestion de portefeuille"
1 => "Gestion des risques"
2 => "Instruments financiers"
3 => "Risk Management"
]
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet ouvrage, unique en son genre, présente tous les actifs primitifs, tous les dérivés, la gestion de portefeuille, les mesures et la gestion du risque."
"en" => "This unique textbook offers an extensive analysis of primitive assets, derivatives, portfolio, theory and mangement, and risk measures and management."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
25 => Essec\Faculty\Model\Contribution {#2295
#_index: "academ_contributions"
#_id: "3005"
#_source: array:18 [
"id" => "3005"
"slug" => "finance-de-marche-3eme-edition"
"yearMonth" => "2012-01"
"year" => "2012"
"title" => "Finance de marché [3ème édition]"
"description" => "PORTAIT, R. et PONCET, P. (2012). <i>Finance de marché [3ème édition]</i>. 3 ed. Dalloz, 1089 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
26 => Essec\Faculty\Model\Contribution {#2296
#_index: "academ_contributions"
#_id: "3079"
#_source: array:18 [
"id" => "3079"
"slug" => "la-finance-quantitative-collaboration-de-p-poncet-pour-la-traduction-francaise-du-livre-de-paul-wilmott"
"yearMonth" => "2007-01"
"year" => "2007"
"title" => "La finance quantitative (Collaboration de P. Poncet pour la traduction française du livre de Paul Wilmott)"
"description" => "PONCET, P. et MATHIEU, F. (2007). <i>La finance quantitative (Collaboration de P. Poncet pour la traduction française du livre de Paul Wilmott)</i>. Eyrolles, 264 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "MATHIEU F."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
27 => Essec\Faculty\Model\Contribution {#2297
#_index: "academ_contributions"
#_id: "3143"
#_source: array:18 [
"id" => "3143"
"slug" => "le-matif"
"yearMonth" => "1991-12"
"year" => "1991"
"title" => "Le MATIF"
"description" => "AFTALION, F. et PONCET, P. (1991). <i>Le MATIF</i>. PUF, 128 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet ouvrage décrit tous les produits négociés sur le MATIF, futures comme options. On y présente également l'analyse de leur utilisation à des fins de spéculation, arbitrage et couverture."
"en" => "This book describes the characteristics of all the products negotiated on the MATIF. The use of these products for speculation, arbitrage and hedging is also analyzed."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
28 => Essec\Faculty\Model\Contribution {#2298
#_index: "academ_contributions"
#_id: "3144"
#_source: array:18 [
"id" => "3144"
"slug" => "le-matif-analyse-economique-et-principes-de-couverture"
"yearMonth" => "1986-01"
"year" => "1986"
"title" => "Le MATIF : analyse économique et principes de couverture"
"description" => "PONCET, P., PORTAIT, R. et JACQUILLAT, B. (1986). <i>Le MATIF : analyse économique et principes de couverture</i>. La Revue Banque, 82 pages."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
2 => array:1 [
"name" => "JACQUILLAT B."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
29 => Essec\Faculty\Model\Contribution {#2299
#_index: "academ_contributions"
#_id: "3145"
#_source: array:18 [
"id" => "3145"
"slug" => "le-matif-le-marche-a-terme-dinstruments-financiers"
"yearMonth" => "1988-01"
"year" => "1988"
"title" => "Le MATIF : le marché à terme d'instruments financiers"
"description" => "AFTALION, F. et PONCET, P. (1988). <i>Le MATIF : le marché à terme d'instruments financiers</i>. PUF, 158 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
30 => Essec\Faculty\Model\Contribution {#2300
#_index: "academ_contributions"
#_id: "3147"
#_source: array:18 [
"id" => "3147"
"slug" => "le-monetarisme"
"yearMonth" => "1987-01"
"year" => "1987"
"title" => "Le monétarisme"
"description" => "AFTALION, F. et PONCET, P. (1987). <i>Le monétarisme</i>. PUF, 128 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
31 => Essec\Faculty\Model\Contribution {#2301
#_index: "academ_contributions"
#_id: "1040"
#_source: array:18 [
"id" => "1040"
"slug" => "dynamic-asset-pricing-with-non-redundant-forwards"
"yearMonth" => "2003-01"
"year" => "2003"
"title" => "Dynamic Asset Pricing with Non-redundant Forwards"
"description" => "LIOUI, A. et PONCET, P. (2003). Dynamic Asset Pricing with Non-redundant Forwards. <i>Journal of Economic Dynamics and Control</i>, pp. 1163-1180."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1163-1180"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans un marché incomplet complété par des forwards non redondants, et avec K variables d'état, un théorème de séparation en (K+3) fonds, plutôt qu'en (K+2) fonds comme Merton, s'obtient, le fond supplémentaire étant dû au risque associé à la stratégie optimale elle-même. D'autre part, l 'efficience du portefeuille de marché n'est une condition ni nécessaire ni suffisante pour la relation linéaire entre bêta et rentabilité espérée. Enfin l'équation de prix des forwards est différente de celle des actifs au comptant."
"en" => "In an incomplete market with non-redundant forward contract and with K state variables, a (K+3)- mutual fund separation theorem is obtained in lieu of Merton's (K+2)- fund because of the interest rate risk brought about by the optimal portfolio strategy itself. Second, the mean-variance efficiency of the market portfolio is neither a necessary nor a sufficient condition for linear relationship between expected return and beta to hold. Third, the pricing equation for a forward contract is different from that for a cash asset."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
32 => Essec\Faculty\Model\Contribution {#2302
#_index: "academ_contributions"
#_id: "1149"
#_source: array:18 [
"id" => "1149"
"slug" => "evaluation-des-options-sur-obligations-et-sur-contrats-a-terme-dobligations"
"yearMonth" => "1995-01"
"year" => "1995"
"title" => "Evaluation des options sur obligations et sur contrats à terme d'obligations"
"description" => "MELLIOS, K. et PONCET, P. (1995). Evaluation des options sur obligations et sur contrats à terme d'obligations. <i>Bankers, Markets and Investors</i>, pp. 3-10."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "MELLIOS K."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:12"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "3-10"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "On valorise ici les obligations zéro-coupons et les options européennes écrites sur ces dernières et sur des contrats à terme forward et futures. On obtient des solutions analytiques à la Black-Scholes dans le cadre d'un cas particulier du modèle de Heath-Jarrow-Morton."
"en" => "In this article we evaluate pure discount bonds and European options written on the latter and on forward and futures contracts . Using a particular case of the Heath-Jarrow-Morton model, we obtain Black-Scholes-like closed-form solutions."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
33 => Essec\Faculty\Model\Contribution {#2303
#_index: "academ_contributions"
#_id: "1260"
#_source: array:18 [
"id" => "1260"
"slug" => "general-equilibrium-pricing-of-cpi-derivatives"
"yearMonth" => "2005-05"
"year" => "2005"
"title" => "General Equilibrium Pricing of CPI Derivatives"
"description" => "LIOUI, A. et PONCET, P. (2005). General Equilibrium Pricing of CPI Derivatives. <i>Journal of Banking & Finance</i>, pp. 1265-1294."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1265-1294"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous évaluons des contrats forward, futures et d'options dont le sous-jacent est l'Indice des prix à la consommation. Pour ce faire, nous construisons l'équilibre général en temps continu d'une économie monétaire affectée par des chocs réels et nominaux. Les solutions pour le niveau des prix, le taux d'inflation et les prix des produits dérivés sont obtenues dans ce contexte. Des solutions explicites sont obtenues dans un cas particulier."
"en" => "We value forward, futures and options contracts written on the Consumer Price Index. To this aim, we build the general equilibrium of a continuous time monetary economy affected by both real and nominal shocks. Solutions are derived, for the price level, the inflation rate and CPI derivatives, the latter being expressed inclosed form in a particular case."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
34 => Essec\Faculty\Model\Contribution {#2304
#_index: "academ_contributions"
#_id: "1261"
#_source: array:18 [
"id" => "1261"
"slug" => "general-equilibrium-pricing-of-nonredundant-forward-contracts"
"yearMonth" => "2003-09"
"year" => "2003"
"title" => "General Equilibrium Pricing of Nonredundant Forward Contracts"
"description" => "LIOUI, A. et PONCET, P. (2003). General Equilibrium Pricing of Nonredundant Forward Contracts. <i>Journal of Futures Markets</i>, pp. 817-840."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "817-840"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le CAPM basé sur la consommation de Breeden contient, en ce qui concerne les forwards, un terme supplémentaire par rapport aux actifs primitifs. Cette prime de risque compense les investisseurs pour le risque systématique qui résulte de leur utilisation de contrats forward. Le CAPM multi-bêta de Merton doit lui aussi être amandé. Enfin, la relation de cash-and-carry n'est pas valide en général."
"en" => "Breeden's consumption-based CAPM equation for forward contracts contains an extra term relative to that for cash assets. This new term is a strategy risk premium that compensates investors for the systematic risk that stems from their using nonredundant forward contracts. Merton's multibeta CAPM must also be amended for forward contracts. In general, the cash-and-carry formula does not hold."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
35 => Essec\Faculty\Model\Contribution {#2305
#_index: "academ_contributions"
#_id: "1262"
#_source: array:18 [
"id" => "1262"
"slug" => "general-equilibrium-real-and-nominal-interest-rates"
"yearMonth" => "2004-01"
"year" => "2004"
"title" => "General Equilibrium Real and Nominal Interest Rates"
"description" => "LIOUI, A. et PONCET, P. (2004). General Equilibrium Real and Nominal Interest Rates. <i>Journal of Banking & Finance</i>, pp. 1569-1595."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1569-1595"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous dérivons les taux réels et nominaux d'équilibre dans une économie monétaire affectée par des chocs réels et monétaires. Une propriété intrinsèque de l'équilibre est que la dynamique de toute variable réelle est influencée par les facteurs réels et monétaires, ce qui implique une non-neutralité générique de la monnaie. Dans une version spécialisée de l'économie, nous obtenons une dynamique pour le taux nominal suffisamment générale pour englober toutes les dynamiques présentées dans la littérature, de Vasicek et CIR aux modèles récent non-linéaires."
"en" => "We derive the general equilibrium short-term real and nominal interest rates in a monetary economy affected by technological and monetary shocks. We show that an inherent feature of our equilibrium is that any real variable dynamic driven by both monetary and real factors, implying that money is generically non-neutral. We than analyze a specialized version of this economy. The short-term nominal rate dynamics we obtain encompasses most of the dynamics present in the literature, from Vasicek and CIR to recent quadratic and, more generally, non-linear interest rate models."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
36 => Essec\Faculty\Model\Contribution {#2306
#_index: "academ_contributions"
#_id: "8273"
#_source: array:18 [
"id" => "8273"
"slug" => "modes-de-cotation-marches-a-terme-et-doptions-et-volatilite-des-cours"
"yearMonth" => "1990-01"
"year" => "1990"
"title" => "Modes de cotation, marchés à terme et d'options, et volatilité des cours"
"description" => "PONCET, P. (1990). <i>Modes de cotation, marchés à terme et d'options, et volatilité des cours</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
37 => Essec\Faculty\Model\Contribution {#2307
#_index: "academ_contributions"
#_id: "3106"
#_source: array:18 [
"id" => "3106"
"slug" => "la-theorie-moderne-du-portefeuille"
"yearMonth" => "1998-12"
"year" => "1998"
"title" => "La théorie moderne du portefeuille"
"description" => "AFTALION, F., PONCET, P. et PORTAIT, R. (1998). <i>La théorie moderne du portefeuille</i>. PUF, 128 pages."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
2 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La théorie moderne du portefeuille repose sur l'analyse du compromis optimal rentabilité espérée-risque. Elle inspire aujourd'hui les méthodes de gestion quantitative des portefeuilles. Cet ouvrage étudie donc l'ensemble des concepts, modèles et outils utilisés en théorie de l'évaluation des actifs financiers et la gestion des portefeuilles des actifs financiers. Cet ouvrage est en phase avec une actualité liée à la crise financière internationale, à l'ouverture des frontières financières, à la globalisation des marchés et à la concurrence européenne."
"en" => "Modern Portfolio Theory is grounded on the analysis of the optimal expected return-risk trade-off. Today, it is used in most quantitative portfolio management methods. This book studies all the concepts, models and tools used in portfolio management techniques. It is useful for understanding the contemporary international financial crisis as well as financial market globalization."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
38 => Essec\Faculty\Model\Contribution {#2308
#_index: "academ_contributions"
#_id: "8412"
#_source: array:18 [
"id" => "8412"
"slug" => "strategies-dynamiques-dutilisation-des-options"
"yearMonth" => "1987-01"
"year" => "1987"
"title" => "Stratégies dynamiques d'utilisation des options"
"description" => "BITO, C., PONCET, P. et PORTAIT, R. (1987). <i>Stratégies dynamiques d'utilisation des options</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "BITO Christian"
]
2 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
39 => Essec\Faculty\Model\Contribution {#2309
#_index: "academ_contributions"
#_id: "3148"
#_source: array:18 [
"id" => "3148"
"slug" => "le-monetarisme"
"yearMonth" => "1995-03"
"year" => "1995"
"title" => "Le monétarisme"
"description" => "AFTALION, F. et PONCET, P. (1995). <i>Le monétarisme</i>. PUF, 128 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "L'ouvrage résume les principales propositions monétaristes concernant la demande et l'offre de monnaie, les mécanismes de transmission de la politique monétaire, la relation inflation-chômage, la relation monnaie-inflation-taux d'intérêt et examine l'étendue des désaccords entre Monétaristes et Keynésiens."
"en" => "The book summarizes the main monetarist propositions relative to the supply of and demand for money, the transmission mechanisms of monetary policy, the inflation-unemployment trade-off, the relationship between money, inflation and interest rates, and then discusses the relevance and scope of the monetarist-keynesian controversy."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
40 => Essec\Faculty\Model\Contribution {#2310
#_index: "academ_contributions"
#_id: "8582"
#_source: array:18 [
"id" => "8582"
"slug" => "bankers-markets-investors"
"yearMonth" => "2013-03"
"year" => "2013"
"title" => "Bankers, Markets & Investors"
"description" => "PONCET, P. 2013. <i>Bankers, Markets & Investors</i>. Mars."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Interviews : Emission radio - TV - presse écrite"
"en" => "Interviews: radio - TV - press"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
41 => Essec\Faculty\Model\Contribution {#2311
#_index: "academ_contributions"
#_id: "3180"
#_source: array:18 [
"id" => "3180"
"slug" => "les-futures-sur-taux-dinteret-le-matif"
"yearMonth" => "1991-01"
"year" => "1991"
"title" => "Les futures sur taux d'intérêt : le MATIF"
"description" => "AFTALION, F. et PONCET, P. (1991). <i>Les futures sur taux d'intérêt : le MATIF</i>. PUF, 249 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Après une analyse de la notion de marché organisé, cet ouvrage décrit les produits négociés sur le MATIF. On y expose également la théorie des arbitrages et de la couverture. Une place importante est accordée à des exercices pratiques."
"en" => "The notion of organized markets and the products negotiated on the MATIF are described. The theoretical analysis of arbitrage and hedging is developed. Numerous practical exercises are included."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
42 => Essec\Faculty\Model\Contribution {#2312
#_index: "academ_contributions"
#_id: "3192"
#_source: array:18 [
"id" => "3192"
"slug" => "les-taux-dinteret"
"yearMonth" => "1989-04"
"year" => "1989"
"title" => "Les taux d'intérêt"
"description" => "AFTALION, F. et PONCET, P. (1989). <i>Les taux d'intérêt</i>. PUF, 128 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet ouvrage résume l'état de nos connaissances concernant les taux d'intérêt. Il aborde aussi bien les aspects micro-économiques et financier - en particulier leurs définitions et le problème de l'actualisation -, que macro-économiques - en particulier leurs relations avec l'inflation et les cours de change."
"en" => "This book summarises the state of the art concerning interest rates. It deals with microeconomics and financial issues (in particular definitions and present value computations) as well as with macroeconomic ones (relationships between interest rates and inflation or exchange rates)."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
43 => Essec\Faculty\Model\Contribution {#2313
#_index: "academ_contributions"
#_id: "3193"
#_source: array:18 [
"id" => "3193"
"slug" => "les-taux-dinteret"
"yearMonth" => "1994-03"
"year" => "1994"
"title" => "Les taux d'intérêt"
"description" => "AFTALION, F. et PONCET, P. (1994). <i>Les taux d'intérêt</i>. PUF, 128 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet ouvrage fait le point sur les connaissances concernant les taux d'intérêt. Il comporte sept chapitres au cours desquels sont présentées des études micro-économiques - calcul des primes de risque et structure par termes des taux d'intérêt et des questions micro-économiques. Parmi ces dernières, les relations entre politiques monétaires, inflation et taux de change sont particulièrement examinées. Un dernier chapitre est consacré à la gestion du risque de taux."
"en" => "This book summarizes the state of the art concerning interest rates. In seven chapters, micro as well as macro problems are presented. In particular, two chapters are devoted to the study of risk premia and to the term structure of interest rates. The impact of monetary policy on inflation and foreign exchange rates is studied. The last chapter concerns the question of interest rate risk."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
44 => Essec\Faculty\Model\Contribution {#2314
#_index: "academ_contributions"
#_id: "3194"
#_source: array:18 [
"id" => "3194"
"slug" => "les-techniques-de-mesure-de-performance"
"yearMonth" => "2003-02"
"year" => "2003"
"title" => "Les techniques de mesure de performance"
"description" => "AFTALION, F. et PONCET, P. (2003). <i>Les techniques de mesure de performance</i>. Economica, 144 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Toute mesure de performance se heurte à deux difficultés principales. La première concerne la qualité des données, de nombreuses possibilités s'offrant aux professionnels quant aux modes de calculs, à la fréquence des observations, aux modes de rémunération des gestionnaires, à la façon de regrouper les portefeuilles gérés, aux entrées-sorties dans le fonds, etc. La seconde tient au fait que les espérances de rentabilité et les différentes mesures de risque envisageables sont des quantités inconnues qui, de ce fait, doivent être estimées. Et ces estimations posent de redoutables problèmes."
"en" => "Any performance measure faces two main difficulties. The first one is data quality, as numerous options are available regarding calculations, data frequency, incentive fees, portfolio grouping, management of inflows and outflows and the like. The second one is that expected returns and risk measures are unknown quantites that must be estimated. It turns out that such estimation is plagued by numerous issues."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
45 => Essec\Faculty\Model\Contribution {#2315
#_index: "academ_contributions"
#_id: "3227"
#_source: array:18 [
"id" => "3227"
"slug" => "mathematiques-financieres-evaluation-des-actifs-et-analyse-du-risque"
"yearMonth" => "1996-08"
"year" => "1996"
"title" => "Mathématiques financières - Evaluation des actifs et analyse du risque"
"description" => "PONCET, P., PORTAIT, R. et HAYAT, S. (1996). <i>Mathématiques financières - Evaluation des actifs et analyse du risque</i>. Précis Dalloz, 373 pages."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
2 => array:1 [
"name" => "HAYAT S."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet ouvrage a pour objectif de présenter les mathématiques financières modernes des instruments et des marchés en accordant une place prépondérante aux nouvelles méthodes applicables en avenir incertain, à l'évaluation des titres, l'analyse de leur risque et leur utilisation optimale en gestion des portefeuilles."
"en" => "This book presents the modern mathematics of financial instruments and markets and focuses on the new techniques that can be applied, in a context of uncertainty, to the valuation of financial and physical investments, risk analysis and measurement, and their optimal use in portfolio management."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
46 => Essec\Faculty\Model\Contribution {#2316
#_index: "academ_contributions"
#_id: "3228"
#_source: array:18 [
"id" => "3228"
"slug" => "mathematiques-financieres-evaluation-des-actifs-et-analyse-du-risque"
"yearMonth" => "1993-01"
"year" => "1993"
"title" => "Mathématiques financières : évaluation des actifs et analyse du risque"
"description" => "PONCET, P., PORTAIT, R. et HAYAT, S. (1993). <i>Mathématiques financières : évaluation des actifs et analyse du risque</i>. Précis Dalloz, 369 pages."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
2 => array:1 [
"name" => "HAYAT S."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet ouvrage a pour objet la présentation des mathématiques financières modernes et de leur utilisation pour l'évaluation, l'analyse du risque et la gestion des instruments financiers ainsi que des théories financières qui impliquent l'usage de l'instrument mathématique."
"en" => "This book provides a modern mathematical presentation of financial instruments, the analysis of their risks and their valuation. It also presents modern financial theories that make extensive use of mathematics."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
47 => Essec\Faculty\Model\Contribution {#2317
#_index: "academ_contributions"
#_id: "3424"
#_source: array:18 [
"id" => "3424"
"slug" => "benchmarking"
"yearMonth" => "2013-01"
"year" => "2013"
"title" => "Benchmarking"
"description" => "LIOU, A. et PONCET, P. (2013). Benchmarking. Dans: <i>Portfolio Theory and Management</i>. 1st ed. Oxford University Press, pp. 490-510."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOU A."
]
]
"ouvrage" => "Portfolio Theory and Management"
"keywords" => []
"updatedAt" => "2021-09-06 16:57:03"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "490-510"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The practice of benchmarking is booming in the delegated portfolio management industry. As an asset allocation tool, benchmarking is a reference to be followed by the manager in a more or less strict manner. As a tool for measuring relative performance, benchmarking helps in assessing the manager’s skills as to market timing and/or security selection, and allows for meaningful definitions of tracking error and the information ratio. The closely related issues of principal-agent contracting, compensation schemes and implicit incentives, and optimal benchmarking are discussed at length. The evolution in the design of appropriate benchmarks is also analyzed."
"en" => "The practice of benchmarking is booming in the delegated portfolio management industry. As an asset allocation tool, benchmarking is a reference to be followed by the manager in a more or less strict manner. As a tool for measuring relative performance, benchmarking helps in assessing the manager’s skills as to market timing and/or security selection, and allows for meaningful definitions of tracking error and the information ratio. The closely related issues of principal-agent contracting, compensation schemes and implicit incentives, and optimal benchmarking are discussed at length. The evolution in the design of appropriate benchmarks is also analyzed."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
48 => Essec\Faculty\Model\Contribution {#2318
#_index: "academ_contributions"
#_id: "3456"
#_source: array:18 [
"id" => "3456"
"slug" => "choix-de-portefeuille-et-mesures-de-performance"
"yearMonth" => "2012-04"
"year" => "2012"
"title" => "Choix de portefeuille et mesures de performance"
"description" => "PONCET, P. (2012). Choix de portefeuille et mesures de performance. Dans: <i>Gestion de patrimoine : clés et outils</i>. 1st ed. ESSEC Business School, pp. 146-192."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => "Gestion de patrimoine : clés et outils"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "146-192"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le dilemme fondamental de la finance est celui du choix entre obtenir une rentabilité certaine mais faible ou prendre un risque contrebalancé par une rentabilité espérée plus élevée."
"en" => "This book is for both individuals intersted in managing their own wealth and practionneers working in wealth management. It provides both ideas and tools for wealth management."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
49 => Essec\Faculty\Model\Contribution {#2319
#_index: "academ_contributions"
#_id: "3531"
#_source: array:18 [
"id" => "3531"
"slug" => "deontologie-financiere-et-fonctionnement-des-marches-financiers-repartition-des-roles-et-exercice-de-la-contrepartie"
"yearMonth" => "1992-01"
"year" => "1992"
"title" => "Déontologie financière et fonctionnement des marchés financiers : répartition des rôles et exercice de la contrepartie"
"description" => "PONCET, P. (1992). Déontologie financière et fonctionnement des marchés financiers : répartition des rôles et exercice de la contrepartie. Dans: <i>Ethique, Déontologie et Gestion de l'Entreprise</i>. 1st ed. Economica, pp. 181-204."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => "Ethique, Déontologie et Gestion de l'Entreprise"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "181-204"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Après une définition rigoureuse de l'activité de contrepartie, et l'examen de son rôle spécifique, plusieurs exemples sont offerts où des problèmes d'ordre déontologique peuvent se poser. On en tire quelques conclusions générales en matière de déontologie financière."
"en" => "After a rigorous definition of market making and an analysis of its economic goal, some examples are provided where potential ethical problems may arise. Some general conclusions are drawn re ethics on financial markets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
50 => Essec\Faculty\Model\Contribution {#2320
#_index: "academ_contributions"
#_id: "9331"
#_source: array:18 [
"id" => "9331"
"slug" => "une-obsession-nefaste"
"yearMonth" => "1994-09"
"year" => "1994"
"title" => "Une obsession néfaste"
"description" => "PONCET, P. (1994). Une obsession néfaste. <i>Le Monde des Débats</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Malgré sa récente indépendance formelle, la Banque de France a continué à privilégier comme objectif principal de sa politique la parité franc/deutschmark, et a ainsi amplifié la récession."
"en" => "In spite of its recent formal independence, the Bank of France has pursued the fixity of the Franc/Mark parity as the main target of its policy, thus amplifying an already severe recession."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
51 => Essec\Faculty\Model\Contribution {#2321
#_index: "academ_contributions"
#_id: "3828"
#_source: array:18 [
"id" => "3828"
"slug" => "la-theorie-moderne-du-portefeuille-theorie-et-applications"
"yearMonth" => "2010-01"
"year" => "2010"
"title" => "La théorie moderne du portefeuille : théorie et applications"
"description" => "PONCET, P. et PORTAIT, R. (2010). La théorie moderne du portefeuille : théorie et applications. Dans: <i>MBA Finance</i>. 1st ed. Eyrolles, pp. 809-841."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => "MBA Finance"
"keywords" => array:3 [
0 => "Allocation d'actifs"
1 => "MEDAF"
2 => "Mesures de performance"
]
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "809-841"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La théorie moderne du portefeuille repose sur l'analyse du compromis optimal risque-rentabilité espérée et est à la base des méthodes de gestion quantitative des portefeuilles, notamment ceux gérés sous mandat. Ce chapitre en présente les principaux concepts et modèles."
"en" => "Modern Portfolio Theory is grounded on the analysis of the optimal risk-return trade-off. It underlies all current methods of quantitative portfolio management, used in particular for delegated portfolios. This chapter presents the main concepts, models and tools used in practice."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
52 => Essec\Faculty\Model\Contribution {#2322
#_index: "academ_contributions"
#_id: "3841"
#_source: array:18 [
"id" => "3841"
"slug" => "lassurance-de-portefeuille"
"yearMonth" => "1997-01"
"year" => "1997"
"title" => "L'assurance de portefeuille"
"description" => "PONCET, P. et PORTAIT, R. (1997). L'assurance de portefeuille. Dans: <i>Encyclopédie des marchés financiers</i>. 1st ed. Economica, pp. 140-165."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => "Encyclopédie des marchés financiers"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "140-165"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Présentation des différentes stratégies d'assurance de portefeuilles visant à limiter les pertes en cas de conjoncture défavorable tout en tirant partiellement bénéfice des conjonctures favorables : stop-loss, la plus ancienne , duplication d'options, utilisant la théorie des options , coussin-multiple , immunisation active et passive pour les portefeuilles de taux."
"en" => "Description of the main portfolio-insurance policies aiming to ensure a minimum portfolio value (in the case of adverse stock movements) and to obtain a positive return (in the favorable cases) : stop-loss , option-based portfolio insurance (OBPI) , constant proportion portfolio insurance (CPPI) , active and passive immunization."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
53 => Essec\Faculty\Model\Contribution {#2323
#_index: "academ_contributions"
#_id: "3999"
#_source: array:18 [
"id" => "3999"
"slug" => "marches-financiers-completude-des"
"yearMonth" => "1999-01"
"year" => "1999"
"title" => "Marchés financiers (complétude des ***°"
"description" => "PONCET, P. (1999). Marchés financiers (complétude des ***°. Dans: <i>Encyclopédie de la Gestion et du Management - E.G.M.</i> 1st ed. Dalloz, pp. 772-775."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => "Encyclopédie de la Gestion et du Management - E.G.M."
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "772-775"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Un marché financier est dit complet si chaque agent, quelles que soient sa richesse et ses préférences, peut atteindre sa consommation optimale dans chaque état du monde. Les conséquences d'une complétude ou incomplétude du marché financier sont dramatiquement différentes, s'agissant de problèmes d'évaluation, de duplication et couverture, de choix d'investissements physiques des firmes, des choix de financement de ces dernières et du bien-être social."
"en" => "A financial market is complete if each and every agent, no matter his wealth and preferences, can reach his optimal consumption in each state of nature. Whether the market is complete or not has dramatic consequences on numerous issues such as valuation, hedging and replication, firms' investment and financing decisions and social welfare."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
54 => Essec\Faculty\Model\Contribution {#2324
#_index: "academ_contributions"
#_id: "4239"
#_source: array:18 [
"id" => "4239"
"slug" => "theorie-de-la-couverture-application-aux-risques-de-taux-de-change-et-dinteret-dun-entreprise-multinationale"
"yearMonth" => "2001-01"
"year" => "2001"
"title" => "Théorie de la couverture : application aux risques de taux de change et d'intérêt d'un entreprise multinationale"
"description" => "PONCET, P. (2001). Théorie de la couverture : application aux risques de taux de change et d'intérêt d'un entreprise multinationale. Dans: <i>Finance d'entreprise, recherches du CREFIB</i>. 1st ed. Economica, pp. 321-342."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => "Finance d'entreprise, recherches du CREFIB"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "321-342"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce chapitre analyse la stratégie optimale de couverture de la part d'une entreprise ayant effectué des investissements non négociables dans un pays étranger. Les processus stochastiques régissant les taux, le taux de change et la valeur des investissements sont assez généraux. En comparant les stratégies de couverture utilisant les forwards ou les futures, il apparaît que la stratégie impliquant les futures est plus simple que celle utilisant les forwards."
"en" => "This chapter addresses the issue of the optimal hedging strategy of a firm having invested abroad in non-tradable assets. The stochastic processes driving the yield curves, the exchange rate and the international asset value are rather general. We compare the optimal hedging strategy using forwards with that using futures. The latter strategy turns out to be simpler than the former, due to the marking-to-market mechanism."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
55 => Essec\Faculty\Model\Contribution {#2325
#_index: "academ_contributions"
#_id: "10852"
#_source: array:18 [
"id" => "10852"
"slug" => "a-political-capm"
"yearMonth" => "2019-04"
"year" => "2019"
"title" => "A Political CAPM"
"description" => "PONCET, P. (2019). A Political CAPM. Dans: AMF, Conseil scientifique."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => "AMF, Conseil scientifique"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
56 => Essec\Faculty\Model\Contribution {#2326
#_index: "academ_contributions"
#_id: "4635"
#_source: array:18 [
"id" => "4635"
"slug" => "general-equilibrium-pricing-of-cpis-derivatives"
"yearMonth" => "2004-06"
"year" => "2004"
"title" => "General Equilibrium Pricing of CPI's Derivatives"
"description" => "LIOUI, A. et PONCET, P. (2004). General Equilibrium Pricing of CPI's Derivatives. Dans: <i>Proceedings of the 21st International Conference in Finance - AFFI²</i>. Association Française de Finance (AFFI)."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => "Proceedings of the 21st International Conference in Finance - AFFI²"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "CD-Rom Nous construisons l'équilibre général, en temps continu, d'une économie monétaire affectée par des chocs réels et nominaux. Le niveau général des prix, et donc, le taux d'inflation, sont trouvés de façon endogène et les solutions pour les prix des produits dérivés sur le niveau général des prix sont dérivés. Ces dernières sont en formule fermée dans une version spécialisée de l'économie."
"en" => "We build the general equilibrium of a continuous time monetary economy that is affected by both real and nominal shocks. The price level and inflation rate are found endogenously and solutions for the price of CPI derivatives are obtained, which are in closed form in a special case."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
57 => Essec\Faculty\Model\Contribution {#2327
#_index: "academ_contributions"
#_id: "4636"
#_source: array:18 [
"id" => "4636"
"slug" => "general-equilibrium-pricing-of-trading-strategy-risk"
"yearMonth" => "2001-03"
"year" => "2001"
"title" => "General Equilibrium Pricing of Trading Strategy Risk"
"description" => "LIOUI, A. et PONCET, P. (2001). General Equilibrium Pricing of Trading Strategy Risk. Dans: <i>Proceedings of the International Finance Conference (Tunisia 2001). Financial Markets, Risk Management and Corporate Governance</i>. International Finance Conference, Tunisia, pp. 127-147."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => "Proceedings of the International Finance Conference (Tunisia 2001). Financial Markets, Risk Management and Corporate Governance"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "127-147"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Le CAPM de Breeden et le CAPM intertemporel de Merton ne sont pas valides pour des contrats forwards contrairement aux futures qui sont marqués-au-marché. L'utilisation de forwards entraîne un risque supplémentaire dû à la stratégie optimale elle-même. Ce risque a un prix de marché. On dérive un CCAPM et un ICAPM pour les forwards qui diffèrent de leurs homologues applicables aux actifs au comptant et aux futures."
"en" => "Breeden's consumption CAPM and Merton's Intertemporal CAPM are known not to be valid for non redundant forward contracts. Unlike futures, which are marked-to-market, using forwards gives rise to an additional risk, linked to the very optimal investment strategy. This risk is priced, then the CCAPM and ICAPM are derived for forwards that are different from what they are for cash assets and futures contracts."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
58 => Essec\Faculty\Model\Contribution {#2328
#_index: "academ_contributions"
#_id: "4708"
#_source: array:18 [
"id" => "4708"
"slug" => "international-bond-portfolio-diversification"
"yearMonth" => "1999-06"
"year" => "1999"
"title" => "International Bond Portfolio Diversification"
"description" => "LIOUI, A. et PONCET, P. (1999). International Bond Portfolio Diversification. Dans: <i>14ème Conférence Internationale AFFI</i>. Association Française de Finance (AFFI)."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => "14ème Conférence Internationale AFFI"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article analyse la stratégie optimale d'un investisseur maximisant l'espérance d'utilité de sa richesse terminale qui intervient sur des instruments à taux fixe dans une économie internationale où les taux d'intérêt et de change sont aléatoires. On dérive d'abord sa stratégie optimale en absence de "biais domestique". On montre ensuite comment l'utilisation de contrats forwards ou futures de change permet de récupérer l'optimum de premier rang même en présence de ce biais. Enfin, on montre que la stratégie utilisant des futures est plus simple que celle faisant appel aux forwards."
"en" => "This paper investigates the optimal strategy of an expected utility maximiser who trades interest rate instruments under stochastic yield curves and exchange rate. We derive first his optimal strategy when he is not subject to home bias and trades optimally on foreign bonds. We then show that even if he is subject to home bias, provided he uses currency forward or futures contracts, he achieves a first best optimum. Finally, we show why the strategy using futures is simpler than the one using forwards."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
59 => Essec\Faculty\Model\Contribution {#2329
#_index: "academ_contributions"
#_id: "5185"
#_source: array:18 [
"id" => "5185"
"slug" => "trading-on-interest-rate-derivatives-and-the-cost-of-marking-to-market"
"yearMonth" => "1997-06"
"year" => "1997"
"title" => "Trading on Interest Rate Derivatives and the Cost of Marking-to-Market"
"description" => "LIOUI, A. et PONCET, P. (1997). Trading on Interest Rate Derivatives and the Cost of Marking-to-Market. Dans: <i>14e Conférence Internationale de Finance</i>. Association Française de Finance (AFFI), pp. 683-710."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => "14e Conférence Internationale de Finance"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "683-710"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Quand les taux d'intérêt sont stochastiques, le prix du contrat futures écrit sur une obligation à long terme a une espérance instantanée supérieure à celle du prix du contrat forward correspondant et une volatilité instantanée identique. De plus, l'investisseur cherchant à se couvrir au maximum préfèrera le futur au forward s'il a une position courte sur l'obligation, et vice-versa. Le spéculateur pur préfèrera toujours le futur."
"en" => "Under stochastic interest rates, the price of the market-to-market futures contract written on a bond is shown to have a larger instantaneous drift than that of its forward counterpart althought it has the same instantaneous volatility. Also, the pure hedger is better off with futures if it is short in the underlying bond and the pure speculator is better off with futures."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
60 => Essec\Faculty\Model\Contribution {#2330
#_index: "academ_contributions"
#_id: "2153"
#_source: array:18 [
"id" => "2153"
"slug" => "optimal-benchmarking-for-active-portfolio-managers"
"yearMonth" => "2013-01"
"year" => "2013"
"title" => "Optimal Benchmarking for Active Portfolio Managers"
"description" => "LIOUI, A. et PONCET, P. (2013). Optimal Benchmarking for Active Portfolio Managers. <i>European Journal of Operational Research</i>, 226(1), pp. 268-276."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Approche martingale"
1 => "Benchmarking"
2 => "Fonds mutuels"
3 => "Modèle principal-agent"
4 => "Rémunération du gérant"
5 => "Temps continu"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://doi.org/10.1016/j.ejor.2012.10.043"
"publicationInfo" => array:3 [
"pages" => "268-276"
"volume" => "226"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans le cadre de la théorie de l’agence, nous résolvons simultanément les programmes d’optimisation de l’investisseur et de son manager de portefeuille et caractérisons le benchmark optimal. Nous en donnons les solutions explicites quand les paramètres d’aversion relative au risque de l’investisseur et du manager sont différents. Il n’est jamais optimal pour le manager et donc l’investisseur de suivre exactement le benchmark. Nous évaluons enfin par simulation l’impact d’une sélection d’un benchmark sous-optimal."
"en" => "Within an agency theoretic framework, we solve simultaneously the manager’s and the investor’s dynamic optimization programs in a fairly general framework, and characterize the optimal benchmark. We then provide completely explicit solutions when the investor’s and the manager’s utility functions exhibit different CRRA parameters. It is never optimal for the manager, and therefore for the investor, to follow exactly the benchmark. We finally assess by simulation the practical importance of selecting a sub-optimal benchmark."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
61 => Essec\Faculty\Model\Contribution {#2331
#_index: "academ_contributions"
#_id: "2156"
#_source: array:18 [
"id" => "2156"
"slug" => "optimal-currency-risk-hedging"
"yearMonth" => "2002-01"
"year" => "2002"
"title" => "Optimal Currency Risk Hedging"
"description" => "LIOUI, A. et PONCET, P. (2002). Optimal Currency Risk Hedging. <i>Journal of International Money and Finance</i>, pp. 241-264."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "241-264"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article analyse la stratégie optimale de couverture d'un investisseur maximisant son expérience d'utilité et ayant fait un investissement à l'étranger momentanément non négociable. Les courbes de taux étrangère et domestique, le taux de change, et la valeur de l'investissement étranger obéissent à des processus stochastiques assez généraux. Nous comparons les stratégies de couverture optimales utilisant des contrats forward d'une part ou des futures d'autre part. Cette dernière partie est plus simple car celle impliquant des forwards génère un risque supplémentaire qu'il est nécessaire de couvrir."
"en" => "This paper investigates the optimal hedging strategy of a domestic expected utility maximizer endowed with a temporarily non-traded position in a foreign investment. The domestic and foreign yield curves, the exchange rate between the two involved currencies, and the foreign investment value are stochastic. We compare the hedger's optimal strategies using their exchange rate forward contracts or futures contracts. The optimal strategy using futures is simpler. With forwards, the investor's hedging strategy itself generates an additional risk, which in turn induces the need for additional hedging."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
62 => Essec\Faculty\Model\Contribution {#2332
#_index: "academ_contributions"
#_id: "2157"
#_source: array:18 [
"id" => "2157"
"slug" => "optimal-dynamic-hedging-in-incomplete-futures-markets"
"yearMonth" => "1996-06"
"year" => "1996"
"title" => "Optimal Dynamic Hedging in Incomplete Futures Markets"
"description" => "LIOUI, A., NGUYEN, P.D. et PONCET, P. (1996). Optimal Dynamic Hedging in Incomplete Futures Markets. <i>Geneva Papers on Risk and Insurance - Issues and Practice</i>, pp. 103-122."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
2 => array:1 [
"name" => "NGUYEN P. D."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "103-122"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article décrit la demande optimale de couverture par des Futures émanant d'un investisseur logarithmique ou CARA ne pouvant négocier son portefeuille d'actifs primaires. Les marchés sont incomplets et, dans le cas CARA, la contrainte de non-négativité de la richesse est saturée. En complétant le marché de manière fictive, on obtient des solutions analytiques dans le cas logarithmique, mais pas dans le cas CARA du fait de l'existence d'un put implicite."
"en" => "This paper describes optimal hedging demands for futures from a Bernouilli or a CARA investor who cannot freely trade his portfolio of primitive assets. Markets are incomplete, and in the CARA case, the non-negativity constraint on wealth is binding. Ficticiously completing the market, we derive closed-form solutions in the logarithmic case but not in the CARA case for which there is an implicit put."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
63 => Essec\Faculty\Model\Contribution {#2333
#_index: "academ_contributions"
#_id: "2159"
#_source: array:18 [
"id" => "2159"
"slug" => "optimal-hedging-in-a-dynamic-futures-market-with-a-non-negativity-constraint-on-wealth"
"yearMonth" => "1996-06"
"year" => "1996"
"title" => "Optimal Hedging in a Dynamic Futures Market with a Non Negativity Constraint on Wealth"
"description" => "PONCET, P. (1996). Optimal Hedging in a Dynamic Futures Market with a Non Negativity Constraint on Wealth. <i>Journal of Economic Dynamics and Control</i>, pp. 1101-1113."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1101-1113"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article examine le problème de la demande optimale de couverture par des futures émanant d'un investisseur CARA qui doit garder une position fixe sur un portefeuille d'actifs primaires. La contrainte de non-négativité de sa richesse est saturée et les demandes optimales de contrats de couverture sont différentes de celles rencontrées dans la littérature."
"en" => "This paper examines the issue of optimal hedging demands for futures from a CARA investor who cannot freely trade his portfolio of primitive assets. The non-negativity constraint on wealth is binding and the optimal hedging demands are different from those encountered in the literature."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
64 => Essec\Faculty\Model\Contribution {#2334
#_index: "academ_contributions"
#_id: "6575"
#_source: array:18 [
"id" => "6575"
"slug" => "long-horizon-predictability-an-asset-allocation-perspective"
"yearMonth" => "2013-05"
"year" => "2013"
"title" => "Long Horizon Predictability: An Asset Allocation Perspective"
"description" => "PONCET, P. et LIOUI, A. (2013). Long Horizon Predictability: An Asset Allocation Perspective. Dans: 30th International French Finance Association Conference."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => "30th International French Finance Association Conference"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
65 => Essec\Faculty\Model\Contribution {#2335
#_index: "academ_contributions"
#_id: "6582"
#_source: array:18 [
"id" => "6582"
"slug" => "long-horizon-predictability-an-asset-allocation-perspective"
"yearMonth" => "2012-06"
"year" => "2012"
"title" => "Long-Horizon Predictability: An Asset Allocation Perspective"
"description" => "LIOUI, A. et PONCET, P. (2012). Long-Horizon Predictability: An Asset Allocation Perspective. Dans: SMU-ESSEC Symposium on Empirial Finance and Financial Econometrics 2012."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => "SMU-ESSEC Symposium on Empirial Finance and Financial Econometrics 2012"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
66 => Essec\Faculty\Model\Contribution {#2336
#_index: "academ_contributions"
#_id: "6652"
#_source: array:18 [
"id" => "6652"
"slug" => "market-making-on-monep"
"yearMonth" => "1988-10"
"year" => "1988"
"title" => "Market Making on MONEP"
"description" => "PONCET, P. (1988). Market Making on MONEP."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
67 => Essec\Faculty\Model\Contribution {#2337
#_index: "academ_contributions"
#_id: "2244"
#_source: array:18 [
"id" => "2244"
"slug" => "politique-monetaire-des-clefs-pour-prevoir"
"yearMonth" => "1994-10"
"year" => "1994"
"title" => "Politique monétaire : des clefs pour prévoir"
"description" => "AFTALION, F. et PONCET, P. (1994). Politique monétaire : des clefs pour prévoir. <i>Banque et Stratégie</i>, pp. 21-24."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:47"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "21-24"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Pour prévoir l'évolution de l'inflation et des taux d'intérêt, la connaissance du fonctionnement des Banques centrales et leur degré de dépendance vis-à-vis du pouvoir politique est essentielle."
"en" => "To forecast the dynamics of inflation and interest rates, it is crucial to understand how central Banks behave and how dependent they are vis-a-vis their respective governments."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
68 => Essec\Faculty\Model\Contribution {#2338
#_index: "academ_contributions"
#_id: "2286"
#_source: array:18 [
"id" => "2286"
"slug" => "pricing-and-hedging-asian-options-on-interest-rates"
"yearMonth" => "2000-10"
"year" => "2000"
"title" => "Pricing and Hedging Asian Options on Interest Rates"
"description" => "PONCET, P. et QUITTARD-PINON, F. (2000). Pricing and Hedging Asian Options on Interest Rates. <i>Bankers, Markets and Investors</i>, pp. 5-14."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "QUITTARD-PINON F."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:23"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "5-14"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "En utilisant l'approche martingale, nous évaluons explicitement plusieurs options sur moyenne de taux dans un modèle de gamme des taux à un facteur où la structure de volatilité des prix des zéro-coupons est linéaire ou exponentielle. Puis nous calculons les sensibilités de la valeur de ces options en simulant différentes formes de la gamme des taux et en modifiant les principaux paramètres du modèle."
"en" => "Using the martingale approach, we explicitly evaluate various Asian (average) options on interest rates in the context of a one-factor model of the yield curve and of either a linear or an exponential volatility structure for zero-coupon bond prices. We also compute the "Greek" derivatives of these options. We then study the behavior of these option prices by simulating various shapes for the yield curve and by changing various important parameters of the model."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
69 => Essec\Faculty\Model\Contribution {#2339
#_index: "academ_contributions"
#_id: "6803"
#_source: array:18 [
"id" => "6803"
"slug" => "optimal-capital-and-debt-structures-with-loss-absorbing-debts"
"yearMonth" => "2014-05"
"year" => "2014"
"title" => "Optimal Capital and Debt Structures with Loss-Absorbing Debts"
"description" => "ATTAOUI, S. et PONCET, P. (2014). Optimal Capital and Debt Structures with Loss-Absorbing Debts. Dans: 31st French Finance Association Conference."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "ATTAOUI S."
]
]
"ouvrage" => "31st French Finance Association Conference"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
70 => Essec\Faculty\Model\Contribution {#2340
#_index: "academ_contributions"
#_id: "6809"
#_source: array:18 [
"id" => "6809"
"slug" => "optimal-dynamic-hedging-with-a-non-negativity-constraint-on-wealth"
"yearMonth" => "1994-07"
"year" => "1994"
"title" => "Optimal Dynamic Hedging with a Non-Negativity Constraint on Wealth"
"description" => "LIOUI, A. et PONCET, P. (1994). Optimal Dynamic Hedging with a Non-Negativity Constraint on Wealth."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
71 => Essec\Faculty\Model\Contribution {#2341
#_index: "academ_contributions"
#_id: "2469"
#_source: array:18 [
"id" => "2469"
"slug" => "savoirs-la-theorie-moderne-du-portefeuille-le-modele-dequilibre-des-actifs-financiers-medaf-ou-capm"
"yearMonth" => "2008-01"
"year" => "2008"
"title" => "Savoirs- La théorie moderne du portefeuille. Le modèle d'équilibre des actifs financiers (Medaf ou CAPM)"
"description" => "PONCET, P. (2008). Savoirs- La théorie moderne du portefeuille. Le modèle d'équilibre des actifs financiers (Medaf ou CAPM). <i>Maths & Finance</i>, pp. 20-21."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => array:2 [
0 => "Compromis risque-rentabilité"
1 => "Droit de marché"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "20-21"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente le modèle d'équilibre des actifs financiers - CAPM en anglais- dû à Sharpe, Lintner et Mossin."
"en" => "This article present the Capital Asset Pricing Model (CAPM) originally due to Sharpe, Lintner and Mossin."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
72 => Essec\Faculty\Model\Contribution {#2342
#_index: "academ_contributions"
#_id: "2554"
#_source: array:18 [
"id" => "2554"
"slug" => "superior-information-and-compensation-fees-of-active-mutual-funds"
"yearMonth" => "2013-11"
"year" => "2013"
"title" => "Superior Information and Compensation Fees of Active Mutual Funds"
"description" => "EZZILI, C. et PONCET, P. (2013). Superior Information and Compensation Fees of Active Mutual Funds. <i>Journal of Financial Perspectives</i>, 1(3), pp. 143-154."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "EZZILI C."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "143-154"
"volume" => "1"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We posit a fund manager and an individual investor who maximize the expected (log) utility of their respective terminal wealth. The manager possesses more information than the investor does and charges the latter, her would-be customer, a linear compensation fee. The investor will delegate his portfolio decisions to the manager if and only if the expected utility of his wealth after fees is larger than the expected utility he can achieve by directly investing in the market. Our framework, which uses a mathematical result by [Amendinger (2000)], allows us to characterize compensation fees in terms of information differential."
"en" => "We posit a fund manager and an individual investor who maximize the expected (log) utility of their respective terminal wealth. The manager possesses more information than the investor does and charges the latter, her would-be customer, a linear compensation fee. The investor will delegate his portfolio decisions to the manager if and only if the expected utility of his wealth after fees is larger than the expected utility he can achieve by directly investing in the market. Our framework, which uses a mathematical result by [Amendinger (2000)], allows us to characterize compensation fees in terms of information differential."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
73 => Essec\Faculty\Model\Contribution {#2343
#_index: "academ_contributions"
#_id: "7204"
#_source: array:18 [
"id" => "7204"
"slug" => "strategies-dynamiques-dutilisation-des-options"
"yearMonth" => "1986-12"
"year" => "1986"
"title" => "Stratégies dynamiques d'utilisation des options"
"description" => "BITO, D., PONCET, P. et PORTAIT, R. (1986). Stratégies dynamiques d'utilisation des options."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "BITO D."
]
2 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
74 => Essec\Faculty\Model\Contribution {#2344
#_index: "academ_contributions"
#_id: "7205"
#_source: array:18 [
"id" => "7205"
"slug" => "strategies-dynamiques-dutilisation-des-options"
"yearMonth" => "1986-12"
"year" => "1986"
"title" => "Stratégies dynamiques d'utilisation des options"
"description" => "PONCET, P., PORTAIT, R. et BITO, C. (1986). Stratégies dynamiques d'utilisation des options."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
2 => array:1 [
"name" => "BITO Christian"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
75 => Essec\Faculty\Model\Contribution {#2345
#_index: "academ_contributions"
#_id: "7228"
#_source: array:18 [
"id" => "7228"
"slug" => "synthese-sur-les-marches-financiers-evaluation-et-efficience"
"yearMonth" => "1990-04"
"year" => "1990"
"title" => "Synthèse sur les marchés financiers : évaluation et efficience"
"description" => "PONCET, P. (1990). Synthèse sur les marchés financiers : évaluation et efficience."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
76 => Essec\Faculty\Model\Contribution {#2346
#_index: "academ_contributions"
#_id: "2689"
#_source: array:18 [
"id" => "2689"
"slug" => "the-minimum-variance-hedge-ratio-under-stochastic-interest-rates"
"yearMonth" => "2000-05"
"year" => "2000"
"title" => "The Minimum Variance Hedge Ratio under Stochastic Interest Rates"
"description" => "LIOUI, A. et PONCET, P. (2000). The Minimum Variance Hedge Ratio under Stochastic Interest Rates. <i>Management Science</i>, pp. 658-668."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "658-668"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Quand les taux d'intérêts sont stochastiques, la couverture d'une position obligataire avec des futures est sensiblement différente de celle utilisant des forwards. Cette dernière est plus compliquée du fait du risque supplémentaire engendré par la stratégie forward elle-même."
"en" => "Under stochastic interest rates, hedging a bond portfolio with futures is simpler than hedging it with forwards. The latter strategy is more involved due to the presence of an additional risk brought about by the forward position itself."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
77 => Essec\Faculty\Model\Contribution {#2347
#_index: "academ_contributions"
#_id: "2700"
#_source: array:18 [
"id" => "2700"
"slug" => "the-pricing-of-insurance-linked-securities-under-interest-rate-uncertainty"
"yearMonth" => "2002-01"
"year" => "2002"
"title" => "The Pricing of Insurance-linked Securities under Interest Rate Uncertainty"
"description" => "PONCET, P. et VAUGIRARD, V.E. (2002). The Pricing of Insurance-linked Securities under Interest Rate Uncertainty. <i>Journal of Risk Finance</i>, pp. 48-59."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "VAUGIRARD V.E."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:00"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "48-59"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous évaluons par arbitrage des obligations liées à des contrats d'assurance des risques naturels dans un cadre de taux d'intérêt Gaussien. La méthode d'évaluation utilise les techniques de changement de numéraire et de temps. Les prix et taux de rentabilité de ces obligations dépendent des facteurs taux d'intérêt et risque naturel. Leur duration est en général plus élevée que la duration de Macaulay des obligations d'Etat traditionnelles."
"en" => "We develop an arbitrage approach to valuing insurance bonds for no-catastrophic events in a Gaussian interest rate framework. The pricing method implements techniques of change of both numeraire and time. Nature bond prices and yield spreads are driven by an interest-rate factor in addition to a nature-risk factor. The duration of insurance bonds is in most cases higher than the Macaulay duration of Treasury bonds."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
78 => Essec\Faculty\Model\Contribution {#2348
#_index: "academ_contributions"
#_id: "2736"
#_source: array:18 [
"id" => "2736"
"slug" => "the-valuation-of-nature-link-bonds-with-exchange-rate-risk"
"yearMonth" => "2001-01"
"year" => "2001"
"title" => "The Valuation of Nature-link Bonds with Exchange Rate Risk"
"description" => "PONCET, P. et VAUGIRARD, V.E. (2001). The Valuation of Nature-link Bonds with Exchange Rate Risk. <i>Journal of Economics and Finance</i>, pp. 293-307."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "VAUGIRARD V.E."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "293-307"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous proposons une approche d'arbitrage pour évaluer des obligations liées à un risque naturel comportant en outre un risque de change. Elle utilise le changement de numéraire dit "Forward-neutre" et revient à calculer les distributions de différents temps de passage de mouvements Browniens driftés. Selon que les taux sont déterministes ou stochastiques, on obtient des formules fermées ou on procède à des simulations. En général, le risque naturel est plus important que le risque de change."
"en" => "We develop an arbitrage approach to pricing insurance bonds bearing currency risk. It implements the technique of forward-neutral change of numeraire and computes first-passage-time distributions of drifted Brownian notions. Closed-form solutions are derived or simulations are performed depending on whether interest rates are deterministic or not. Nature risk is in general more significant than currency risk."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
79 => Essec\Faculty\Model\Contribution {#2349
#_index: "academ_contributions"
#_id: "2799"
#_source: array:18 [
"id" => "2799"
"slug" => "understanding-dynamic-mean-variance-asset-allocation"
"yearMonth" => "2016-10"
"year" => "2016"
"title" => "Understanding Dynamic Mean Variance Asset Allocation"
"description" => "LIOUI, A. et PONCET, P. (2016). Understanding Dynamic Mean Variance Asset Allocation. <i>European Journal of Operational Research</i>, 254(1), pp. 320-337."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Critère espérance-variance"
1 => "Décomposition du portefeuille"
2 => "Stratégie dynamique"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://doi.org/10.1016/j.ejor.2016.04.003"
"publicationInfo" => array:3 [
"pages" => "320-337"
"volume" => "254"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous proposons une nouvelle décomposition du portefeuille d'agents suivant le critère Espérance-Variance en dynamique. Nous arrivons à réduire à 2 le nombre de composantes de la stratégie dynamique de portefeuille : une pour couvrir le risque d’une obligation zéro-coupon de maturité égale à l’horizon de l’investisseur, l’autre pour couvrir la variation temporelle de sa pseudo-tolérance relative au risque. Nous estimons le modèle de 1963 à 2012 sur le marché US. Ce modèle donne des résultats acceptables pour des investisseurs à long et moyen terme munis de tolérance au risque moyenne ou forte, mais problématiques dans les autres cas."
"en" => "We provide a new portfolio decomposition for agents following dynamically the Mean-Variance criterion. We show that the number of components of a dynamic portfolio strategy can be reduced to 2, one hedging the risk of a discount bond maturing at the investor’s horizon, the other hedging the time variation in pseudo relative risk tolerance. The model is estimated over the period 1963 to 2012 for the US. It yields acceptable results for medium and long term investors endowed with medium or high risk tolerance but problematic ones otherwise."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
80 => Essec\Faculty\Model\Contribution {#2350
#_index: "academ_contributions"
#_id: "2836"
#_source: array:18 [
"id" => "2836"
"slug" => "valuation-of-options-and-bond-spreads-involving-two-currencies"
"yearMonth" => "2001-12"
"year" => "2001"
"title" => "Valuation of Options and Bond Spreads Involving Two Currencies"
"description" => "MELLIOS, C. et PONCET, P. (2001). Valuation of Options and Bond Spreads Involving Two Currencies. <i>Finance</i>, pp. 75-100."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "MELLIOS C."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "75-100"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous évaluons des options européennes sur spread de prix, sur spread de taux et sur spread de prix forward et de prix futures quand les deux obligations concernées sont libellées dans deux monnaies différentes. Dans une économie internationale à la Amin et Jarrow (1991), les taux d'intérêt domestiques et étrangers sont régis par les processus stochastiques postulés par Head, Jarrow et Mortion (1992) pour lesquels la volatilité des taux forward instantanés est déterministe mais arbitraire."
"en" => "European options on bond price spreads, on bon yield spreads and on bond futures and forward price spreads are evaluated when the two underlying bonds involved in the spread are denominated in two different currencies. In an international economy a la Amin and Jarrow (1991), foreign and domestic interest rates obey the stochastic processes postulated by Heath, Jarrow and Mortion (1992) in which the volatility of forward rates is deterministic but otherwise arbitrary."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
81 => Essec\Faculty\Model\Contribution {#2351
#_index: "academ_contributions"
#_id: "2838"
#_source: array:18 [
"id" => "2838"
"slug" => "value-at-risk"
"yearMonth" => "1998-11"
"year" => "1998"
"title" => "Value at Risk"
"description" => "PONCET, P. (1998). Value at Risk. <i>Bankers, Markets and Investors</i>, pp. 50-55."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:28"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "50-55"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article présente en termes simples la portée, les objectifs et les limites du concept et de la mesure de "Value at Risk" et en examine brièvement quelques concurrents. Les différentes méthodes "VaR" envisageables devraient être utilisées en combinaison et complétées par des tests de stress et l'analyse de scénarios."
"en" => "This article presents in simple terms the scope, objectives and limitations of the "Value at Risk" concept and measure, and rapidly examines some alternatives. The different possible "VaR" methods all have their advantages and drawbacks, so that they should be used in combinaison rather than by themselves, and complemented by stress testing and scenario analysis."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
82 => Essec\Faculty\Model\Contribution {#2352
#_index: "academ_contributions"
#_id: "2864"
#_source: array:18 [
"id" => "2864"
"slug" => "volatility-patterns-theory-and-some-evidence-from-the-dollar-mark-option-market"
"yearMonth" => "1998-02"
"year" => "1998"
"title" => "Volatility Patterns: Theory and Some Evidence from the Dollar-Mark Option Market"
"description" => "GESSER, V. et PONCET, P. (1998). Volatility Patterns: Theory and Some Evidence from the Dollar-Mark Option Market. <i>Journal of Derivatives</i>, pp. 46-61."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "GESSER V."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "46-61"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article compare les mérites respectifs des modèles à volatilité stochastique de HESTON et de HULL & WHITE concernant la capacité à reproduire les "smiles " et les effets de structure par termes de volatilité constatés sur le marché des options dollar-mark. Avant de tester les modèles empiriquement, on fournit une méthode efficace de mise en oeuvre du modèle de HESTON. Ce dernier explique mieux les données que celui de HULL & WHITE."
"en" => "This article compares the ability of the stochastic volatility models of HESTON and HULL & WHITE to explain the smile and maturity structure of implied volatilities for dollar-deutschmark options. We provide first an efficient technique for fitting HESTON's mean-reverting volatility model, then show that HESTON's model gives a better fit to our data."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
83 => Essec\Faculty\Model\Contribution {#2353
#_index: "academ_contributions"
#_id: "2879"
#_source: array:18 [
"id" => "2879"
"slug" => "what-maximum-fees-should-investors-pay-to-active-fund-managers"
"yearMonth" => "2014-07"
"year" => "2014"
"title" => "What Maximum Fees Should Investors Pay to Active Fund Managers"
"description" => "PONCET, P. et EZZILI, C. (2014). What Maximum Fees Should Investors Pay to Active Fund Managers. <i>Bankers, Markets and Investors</i>, (131), pp. 5-16."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "EZZILI C."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:28"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "5-16"
"volume" => null
"number" => "131"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We develop a model in wich investors can invest directly in the market at no cost or delegate their portfolio decisions to better informed active fund managers against fees. We derive the maximal fee an investor should pay and characterize it in terms of information differential or, equivalently, alpha. For example, the fee should be less than 6,60% if alpha is 6,83% over two years, and less than 51,9% if it is 73,3% over 5 years. Ours simulation results are consistent with the empirical evidence we report on a large subset of active US mutual funds."
"en" => "We develop a model in wich investors can invest directly in the market at no cost or delegate their portfolio decisions to better informed active fund managers against fees. We derive the maximal fee an investor should pay and characterize it in terms of information differential or, equivalently, alpha. For example, the fee should be less than 6,60% if alpha is 6,83% over two years, and less than 51,9% if it is 73,3% over 5 years. Ours simulation results are consistent with the empirical evidence we report on a large subset of active US mutual funds."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
84 => Essec\Faculty\Model\Contribution {#2354
#_index: "academ_contributions"
#_id: "2913"
#_source: array:18 [
"id" => "2913"
"slug" => "write-down-bonds-and-capital-and-debt-structures"
"yearMonth" => "2015-12"
"year" => "2015"
"title" => "Write-Down Bonds and Capital and Debt Structures"
"description" => "ATTAOUI, S. et PONCET, P. (2015). Write-Down Bonds and Capital and Debt Structures. <i>Journal of Corporate Finance</i>, 35, pp. 97-119."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "ATTAOUI S."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Dette write-down"
1 => "Évènement de crédit"
2 => "Spread de crédit"
3 => "Structure de la dette"
4 => "Structure du capital"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://doi.org/10.1016/j.jcorpfin.2015.08.009"
"publicationInfo" => array:3 [
"pages" => "97-119"
"volume" => "35"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous analysons les structures optimales de capital et de dettes d'une firme sujette au risque de défaut quand la dette est composée d'une dette senior et d'une dette junior de type partiellement effaçable. La firme augmente son levier optimal grâce à la dette junior, et voit son spread de crédit considérablement diminuer sur sa dette senior."
"en" => "We analyze a defaultable firm’s optimal capital and debt structures when its debt includes senior straight and Write-Down (WD) bonds. The optimal capital structure and the optimal straight/WD debt mix are jointly determined along with the optimal level of debt reduction. The firm increases its leverage by swapping both equity and straight debt for WD bonds. The credit spread on the straight debt is shown to be considerably lower when the firm’s capital structure also includes WD bonds, for a given global leverage."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
85 => Essec\Faculty\Model\Contribution {#2355
#_index: "academ_contributions"
#_id: "7817"
#_source: array:18 [
"id" => "7817"
"slug" => "la-nouvelle-finance-et-la-gestion-des-portefeuilles"
"yearMonth" => "2004-01"
"year" => "2004"
"title" => "La nouvelle finance et la gestion des portefeuilles"
"description" => "PONCET, P. (2004). La nouvelle finance et la gestion des portefeuilles. Banque et Marchés, France."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:13"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "46-47"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Compte-rendus d'ouvrage"
"en" => "Book reviews"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
86 => Essec\Faculty\Model\Contribution {#2356
#_index: "academ_contributions"
#_id: "3004"
#_source: array:18 [
"id" => "3004"
"slug" => "finance-de-marche-2eme-edition"
"yearMonth" => "2009-01"
"year" => "2009"
"title" => "Finance de marché (2ème édition)"
"description" => "PORTAIT, R. et PONCET, P. (2009). <i>Finance de marché (2ème édition)</i>. 2 ed. Dalloz, 1101 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Actifs financiers"
1 => "Gestion de portefeuille"
2 => "Gestion des risques"
3 => "Risk Management"
]
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet ouvrage, unique en son genre, présente l'analyse financière et mathématique de tous les actifs primitifs et tous les dérivés, la gestion de portefeuille, les mesures et la gestion du risque."
"en" => "This unique textbook offers an extensive analysis of primitive assets, derivatives, portfolio theory & management, and risk measures and management."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
87 => Essec\Faculty\Model\Contribution {#2357
#_index: "academ_contributions"
#_id: "3006"
#_source: array:18 [
"id" => "3006"
"slug" => "finance-de-marche-4eme-edition"
"yearMonth" => "2014-08"
"year" => "2014"
"title" => "Finance de Marché [4ème édition]"
"description" => "PORTAIT, R. et PONCET, P. (2014). <i>Finance de Marché [4ème édition]</i>. 4 ed. Dalloz, 1083 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "L'objectif de cet ouvrage est de pallier l'insuffisance des livres de finance traditionnels et ceux de finance mathématique. En effet, les premiers ne présentent pas les techniques mathématiques avancées utilisées actuellement par les meilleurs professionnels. Les seconds, sont souvent plus centrés sur les raffinements mathématiques que sur l'utilisation pratique des instruments et la logique financière des marchés en outre, certains sont d'un niveau inaccessible aux non-mathématiciens, même ingénieurs. Cet ouvrage propose une présentation exhaustive et cohérente de l'ensemble de la finance de marché. Il couvre en particulier tous les actifs primitifs (actions, taux d'intérêt et de change, indices, crédits bancaires), la plupart des produits dérivés vanille et exotiques (swaps, futures, options, hybrides et dérivés de crédit), la théorie et la gestion des portefeuilles, et l'appréciation et la couverture des risques, tant des positions individuelles que des portefeuilles et des bilans."
"en" => "L'objectif de cet ouvrage est de pallier l'insuffisance des livres de finance traditionnels et ceux de finance mathématique. En effet, les premiers ne présentent pas les techniques mathématiques avancées utilisées actuellement par les meilleurs professionnels. Les seconds, sont souvent plus centrés sur les raffinements mathématiques que sur l'utilisation pratique des instruments et la logique financière des marchés en outre, certains sont d'un niveau inaccessible aux non-mathématiciens, même ingénieurs. Cet ouvrage propose une présentation exhaustive et cohérente de l'ensemble de la finance de marché. Il couvre en particulier tous les actifs primitifs (actions, taux d'intérêt et de change, indices, crédits bancaires), la plupart des produits dérivés vanille et exotiques (swaps, futures, options, hybrides et dérivés de crédit), la théorie et la gestion des portefeuilles, et l'appréciation et la couverture des risques, tant des positions individuelles que des portefeuilles et des bilans."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
88 => Essec\Faculty\Model\Contribution {#2358
#_index: "academ_contributions"
#_id: "8124"
#_source: array:18 [
"id" => "8124"
"slug" => "la-finance-recoit-le-prix-nobel"
"yearMonth" => "1990-01"
"year" => "1990"
"title" => "La finance reçoit le Prix Nobel"
"description" => "AFTALION, F. et PONCET, P. (1990). <i>La finance reçoit le Prix Nobel</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
89 => Essec\Faculty\Model\Contribution {#2359
#_index: "academ_contributions"
#_id: "8196"
#_source: array:18 [
"id" => "8196"
"slug" => "les-marches-a-terme-dinstruments-financiers-quelques-mises-au-point-sur-les-theories-de-la-couverture-et-de-lequilibre"
"yearMonth" => "1987-01"
"year" => "1987"
"title" => "Les marchés à terme d'instruments financiers : "Quelques mises au point sur les théories de la couverture et de l'équilibre"
"description" => "PONCET, P. et PORTAIT, R. (1987). <i>Les marchés à terme d'instruments financiers : "Quelques mises au point sur les théories de la couverture et de l'équilibre</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
90 => Essec\Faculty\Model\Contribution {#2360
#_index: "academ_contributions"
#_id: "8197"
#_source: array:18 [
"id" => "8197"
"slug" => "les-mesures-de-performance-des-opcvm-problemes-et-solutions"
"yearMonth" => "1990-01"
"year" => "1990"
"title" => "Les mesures de performance des OPCVM : problèmes et solutions"
"description" => "AFTALION, F. et PONCET, P. (1990). <i>Les mesures de performance des OPCVM : problèmes et solutions</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
91 => Essec\Faculty\Model\Contribution {#2361
#_index: "academ_contributions"
#_id: "8213"
#_source: array:18 [
"id" => "8213"
"slug" => "les-options-strategies-de-prises-de-position-non-revisees"
"yearMonth" => "1987-01"
"year" => "1987"
"title" => "Les options : stratégies de prises de position non révisées"
"description" => "BITO, C., PONCET, P. et PORTAIT, R. (1987). <i>Les options : stratégies de prises de position non révisées</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "BITO Christian"
]
2 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
92 => Essec\Faculty\Model\Contribution {#2362
#_index: "academ_contributions"
#_id: "8218"
#_source: array:18 [
"id" => "8218"
"slug" => "les-strategies-doptions-arbitrages-adaptes-aux-contrats-francais"
"yearMonth" => "1987-01"
"year" => "1987"
"title" => "Les stratégies d'options : arbitrages adaptés aux contrats français"
"description" => "BITO, R., PONCET, P. et BITO, C. (1987). <i>Les stratégies d'options : arbitrages adaptés aux contrats français</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "BITO R."
]
2 => array:1 [
"name" => "BITO Christian"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
93 => Essec\Faculty\Model\Contribution {#2363
#_index: "academ_contributions"
#_id: "1307"
#_source: array:18 [
"id" => "1307"
"slug" => "hedging-short-term-interest-rate-risk-a-more-accurate-approach"
"yearMonth" => "1994-09"
"year" => "1994"
"title" => "Hedging Short-term Interest Rate Risk : A More Accurate Approach"
"description" => "AFTALION, F. et PONCET, P. (1994). Hedging Short-term Interest Rate Risk : A More Accurate Approach. <i>Review of Futures Markets</i>, pp. 565-591."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "565-591"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article distingue 2 types de couverture du risque de taux d'intérêt à court terme, l'un statique, l'autre dynamique, puis teste les modèles à partir des taux Pibor et Eurodollar à 3 mois et leurs contrats futures."
"en" => "This article examines 2 types of short-term interest rate risk-hedging with future contracts, a static one and a dynamic one, then proceeds to test empirically the models on the 3 month-Pibor and Eurodollar rates and their associated futures."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
94 => Essec\Faculty\Model\Contribution {#2364
#_index: "academ_contributions"
#_id: "5538"
#_source: array:18 [
"id" => "5538"
"slug" => "capital-structure-and-debt-priority"
"yearMonth" => "2011-12"
"year" => "2011"
"title" => "Capital Structure and Debt Priority"
"description" => "ATTAOUI, S. et PONCET, P. (2011). Capital Structure and Debt Priority. Dans: 9th International Paris Finance Meeting."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "ATTAOUI S."
]
]
"ouvrage" => "9th International Paris Finance Meeting"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
95 => Essec\Faculty\Model\Contribution {#2365
#_index: "academ_contributions"
#_id: "1383"
#_source: array:18 [
"id" => "1383"
"slug" => "instruments-de-gestion-du-risque-de-taux-dinteret"
"yearMonth" => "1994-10"
"year" => "1994"
"title" => "Instruments de gestion du risque de taux d'intérêt"
"description" => "PONCET, P. et QUITTARD-PINON, F. (1994). Instruments de gestion du risque de taux d'intérêt. <i>La Revue du Financier</i>, pp. 34-50."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "QUITTARD-PINON F."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:30:21"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "34-50"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Les produits nouveaux sur taux d'intérêt sont à la fois utiles et dangereux. Nous présentons successivement les contrats à terme, les options sur taux, les caps et les floors, les swaps et les swaptions."
"en" => "Interest rate derivatives are both very useful and dangerous. Futures and forward contracts, options on interest rates, caps, floors, swaps and swaptions are successively analysed."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
96 => Essec\Faculty\Model\Contribution {#2366
#_index: "academ_contributions"
#_id: "1395"
#_source: array:18 [
"id" => "1395"
"slug" => "international-asset-allocation-a-new-perspective"
"yearMonth" => "2003-01"
"year" => "2003"
"title" => "International Asset Allocation: A New Perspective"
"description" => "LIOUI, A. et PONCET, P. (2003). International Asset Allocation: A New Perspective. <i>Journal of Banking & Finance</i>, pp. 2203-2230."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "2203-2230"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans une économie influencée par K variables d'état et dans laquelle la PPA est violée, la stratégie optimale de portefeuille d'un investisseur comprend, outre la partie spéculative habituelle, deux composantes de couverture seulement, quel que soit le nombre K. La première couvre contre le risque de taux domestiques et la seconde couvre contre le risque engendré par la co-variation entre les taux d'intérêt et les prix de marché du risque. Notre décomposition permet une mise en oeuvre plus simple de la stratégie et conduit à une couverture indirecte du risque de change."
"en" => "An individual's optimal portfolio strategy, in an international economy where PPP is violated and there are K state variables, is shown to contain in addition to the usual speculative component, only two hedging components, however large is K. The first one is associated with domestic interest rate risk and the second one with the risk brought about by the co-movements of interest rates and the market prices of risk. Our decomposition leads to an easier implementation of the strategy and to optimal (indirect) currency risk hedging."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
97 => Essec\Faculty\Model\Contribution {#2367
#_index: "academ_contributions"
#_id: "1414"
#_source: array:18 [
"id" => "1414"
"slug" => "investment-and-hedging-under-a-stochastic-yield-curve"
"yearMonth" => "1993-01"
"year" => "1993"
"title" => "Investment and Hedging under a Stochastic Yield Curve"
"description" => "PONCET, P. et PORTAIT, R. (1993). Investment and Hedging under a Stochastic Yield Curve. <i>European Economic Review</i>, pp. 1127-1147."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1127-1147"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Construction de portefeuilles optimaux impliquant actions et obligations sous une gamme de taux à deux facteurs, sans contraintes et avec contraintes plus Futures."
"en" => "This paper determines optimal portfolios involving both fixed and non-fixed income securities under a 2-state variable yield curve, without constraints and with constraints plus Futures."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
98 => Essec\Faculty\Model\Contribution {#2368
#_index: "academ_contributions"
#_id: "5666"
#_source: array:18 [
"id" => "5666"
"slug" => "cost-of-capital-relationships-with-a-stochastic-level-of-debt"
"yearMonth" => "1990-12"
"year" => "1990"
"title" => "Cost-of-capital Relationships with a Stochastic Level of Debt"
"description" => "PONCET, P. et PORTAIT, R. (1990). Cost-of-capital Relationships with a Stochastic Level of Debt."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
99 => Essec\Faculty\Model\Contribution {#2369
#_index: "academ_contributions"
#_id: "5670"
#_source: array:18 [
"id" => "5670"
"slug" => "cotation-en-continu-marches-derives-et-volatilite"
"yearMonth" => "1990-03"
"year" => "1990"
"title" => "Cotation en continu, marchés dérivés et volatilité"
"description" => "PONCET, P. (1990). Cotation en continu, marchés dérivés et volatilité."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
100 => Essec\Faculty\Model\Contribution {#2370
#_index: "academ_contributions"
#_id: "1490"
#_source: array:18 [
"id" => "1490"
"slug" => "la-dynamique-des-taux-dinteret-a-court-terme-en-france"
"yearMonth" => "1995-01"
"year" => "1995"
"title" => "La dynamique des taux d'intérêt à court terme en France"
"description" => "AFTALION, F. et PONCET, P. (1995). La dynamique des taux d'intérêt à court terme en France. <i>Bankers, Markets and Investors</i>, pp. 5-16."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:15"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "5-16"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article tente de trouver une représentation économétrique satisfaisante de la dynamique du taux Pibor 3 mois sur la période 1987-1991 et d'en proposer une explication théorique fondée sur le comportement de la banque centrale et des banques périphériques. Nos résultats mettent en doute la validité du processus d'Ornstein-Uhlenbeck, communément utilisé comme modèle dynamique d'évolution des taux courts français. D'une part, la structure autorégressive qui émerge est d'ordre deux, et d'autre part, les résidus du processus jugé explicatif exhibent un effet ARCH (1)."
"en" => "The aim of this paper is to provide both a satisfactory econometric representation of the dynamics of the 3-month Pibor interest rate over the 1987-1991 period, and a theoretical justification grounded in the behaviour of the interbank market's participants. Our results cast doubt on the validity of the often used Orstein-Uhlenbeck process as an appropriate model describing the dynamics of French short term rates. Our data actually fits an AR (2) process. We also provide evidence of ARCH (1) effects in the residuals."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
101 => Essec\Faculty\Model\Contribution {#2371
#_index: "academ_contributions"
#_id: "1504"
#_source: array:18 [
"id" => "1504"
"slug" => "la-gamme-des-taux"
"yearMonth" => "1997-01"
"year" => "1997"
"title" => "La gamme des taux"
"description" => "PONCET, P. (1997). La gamme des taux. <i>Bankers, Markets and Investors</i>, pp. 49-54."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:15"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "49-54"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article consacré à la structure par termes des taux d'intérêt examine, d'une part, la nature des taux d'intérêt au comptant concernés, et d'autre part les différentes théories explicatives traditionnelles de la formation et de la déformation de la courbe des taux, et propose enfin une méthode simple de construction de la courbe à partir des données effectivement disponibles sur les marchés."
"en" => "This article adresses the term structure of interest rates. It discusses the nature of the spot interest rates of concern on the one hand and the different theories of the yield curve that have been traditionnally offered on the other. It concludes by the exposition of a simple method for building the yield curve using data effectively available on the financial markets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
102 => Essec\Faculty\Model\Contribution {#2372
#_index: "academ_contributions"
#_id: "1589"
#_source: array:18 [
"id" => "1589"
"slug" => "la-volatilite"
"yearMonth" => "2004-03"
"year" => "2004"
"title" => "La volatilité"
"description" => "AFTALION, F. et PONCET, P. (2004). La volatilité. <i>Bankers, Markets and Investors</i>, pp. 50-56."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:16"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "50-56"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Après avoir présenté les différentes mesures de la volatilité, historique, instantanée et implicite, nous examinons la relation entre la volatilité et la rentabilité des actifs concernés. Nous terminons par un examen des causes possibles de la volatilité et de son instabilité, qui doivent être recherchées plus dans la sphère réelle que dans l'innovation financière comme la gestion alternative et les hedges funds."
"en" => "We present first different measures of the financial market volatility, historical, instantaneous and implied in option prices. Next we analyse the long run relationship between volatility and return on financial assets. Last we examine the possible causes of volatility and its instability, that appear to be more related to the real sector of the economy than to financial innovation such as alternative investment and hedge funds."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
103 => Essec\Faculty\Model\Contribution {#2373
#_index: "academ_contributions"
#_id: "1619"
#_source: array:18 [
"id" => "1619"
"slug" => "lattribution-de-performance"
"yearMonth" => "2003-05"
"year" => "2003"
"title" => "L'attribution de performance"
"description" => "PONCET, P. (2003). L'attribution de performance. <i>Bankers, Markets and Investors</i>, pp. 59-63."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:16"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "59-63"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "L'attribution de performance a pour objet d'évaluer la qualité des décisions d'investissement du gérant de portefeuille en termes de rentabilité et de risque. Elle se propose d'identifier et d'expliquer les sources de la sur- ou sous- performance d'un fonds par rapport à son étalon explicite ou implicite, c'est-à-dire de les attribuer à des décisions particulières du gérant."
"en" => "Performance attribution aims at assessing the quality of past investment decisions from the portfolio manager, in risk-return terms. Its purpose is to identify and explain the sources of over-or under-performance of a given fund vis-à-vis its implicit or explicit benchmark, i.e. to trace them to the manager's specific investment decisions."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
104 => Essec\Faculty\Model\Contribution {#2374
#_index: "academ_contributions"
#_id: "6233"
#_source: array:18 [
"id" => "6233"
"slug" => "investment-and-hedging-under-a-two-factor-stochastic-term-structure"
"yearMonth" => "1988-12"
"year" => "1988"
"title" => "Investment and Hedging under a Two-Factor Stochastic Term Structure"
"description" => "PONCET, P. et PORTAIT, R. (1988). Investment and Hedging under a Two-Factor Stochastic Term Structure."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
105 => Essec\Faculty\Model\Contribution {#2375
#_index: "academ_contributions"
#_id: "6235"
#_source: array:18 [
"id" => "6235"
"slug" => "investment-and-hedging-with-and-without-interest-rate-futures"
"yearMonth" => "1988-07"
"year" => "1988"
"title" => "Investment and Hedging with and without Interest Rate Futures"
"description" => "PORTAIT, R. et PONCET, P. (1988). Investment and Hedging with and without Interest Rate Futures."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
106 => Essec\Faculty\Model\Contribution {#2376
#_index: "academ_contributions"
#_id: "1970"
#_source: array:18 [
"id" => "1970"
"slug" => "long-horizon-predictability-an-asset-allocation-perspective"
"yearMonth" => "2019-05"
"year" => "2019"
"title" => "Long Horizon Predictability: An Asset Allocation Perspective"
"description" => "PONCET, P. et LIOUI, A. (2019). Long Horizon Predictability: An Asset Allocation Perspective. <i>European Journal of Operational Research</i>, 278(3), pp. 961-975."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Finance"
1 => "Dynamic portfolio decision"
2 => "Predictive regression"
3 => "Long horizon predictability"
4 => "Inter-temporal hedging"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0377221719303777?via%3Dihub"
"publicationInfo" => array:3 [
"pages" => "961-975"
"volume" => "278"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "L'impact positif de la prédictabilité sur le bien-être des investisseurs augmente avec l'horizon de prévision et celui d'investissement. Ces résultats sont robustes, y compris hors échantillon. Les investisseurs à long ou moyen terme devraient exploiter LHP systématiquement."
"en" => "The positive impact of predictability on investors' welfare is stronger for longer prediction and investment horizons. Our results are robust to various checks and also hold out-of-sample. Medium to long term investors should exploit LHP even if they frequently rebalance their portfolios."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
107 => Essec\Faculty\Model\Contribution {#2377
#_index: "academ_contributions"
#_id: "2024"
#_source: array:18 [
"id" => "2024"
"slug" => "marches-a-terme-et-doptions-et-volatilite-des-cours"
"yearMonth" => "1993-05"
"year" => "1993"
"title" => "Marchés à terme et d'options et volatilité des cours"
"description" => "PONCET, P. (1993). Marchés à terme et d'options et volatilité des cours. <i>Analyse Financière</i>, pp. 75-82."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "75-82"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La théorie économique et certains résultats empiriques aident à comprendre le rôle et le mode de fonctionnement et de contrôle des marchés dérivés et leur incidence, ainsi que celle du "program trading" sur la volatilité des cours boursiers."
"en" => "Economic theory and some empirical evidence shed light on the role, the functioning and the proper mode of control of derivative markets, as well as their impact, together with program trading, on stock-prices volatility."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
108 => Essec\Faculty\Model\Contribution {#2378
#_index: "academ_contributions"
#_id: "2039"
#_source: array:18 [
"id" => "2039"
"slug" => "mean-variance-efficiency-of-the-market-portfolio-and-futures-trading"
"yearMonth" => "2001-04"
"year" => "2001"
"title" => "Mean-variance Efficiency of the Market Portfolio and Futures Trading"
"description" => "LIOUI, A. et PONCET, P. (2001). Mean-variance Efficiency of the Market Portfolio and Futures Trading. <i>Journal of Futures Markets</i>, pp. 329-346."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "329-346"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous obtenons un CAPM intertemporel pour lequel l'efficience espérance-variance du portefeuille de marché M n'est ni nécessaire ni suffisante, quand on introduit, en plus des actifs primitifs au comptant, des contrats futures non-redondants. Un théorème de séparation en (3 + K) fonds est obtenu au lieu de l'habituel (2 + K) fonds, où K est le nombre de variables d'état. L'efficience espérance-variance de M n'est nécessaire que lorsque seuls des actifs au comptant sont présents."
"en" => "An intertemporal CAPM is derived, in which mean-variance efficiency of the market portfolio is neither necessary nor a sufficient condition, when, in addition to the usual cash assets, non-redundant futures contracts trade. A (3 + K) mutual fund separation is obtained in place of the usual (2 + K) fund, where K is the number of state variables. Mean-variance efficiency of the market portfolio is a necessary condition only when cash assets solely trade."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
109 => Essec\Faculty\Model\Contribution {#2379
#_index: "academ_contributions"
#_id: "2062"
#_source: array:18 [
"id" => "2062"
"slug" => "misunderstanding-risk-and-return"
"yearMonth" => "2011-12"
"year" => "2011"
"title" => "Misunderstanding Risk and Return"
"description" => "LIOUI, A. et PONCET, P. (2011). Misunderstanding Risk and Return. <i>Finance</i>, 32(1), pp. 91-136."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Facteurs de Fama-French"
1 => "Modèle d'évaluation Intertemporel"
2 => "Prime de taille"
3 => "Prime de valeur"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://www.cairn.info/revue-finance-2011-2-page-91.htm"
"publicationInfo" => array:3 [
"pages" => "91-136"
"volume" => "32"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Campbell [1996] propose une méthodologie fondée sur un processus VAR(1) pour tester le MEDAF Intertemporel. Les innovations des prédicteurs des excès de rentabilité sont estimés et utilisés comme facteurs de risque dans un modèle d’évaluation. Nous montrons que sa procédure de triangularisation ne permet pas en fait d’identifier les prix du risque en coupe transversale associés aux prédicteurs, du fait que ces prix dépendent de la façon, arbitraire, d’ordonner les variables dans le VAR. De plus, puisque les facteurs sont orthogonaux entre eux et au portefeuille de marché, la comparaison avec d’autres modèles multi-facteurs pose de sérieux problèmes, notamment avec les facteurs HML et SMB de Fama et French."
"en" => "Campbell (1996) [1996] proposed a methodology based on a VAR(1) process to test the Intertemporal CAPM. Innovations in predictors of portfolio returns are estimated and used as risk factors in an asset pricing model. We show that his triangularization procedure makes the cross-sectional prices of risk associated with the predictors non identifiable. This is because they depend on the arbitrary ordering of the variables in the VAR. Moreover, since the factors are orthogonal to the market and to one another, the comparison with alternative multi-factor models is problematic, e.g. with the Fama-French HML and SMB factors."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
110 => Essec\Faculty\Model\Contribution {#2380
#_index: "academ_contributions"
#_id: "6408"
#_source: array:18 [
"id" => "6408"
"slug" => "le-marche-a-terme-dinstruments-financiers-quelques-mises-au-point-sur-les-theories-de-la-couverture-et-de-lequilibre"
"yearMonth" => "1986-12"
"year" => "1986"
"title" => "Le marché à terme d'instruments financiers : quelques mises au point sur les théories de la couverture et de l'équilibre"
"description" => "PONCET, P. et PORTAIT, R. (1986). Le marché à terme d'instruments financiers : quelques mises au point sur les théories de la couverture et de l'équilibre."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
111 => Essec\Faculty\Model\Contribution {#2381
#_index: "academ_contributions"
#_id: "2065"
#_source: array:18 [
"id" => "2065"
"slug" => "mode-de-cotation-structure-des-marches-et-volatilite-des-cours"
"yearMonth" => "1993-05"
"year" => "1993"
"title" => "Mode de cotation, structure des marchés et volatilité des cours"
"description" => "PONCET, P. (1993). Mode de cotation, structure des marchés et volatilité des cours. <i>Analyse Financière</i>, pp. 66-74."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "66-74"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article examine les critiques du mode de cotation continu des cours et de la microstructure des marchés, et leurs implications sur le fonctionnement et la performance des marchés, à la lumière de la théorie économique et de quelques observations empiriques."
"en" => "This article analyses the recent criticisms of the continuous mode of asset-prices quotation and, more generally, of market microstructures, and their impact on market functioning and performance. Arguments rely both on economic theory and empirical evidence."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
112 => Essec\Faculty\Model\Contribution {#2382
#_index: "academ_contributions"
#_id: "2078"
#_source: array:18 [
"id" => "2078"
"slug" => "monetary-non-neutrality-in-the-sidrauski-model-under-uncertainty"
"yearMonth" => "2008-01"
"year" => "2008"
"title" => "Monetary Non-neutrality in the Sidrauski Model Under Uncertainty"
"description" => "LIOUI, A. et PONCET, P. (2008). Monetary Non-neutrality in the Sidrauski Model Under Uncertainty. <i>Economics Letters</i>, 100(1), pp. 22-26."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Accumulation de capital "
1 => "Monnaie et croissance"
2 => "Non-neutralité de la monnaie"
3 => "Politique monétaire"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "22-26"
"volume" => "100"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "L'introduction de l'incertitude dans la version du modèle de Sidrauski due à Reis (2007) détruit la super-neutralité de la politique monétaire, même si monnaie et consommation sont séparables dans la fonction d'utilité. Ceci parce que le taux d'intérêt réel est affecté par la politique monétaire. Ce n'est que dans le cas où la demande de monnaie est inélastique au taux d'intérêt que la super-neutralité peut être obtenue."
"en" => "Introduducing uncertainty in the Reis's (2007) version of the Sidrauski model leads to a monetary policy that is not super-neutral even though money and consumption are separable in the utility function. This is because the real interest rate is affected by such a policy. Only in the case of an interest rate inelastic money demand does the super-neutrality result survive."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
113 => Essec\Faculty\Model\Contribution {#2383
#_index: "academ_contributions"
#_id: "2079"
#_source: array:18 [
"id" => "2079"
"slug" => "money-and-asset-prices-in-a-production-economy"
"yearMonth" => "2010-12"
"year" => "2010"
"title" => "Money and Asset Prices in a Production Economy"
"description" => "LIOUI, A. et PONCET, P. (2010). Money and Asset Prices in a Production Economy. <i>Finance</i>, 31(2), pp. 7-49."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Neutralité de la monnaie"
1 => "Noyau d'évaluation"
2 => "Politique monétaire"
3 => "Prime de risque d'inflation"
4 => "Prix des actifs financiers"
5 => "Taux d'intérêt réels et nominaux"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://www.cairn.info/revue-finance-2010-2-page-007.htm"
"publicationInfo" => array:3 [
"pages" => "7-49"
"volume" => "31"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous généralisons l¿économie monétaire de Lucas et Stokey au cas d¿une économie de production de type néo-classique. La monnaie est génériquement non neutre, même quand les fonctions d¿utilité sont log séparable. Le ratio capital/richesse totale joue un rôle central dans le mécanisme de transmission de la politique monétaire. Nos résultats empiriques confirment l¿influence de ce ratio sur la prime de risque du marché actions."
"en" => "We generalize the monetary economy of Lucas and Stokey to the case of a neo-classical production economy. Money non-neutrality is shown to be generic, even though the representative agent¿s utility is log separable. The capital/wealth ratio plays a key role in the transmission mechanism of monetary policy. Empirical evidence supports the hypothesized influence of this ratio on the US equity market premium."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
114 => Essec\Faculty\Model\Contribution {#2384
#_index: "academ_contributions"
#_id: "2125"
#_source: array:18 [
"id" => "2125"
"slug" => "on-model-ambiguity-and-money-neutrality"
"yearMonth" => "2012-11"
"year" => "2012"
"title" => "On Model Ambiguity and Money Neutrality"
"description" => "LIOUI, A. et PONCET, P. (2012). On Model Ambiguity and Money Neutrality. <i>Journal of Macroeconomics</i>, 34(4), pp. 1020-1033."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Équilibre monétaire dynamique"
1 => "Modèle mal spécifié"
2 => "Neutralité monétaire"
3 => "Préférence pour la robustesse"
4 => "Processus stochastiques de croissance du capital"
5 => "Processus stochastiques d'émission monétaire"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://doi.org/10.1016/j.jmacro.2012.08.003"
"publicationInfo" => array:3 [
"pages" => "1020-1033"
"volume" => "34"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous dérivons l'équilibre d'un modèle néo-classique stochastique en temps continu, sans et avec monnaie, en tenant compte de l'ambigüité du modèle, et montrons en particulier que l'aversion à l'ambigüité affecte toutes les variables économiques réelles, le taux d'inflation anticipé et le taux d'intérêt nominal."
"en" => "We solve for the equilibrium of a stochastic neo-classical continuous time model without and with money under model ambiguity. We show in particular that preference for model robustness affects all the real economic variables, the expected inflation rate and the nominal interest rate."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
115 => Essec\Faculty\Model\Contribution {#2385
#_index: "academ_contributions"
#_id: "2126"
#_source: array:18 [
"id" => "2126"
"slug" => "on-optimal-portfolio-choice-under-stochastic-interest-rates"
"yearMonth" => "2001-01"
"year" => "2001"
"title" => "On Optimal Portfolio Choice Under Stochastic Interest Rates"
"description" => "LIOUI, A. et PONCET, P. (2001). On Optimal Portfolio Choice Under Stochastic Interest Rates. <i>Journal of Economic Dynamics and Control</i>, pp. 1841-1865."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1841-1865"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "A partir de l'approche martingale, on montre que la stratégie optimale d'un investisseur maximisant l'espérance d'utilité de sa richesse terminale inclut, en plus des termes traditionnels de pure couverture et de spéculation, seulement deux termes à la Merton-Breeden au lieu des K termes usuels associés au k (nombre éventuellement grand) variables d'état influençant l'ensemble d'opportunité d'investissement. Le premier est lié au risque de taux d'intérêt et le second au risque engendré par la covariation entre le taux court et les prix de marché du risque."
"en" => "Using the martingale approach, the optimal strategy of an expected utility maximizer is shown to include, in addition to the traditional pure hedge and speculative components, only two Merton-Breeden-type hedging elements instead of K hedging elements associated with the (potentially numerous) K state variables driving the investment opportunity set. The first one is associated with interest rate risk and the second one with the risk brought about by co-movements of the spot interest rate and market prices of risk."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
116 => Essec\Faculty\Model\Contribution {#2386
#_index: "academ_contributions"
#_id: "6094"
#_source: array:18 [
"id" => "6094"
"slug" => "hedging-short-term-interest-rate-risk-with-futures-a-more-accurate-approach"
"yearMonth" => "1993-06"
"year" => "1993"
"title" => "Hedging Short-term Interest Rate Risk with Futures : A More Accurate Approach"
"description" => "PONCET, P. et AFTALION, F. (1993). Hedging Short-term Interest Rate Risk with Futures : A More Accurate Approach."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article distingue 2 types de couverture du risque de taux d'intérêt à court terme, l'un statique, l'autre dynamique, puis teste les modèles à partir des taux Pibor et Eurodollar à 3 mois et leurs contrats futures."
"en" => "This article examines 2 types of short-term interest rate risk-hedging with futures contracts, a static one and a dynamic one, then proceeds to test empirically the models on the 3 month-Pibor and Eurodollar rates and their associated futures."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
117 => Essec\Faculty\Model\Contribution {#2387
#_index: "academ_contributions"
#_id: "6095"
#_source: array:18 [
"id" => "6095"
"slug" => "hedging-short-term-interest-rate-risk-with-futures-a-more-accurate-approach"
"yearMonth" => "1993-09"
"year" => "1993"
"title" => "Hedging Short-term Interest Rate Risk with Futures : A More Accurate Approach"
"description" => "PONCET, P. et AFTALION, F. (1993). Hedging Short-term Interest Rate Risk with Futures : A More Accurate Approach."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article distingue 2 types de couverture du risque de taux d'intérêt à court terme, l'un statique, l'autre dynamique, puis teste les modèles à partir des taux Pibor et Eurodollar à 3 mois et leurs contrats futures."
"en" => "This article examines 2 types of short-term interest rate risk-hedging with futures contracts, a static one and a dynamic one, then proceeds to test empirically the models on the 3 month-Pibor and Eurodollar rates and their associated futures."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
118 => Essec\Faculty\Model\Contribution {#2388
#_index: "academ_contributions"
#_id: "6221"
#_source: array:18 [
"id" => "6221"
"slug" => "international-asset-allocation-a-new-perspective"
"yearMonth" => "2000-06"
"year" => "2000"
"title" => "International Asset Allocation: A New Perspective"
"description" => "LIOUI, A. et PONCET, P. (2000). International Asset Allocation: A New Perspective."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans une économie internationale où la parité des pouvoirs d'achat est violée, on dérive la stratégie optimale d'un individu représentatif d'un pays particulier. Celle-ci comprend, outre le terme spéculatif habituel, deux termes de couverture, l'un contre le risque de taux domestique, l'autre contre le risque engendré par la covariance entre les taux d'intérêt internationaux et les différents prix de marché du risque. Et ceci quel que soit le nombre des variables d'état du modèle. Notre décomposition met en évidence la nécessité de se couvrir, indirectement, contre le risque de change."
"en" => "In an international economy where PPP is violated, the optimal strategy of a country-specific representative individual is shown to contain, in addition to the usual speculative component, only two hedging components, irrespective of the number of state variables. One is associated with the domestic interest rate risk and the other with the risk brought about by the co-movements of interest rates and the market prices of risk. Our decomposition leads to optimal (indirect) currency risk hedging."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
119 => Essec\Faculty\Model\Contribution {#2389
#_index: "academ_contributions"
#_id: "6819"
#_source: array:18 [
"id" => "6819"
"slug" => "optimal-investment-and-hedging-with-long-term-interest-rate-futures-a-theoretical-analysis-investissement-et-couverture-optimale-sur-les-marches-a-terme-de-taux-dinteret-une-analyse-theorique"
"yearMonth" => "1986-06"
"year" => "1986"
"title" => "Optimal Investment and Hedging with Long Term Interest Rate Futures : A Theoretical Analysis Investissement et couverture optimale sur les marchés à terme de taux d'intérêt : une analyse théorique"
"description" => "PONCET, P. et PORTAIT, R. (1986). Optimal Investment and Hedging with Long Term Interest Rate Futures : A Theoretical Analysis Investissement et couverture optimale sur les marchés à terme de taux d'intérêt : une analyse théorique."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
120 => Essec\Faculty\Model\Contribution {#2390
#_index: "academ_contributions"
#_id: "7961"
#_source: array:18 [
"id" => "7961"
"slug" => "cost-of-capital-relationships-under-debt-level-uncertainty-the-case-of-stochastic-continuous-cash-flows-and-a-fixed-leverage-ratio"
"yearMonth" => "1993-03"
"year" => "1993"
"title" => "Cost-of-capital Relationships under Debt Level Uncertainty : The Case of Stochastic Continuous Cash-flows and a Fixed Leverage Ratio"
"description" => "PONCET, P. et PORTAIT, R. (1993). <i>Cost-of-capital Relationships under Debt Level Uncertainty : The Case of Stochastic Continuous Cash-flows and a Fixed Leverage Ratio</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article reconsidère les formules traditionnelles de Modigliani et Miller concernant les différents coûts du capital de la firme quand le montant futur de la dette est aléatoire et sous une hypothèse très générale concernant les flux générés par les investissements."
"en" => "Standard Modigliani-Miller cost-of-capital formulae are reconsidered in the case where the future level of the firm's debt is stochastic, and the firm's cash-flows follow any arbitrary diffusion process."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
121 => Essec\Faculty\Model\Contribution {#2391
#_index: "academ_contributions"
#_id: "8029"
#_source: array:18 [
"id" => "8029"
"slug" => "evaluation-des-options-sur-obligations-et-sur-contrats-a-terme-dobligations"
"yearMonth" => "1995-02"
"year" => "1995"
"title" => "Evaluation des options sur obligations et sur contrats à terme d'obligations"
"description" => "MELLIOS, K. et PONCET, P. (1995). <i>Evaluation des options sur obligations et sur contrats à terme d'obligations</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "MELLIOS K."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article valorise les obligations zéro-coupons et les options européennes écrites sur ces dernières et sur des contrats à terme, tant forward que futures, ayant ces dernières pour support. Dans le cadre d'un cas particulier du modèle de Heath-Jarrow-Morton où la volatilité des taux forward instantanés est supposée constante, mais pas celle du prix des zéro-coupons, nous obtenons des solutions analytiques à la Black-Scholes."
"en" => "In this article, we evaluate pure discount bonds and European options written on the latter and on forward and futures contracts. Using a particular case of the Heath-Jarrow-Morton model in which the volatility of instantaneous forward rates is constant, but not that of pure discount bond prices, we obtain Black-Scholes like closed-form solutions."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
122 => Essec\Faculty\Model\Contribution {#2392
#_index: "academ_contributions"
#_id: "8065"
#_source: array:18 [
"id" => "8065"
"slug" => "hedging-short-term-interest-rate-risk-with-futures-a-more-accurate-approach"
"yearMonth" => "1993-09"
"year" => "1993"
"title" => "Hedging Short-term Interest Rate Risk with Futures : A More Accurate Approach"
"description" => "AFTALION, F. et PONCET, P. (1993). <i>Hedging Short-term Interest Rate Risk with Futures : A More Accurate Approach</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article discrimine entre deux types de couverture du risque de taux d'intérêt à court terme, l'un statique, l'autre dynamique, puis teste les modèles à partir des taux Pibor et Eurodollar à 3 mois et leurs contrats futures associés."
"en" => "This article examines two types of short term interest rate risk hedging with futures contracts, a static one and a dynamic one, then proceeds to test empirically the models on the 3 month Pibor and Eurodollar rates and their associated futures."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
123 => Essec\Faculty\Model\Contribution {#2393
#_index: "academ_contributions"
#_id: "8089"
#_source: array:18 [
"id" => "8089"
"slug" => "international-bond-portfolio-diversification"
"yearMonth" => "1999-03"
"year" => "1999"
"title" => "International Bond Portfolio Diversification"
"description" => "LIOUI, A. et PONCET, P. (1999). <i>International Bond Portfolio Diversification</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article examine deux questions liées de finance internationale. D'abord, théorie et évidence empirique suggèrent que les agents devraient en même temps investir à l'étranger et se couvrir contre le risque de change induit, ce qui est quelque peu paradoxal. Ensuite, les investisseurs semblent sous-investir en fait dans les actifs étrangers ("home bias"). Nous décrivons et comparons les demandes optimales pour trois stratégies différentes : l'une implique l'utilisation des obligations internationales, et les deux autres soit des forwards, soit des futures sur taux de change."
"en" => "This paper addresses two related issues in international finance. First, existing theory and empirical evidence suggest that domestic agents should invest abroad and simultaneously hedge the implied exchange rate risk, a somewhat paradoxical proposition. Second, investors seem to exhibit "home bias" in that the proportion of foreign assets they hold is admittedly very low. We derive and compare optimal demands for three different strategies: one involving foreign bonds, one involving currency forwards and the last one involving currency futures."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
124 => Essec\Faculty\Model\Contribution {#2394
#_index: "academ_contributions"
#_id: "8093"
#_source: array:18 [
"id" => "8093"
"slug" => "investment-and-hedging-under-a-stochastic-yield-curve-a-two-state-variable-multi-factor-model"
"yearMonth" => "1993-03"
"year" => "1993"
"title" => "Investment and Hedging under a Stochastic Yield Curve : A Two-state-variable, Multi-factor Model"
"description" => "PONCET, P. et PORTAIT, R. (1993). <i>Investment and Hedging under a Stochastic Yield Curve : A Two-state-variable, Multi-factor Model</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Optimisation de portefeuille impliquant titres à revenus fixes, actions et futures dans un contexte où les taux d'intérêt dépendent de deux facteurs et des contraintes pèsent sur la position en obligations."
"en" => "Portfolio optimisation involving bonds, stocks and futures when two factors drive the yield curve and constraints may be imposed on the bond position."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
125 => Essec\Faculty\Model\Contribution {#2395
#_index: "academ_contributions"
#_id: "8098"
#_source: array:18 [
"id" => "8098"
"slug" => "is-the-bernoulli-speculator-always-myopic-in-a-complete-information-economy"
"yearMonth" => "1998-08"
"year" => "1998"
"title" => "Is the Bernoulli Speculator always Myopic in a Complete Information Economy?"
"description" => "LIOUI, A. et PONCET, P. (1998). <i>Is the Bernoulli Speculator always Myopic in a Complete Information Economy?</i> ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans un modèle à taux d’intérêt stochastiques, un pur spéculateur logarithmique n’intervient que sur le marché des forwards ou des futures sur taux. Sa stratégie avec des forwards comprend un terme de plus que sa stratégie impliquant des futures. Ce terme supplémentaire peut s’interprêter comme une couverture à la Merton-Breeden contre le risque “ endogène ” généré par la stratégie elle-même. Ainsi, même pour un spéculateur Bernoullien, seule la stratégie utilisant des futures est strictement myope au sens habituel."
"en" => "Under stochastic interest rates, a pure Bernoulli investor chooses to intervene only on the forward or the futures market. His strategy involving forwards exhibits an extra term vis-à-vis the one using futures. This extra term can be interpreted as a Merton-Breeden type hedge against the “ endogenous ” interest rate risk brought about by the optimal strategy itself. Thus, even for the Bernoulli speculator, only a strategy using futures is strictly myopic in the usual sense."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
126 => Essec\Faculty\Model\Contribution {#2396
#_index: "academ_contributions"
#_id: "8123"
#_source: array:18 [
"id" => "8123"
"slug" => "la-dynamique-des-taux-dinteret-a-court-terme-en-france"
"yearMonth" => "1993-09"
"year" => "1993"
"title" => "La dynamique des taux d'intérêt à court terme en France"
"description" => "AFTALION, F. et PONCET, P. (1993). <i>La dynamique des taux d'intérêt à court terme en France</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "AFTALION Florin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Deux courants opposés se manifestent dans la littérature financière : l'un de nature économétrique suppose que les séries de taux d'intérêt à court terme sont non stationnaires,l'autre associé à la modélisation des structures par termes suppose que ces séries sont stationnaires. Cet article tente de trancher entre ces deux positions."
"en" => "Two opposite positions are found in the financial literature. The first based on an econometric approach maintains that series of short-term interest rate series are non stationary. The second, associated with studies on term structures assumes that these series are stationary. This article attempts to discriminate between these two positions."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
127 => Essec\Faculty\Model\Contribution {#2397
#_index: "academ_contributions"
#_id: "8143"
#_source: array:18 [
"id" => "8143"
"slug" => "la-stabilite-a-long-terme-de-la-demande-de-monnaie-de-court-terme-une-comparaison-internationale"
"yearMonth" => "1991-04"
"year" => "1991"
"title" => "La stabilité à long terme de la demande de monnaie de court terme : une comparaison internationale"
"description" => "PONCET, P. et REN, X. (1991). <i>La stabilité à long terme de la demande de monnaie de court terme : une comparaison internationale</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "REN XIAOLI"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article examine la stabilité à long terme de la demande monnaie de court terme aux Etats-Unis, en France, au Japon, en RFA et au Royaume-Uni, pour la période de 1970-1988. Les tests de variation structurelle à la Chow et les tests de sommes cumulées à la Brown, Durbin et Evans indiquent qu'on ne peut rejeter l'hypothèse de la stabilité, sauf peut-être aux Etats-Unis."
"en" => "This article analyses the long-run stability of the short term demand for money in the USA, France, Japan, GFR and the UK between 1970 and 1988. According to both Structural change tests à la Chow and Cusum tests à la Brown, Durbin and Evans have indicated that the null hypothesis of long-run stability cannot be rejected except, perhaps, in the USA."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
128 => Essec\Faculty\Model\Contribution {#2398
#_index: "academ_contributions"
#_id: "8251"
#_source: array:18 [
"id" => "8251"
"slug" => "marches-a-terme-et-doptions-et-volatilite-des-cours"
"yearMonth" => "1993-03"
"year" => "1993"
"title" => "Marchés à terme et d'options et volatilité des cours"
"description" => "PONCET, P. (1993). <i>Marchés à terme et d'options et volatilité des cours</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "On examine, à la lumière de la théorie économique et de certains résultats empiriques, le rôle et le mode de fonctionnement et de contrôle des marchés à terme et d'options et leur incidence sur la volatilité des cours des sous-jacents."
"en" => "Economic theory and some empirical evidence shed light on the role and organization of options and futures markets as well as on their impact on the volatility of the underlying assets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
129 => Essec\Faculty\Model\Contribution {#2399
#_index: "academ_contributions"
#_id: "8274"
#_source: array:18 [
"id" => "8274"
"slug" => "modes-de-cotation-structure-des-marches-et-volatilite-des-cours"
"yearMonth" => "1993-03"
"year" => "1993"
"title" => "Modes de cotation, structure des marchés, et volatilité des cours"
"description" => "PONCET, P. (1993). <i>Modes de cotation, structure des marchés, et volatilité des cours</i>. ESSEC Business School."
"authors" => array:1 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "On examine les critiques du mode continu de cotation des cours et, plus généralement, de la microstructure des marchés et leurs implications sur le fonctionnement et la performance des marchés, à la lumière de la théorie et de quelques observations empiriques."
"en" => "We scrutinize recent criticisms of continuous trading and, more generally, of modern market microstructures, and their influences on market efficiency, in the light of economic theory and some empirical evidence."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
130 => Essec\Faculty\Model\Contribution {#2400
#_index: "academ_contributions"
#_id: "8282"
#_source: array:18 [
"id" => "8282"
"slug" => "more-on-optimal-portfolio-choice-under-stochastic-interest-rates"
"yearMonth" => "1998-08"
"year" => "1998"
"title" => "More on Optimal Portfolio Choice under Stochastic Interest Rates"
"description" => "LIOUI, A. et PONCET, P. (1998). <i>More on Optimal Portfolio Choice under Stochastic Interest Rates</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Un investisseur muni d’une position non négligeable en instruments de taux utilise les futures pour maximiser l’espérance d’utilité de sa richesse terminale. Sa stratégie optimale comprend un terme espérance-variance dit spéculatif, et deux termes de couverture quand sa fonction d’utilité est CARA. Le deuxième terme de couverture, de type Merton-Breeden, est synthétisé de manière endogène et utilise implicitement une obligation de maturité égale à l’horizon de l’investisseur."
"en" => "An investor endowed with an interest rate risk sensitive non traded cash position uses interest rate futures to maximize the expected utility of his terminal wealth. His trading strategy contains a speculative, mean-variance component and two hedge components when his utility is CARA. The second hedge is a Merton-Breeden term and is performed through a synthetic asset derived endogenously and shown to be a bond of maturity equal to the investor’s horizon."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
131 => Essec\Faculty\Model\Contribution {#2401
#_index: "academ_contributions"
#_id: "8302"
#_source: array:18 [
"id" => "8302"
"slug" => "optimal-dynamic-hedging-in-incomplete-futures-markets"
"yearMonth" => "1995-04"
"year" => "1995"
"title" => "Optimal Dynamic Hedging in Incomplete Futures Markets"
"description" => "LIOUI, A. et PONCET, P. (1995). <i>Optimal Dynamic Hedging in Incomplete Futures Markets</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Dans le cadre de marchés incomplets, et dans les cas où les investisseurs ont une fonction d'utilité soit logarithmique, soit exponentielle, nous dérivons les demandes optimales de futures d'un opérateur contraint par son portefeuille d'actifs primaires. Des solutions explicites existent dans le cas logarithmique mais pas dans le cas exponentiel et seulement des optima de second ordre sont obtenus en marchés incomplets."
"en" => "In incomplete markets, with either logarithmic or exponential utility functions, we derive optimal hedging demands for futures for an investor who cannot freely trade his portfolio of primitive assets. Closed-form solutions exist in the logarithmic case but not in the exponential one. Only second best optima are obtained in incomplete markets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
132 => Essec\Faculty\Model\Contribution {#2402
#_index: "academ_contributions"
#_id: "8304"
#_source: array:18 [
"id" => "8304"
"slug" => "optimal-hedging-in-a-dynamic-futures-market-with-a-non-negativity-constraint-on-wealth"
"yearMonth" => "1995-04"
"year" => "1995"
"title" => "Optimal Hedging in a Dynamic Futures Market with a Non-Negativity Constraint on Wealth"
"description" => "LIOUI, A. et PONCET, P. (1995). <i>Optimal Hedging in a Dynamic Futures Market with a Non-Negativity Constraint on Wealth</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cet article traite de la couverture optimale, par des futures, d'un investisseur à fonction d'utilité CARA qui ne peut échanger les actifs de son portefeuille initial. Si l'on impose à sa richesse de ne pas pouvoir être négative, cette contrainte joue et les résultats habituels de la littérature ne tiennent plus."
"en" => "This paper examines the issue of optimal hedging demands for futures from an investor who cannot freely trade his portfolio of primitive assets and has a CARA utility function. The nonnegativity constraint on his wealth is binding so that usual results do not hold."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
133 => Essec\Faculty\Model\Contribution {#2403
#_index: "academ_contributions"
#_id: "8307"
#_source: array:18 [
"id" => "8307"
"slug" => "optimal-investment-and-hedging-with-long-term-interest-rate-futures-a-theoretical-analysis-investissement-et-couverture-optimale-sur-les-marches-a-terme-de-taux-dinteret-une-analyse-theorique"
"yearMonth" => "1986-06"
"year" => "1986"
"title" => "Optimal Investment and Hedging with Long Term Interest Rate Futures : A Theoretical Analysis - Investissement et couverture optimale sur les marchés à terme de taux d'intérêt : une analyse théorique"
"description" => "PONCET, P. et PORTAIT, R. (1986). <i>Optimal Investment and Hedging with Long Term Interest Rate Futures : A Theoretical Analysis - Investissement et couverture optimale sur les marchés à terme de taux d'intérêt : une analyse théorique</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
134 => Essec\Faculty\Model\Contribution {#2404
#_index: "academ_contributions"
#_id: "8463"
#_source: array:18 [
"id" => "8463"
"slug" => "the-minimum-variance-hedge-ratio-revisited-with-stochastic-interest-rates"
"yearMonth" => "1998-07"
"year" => "1998"
"title" => "The Minimum Variance Hedge Ratio Revisited with Stochastic Interest Rates"
"description" => "LIOUI, A. et PONCET, P. (1998). <i>The Minimum Variance Hedge Ratio Revisited with Stochastic Interest Rates</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous examinons le cas d’un hedger pur, infiniment averse au risque, muni d’une position fixe en obligations à long terme, dans une économie à taux d’intérêt stochastiques. Contrairement à l’opinion traditionnelle, pour qui la différence de couverture entre futures et forwards est négligeable, le ratio de couverture comprend deux termes au lieu d’un si le hedger utilise des forwards plutôt que des futures, du fait de la présence d’un risque supplémentaire entachant le compte de pertes et profits associée à la position à terme."
"en" => "Under stochastic interest rates, we examine the case of a “ pure ”, infinitely risk-averse hedger endowed with a fixed position in a long term bond. Unlike conventional wisdom, which states that the difference between hedging through forwards and futures is immaterial, the minimum variance hedge ratio using forwards is shown to comprise two terms instead of one only when using futures, due to the presence of an additional risk that bears on the forward profit-and-loss statement."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
135 => Essec\Faculty\Model\Contribution {#2405
#_index: "academ_contributions"
#_id: "8488"
#_source: array:18 [
"id" => "8488"
"slug" => "trading-on-interest-rate-derivatives-and-the-cost-of-marking-to-market"
"yearMonth" => "1998-02"
"year" => "1998"
"title" => "Trading on Interest Rate Derivatives and the Cost of Marking-to-Market"
"description" => "LIOUI, A. et PONCET, P. (1998). <i>Trading on Interest Rate Derivatives and the Cost of Marking-to-Market</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "LIOUI A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Quand les taux d'intérêt sont stochastiques, le prix du contrat futures écrit sur une obligation à long terme a une espèrance instantanée supérieure à celle du prix du contrat forward correspondant et une volatilité instantanée identique. De plus, l'investisseur cherchant à se couvrir au maximum préfèrera le futures au forward s'il a une position courte sur l'obligation, et vice-versa. Le spéculateur pur préfèrera toujours le futures."
"en" => "Under stochastic interest rates, the price of the market-to-market futures contract written on a bond is shown to have a larger instantaneous drift than that of its forward counterpart while having the same instantaneous volatility. Also, the pure hedger is better (worse) off with futures if he is short (long) in the underlying bond and the pure speculator is better off with futures."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
136 => Essec\Faculty\Model\Contribution {#2406
#_index: "academ_contributions"
#_id: "8506"
#_source: array:18 [
"id" => "8506"
"slug" => "valuation-of-interest-rate-derivatives-in-one-factor-interest-rate-models"
"yearMonth" => "1995-04"
"year" => "1995"
"title" => "Valuation of Interest Rate Derivatives in One-factor Interest Rate Models"
"description" => "QUITTARD-PINON, F. et PONCET, P. (1995). <i>Valuation of Interest Rate Derivatives in One-factor Interest Rate Models</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "QUITTARD-PINON F."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "En utilisant l'approche martingale, nous évaluons explicitement les options européennes sur obligations, caps, floors, swaps, swaptions et les options sur moyennes de taux, dans le cadre d'un modèle de la gamme des taux à un facteur et d'une structure de volatilité soit linéaire soit exponentielle."
"en" => "Using the martingale approach, we value explicitly European options on bonds, caps, floors, swaps, swaptions and Asian options on interest rates. We do so in the context of a one-factor model of the yield curve and either a linear or an exponential volatility structure."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
137 => Essec\Faculty\Model\Contribution {#2407
#_index: "academ_contributions"
#_id: "8508"
#_source: array:18 [
"id" => "8508"
"slug" => "valuation-of-options-on-bond-spreads-involving-two-currencies"
"yearMonth" => "1996-03"
"year" => "1996"
"title" => "Valuation of Options on Bond Spreads Involving two Currencies"
"description" => "MELLIOS, K. et PONCET, P. (1996). <i>Valuation of Options on Bond Spreads Involving two Currencies</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "MELLIOS K."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous évaluons des options européennes sur spreads d'obligations, et sur spreads de futures et de forward d'obligations, quand les deux obligations du spread sont libellées en devises différentes. Quand la volatilité des taux forward est déterministe, le prix des options s'exprime comme une intégrale simple."
"en" => "We evaluate European options on bond price spreads and on futures and forward spreads when the two underlying bonds of the spread involve two different currencies. When the volatility of forward rates is deterministic, the option price can be reduced to a simple integral."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
138 => Essec\Faculty\Model\Contribution {#2408
#_index: "academ_contributions"
#_id: "8518"
#_source: array:18 [
"id" => "8518"
"slug" => "volatility-patterns-theory-and-evidence-from-the-foreign-exchange-option-market"
"yearMonth" => "1996-03"
"year" => "1996"
"title" => "Volatility Patterns : Theory and Evidence from the Foreign Exchange Option Market"
"description" => "GESSER, V. et PONCET, P. (1996). <i>Volatility Patterns : Theory and Evidence from the Foreign Exchange Option Market</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "GESSER V."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous comparons la capacité de deux modèles d'évaluation d'options (Haull et White, et Heston) à reproduire les schémas de volatilité implicite compatibles avec ceux observés sur les marchés d'options de change. L'utilisation des formules d'évaluation et de couverture de Heston améliore sensiblement les résultats obtenus à partir du modèle classique de Garman et Kholhagen."
"en" => "We compare the ability of two popular option pricing models (Haull and White, and Heston) to produce volatility patterns compatible with those observed on foreign exchange option markets. Using Heston's pricing and hedging formulas brings about a significant improvement on Garman-Kholhagen's classical model."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
139 => Essec\Faculty\Model\Contribution {#2409
#_index: "academ_contributions"
#_id: "8825"
#_source: array:18 [
"id" => "8825"
"slug" => "fausses-verites-sur-linefficience-des-marches"
"yearMonth" => "2011-02"
"year" => "2011"
"title" => "Fausses vérités sur l'inefficience des marchés !"
"description" => "PONCET, P. et MARTEL, J. (2011). Fausses vérités sur l'inefficience des marchés ! <i>La Tribune</i>, pp. 30."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:3 [
"name" => "MARTEL Jocelyn"
"bid" => "B00000350"
"slug" => "martel-jocelyn"
]
]
"ouvrage" => ""
"keywords" => array:2 [
0 => "Crises financières"
1 => "Efficience"
]
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "30"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Les chercheurs s'accordent à penser que les marchés financiers sont (relativement) efficients. Dans le cas contraire, tout opérateur astucieux serait incroyablement riche. Ce n'est pas le cas. De plus, les crises sont parfaitement compatibles avec l'efficience des marchés."
"en" => "Academics generally agree that financial markets are efficient. Otherwise, any clever trader would be incredibly wealthy. This is not the case. Furthermore, occurrences of crises are perfectly compatible with market efficiency."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
140 => Essec\Faculty\Model\Contribution {#2410
#_index: "academ_contributions"
#_id: "12856"
#_source: array:18 [
"id" => "12856"
"slug" => "honoring-the-memory-of-professor-roland-portait"
"yearMonth" => "2022-03"
"year" => "2022"
"title" => "Honoring the Memory of Professor Roland Portait"
"description" => "PONCET, P., CHARLETY-LEPERS, P., DUMAS, B., BAJEUX-BESNAINOU, I. et CROITORU, B. (2022). Honoring the Memory of Professor Roland Portait. <i>Finance</i>, 43(2022/1), pp. 3-45."
"authors" => array:5 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:3 [
"name" => "CHARLETY-LEPERS Patricia"
"bid" => "B00000096"
"slug" => "charlety-lepers-patricia"
]
2 => array:1 [
"name" => "DUMAS Bernard"
]
3 => array:1 [
"name" => "BAJEUX-BESNAINOU Isabelle"
]
4 => array:1 [
"name" => "CROITORU Benjamin"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-01-27 01:00:42"
"publicationUrl" => "https://doi.org/10.3917/fina.431.0003"
"publicationInfo" => array:3 [
"pages" => "3-45"
"volume" => "43"
"number" => "2022/1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "As a tribute to our colleague Roland Portait, Finance has decided to dedicate this special issue in his memory. Professor Portait has served for many years as the co-editor of Finance, and he has been instrumental to the development of the journal. This article is a collection of personal testimonies reflecting on Roland Portait’s career and contribution to our field. It is followed by research articles that were selected from a call for papers, released last year, on the topic of portfolio optimization – an area of research to which Professor Portait significantly contributed. Some of these articles will also appear in the next issue of Finance."
"en" => "As a tribute to our colleague Roland Portait, Finance has decided to dedicate this special issue in his memory. Professor Portait has served for many years as the co-editor of Finance, and he has been instrumental to the development of the journal. This article is a collection of personal testimonies reflecting on Roland Portait’s career and contribution to our field. It is followed by research articles that were selected from a call for papers, released last year, on the topic of portfolio optimization – an area of research to which Professor Portait significantly contributed. Some of these articles will also appear in the next issue of Finance."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
141 => Essec\Faculty\Model\Contribution {#2411
#_index: "academ_contributions"
#_id: "14251"
#_source: array:18 [
"id" => "14251"
"slug" => "capital-market-finance-an-introduction-to-primitive-assets-derivatives-portfolio-management-and-risk"
"yearMonth" => "2022-11"
"year" => "2022"
"title" => "Capital Market Finance. An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk"
"description" => "PONCET, P. et PORTAIT, R. (2022). <i>Capital Market Finance. An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk</i>. Cham: Springer."
"authors" => array:2 [
0 => array:3 [
"name" => "PONCET Patrice"
"bid" => "B00000430"
"slug" => "poncet-patrice"
]
1 => array:1 [
"name" => "PORTAIT Roland"
]
]
"ouvrage" => ""
"keywords" => array:18 [
0 => "Credit default swaps"
1 => "portfolio optimization"
2 => "financial primitive assets"
3 => "Money market instruments"
4 => "Stocks and bonds"
5 => "Futures"
6 => "Forwards"
7 => "Swaps"
8 => "Vanilla options"
9 => "Exotic options"
10 => "Interest rate modeling"
11 => "Interest rate swaps"
12 => "Stochastic calculus"
13 => "Asset valuation"
14 => "Portfolio theory"
15 => "Strategic asset allocation"
16 => "Value-at-risk"
17 => "Credit value-at-risk"
]
"updatedAt" => "2023-10-31 01:01:26"
"publicationUrl" => "https://link.springer.com/book/10.1007/978-3-030-84600-8"
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
This book offers a comprehensive and coherent presentation of almost all aspects of Capital Market Finance, providing hands-on knowledge of advanced tools from mathematical finance in a practical setting.\n
Filling the gap between traditional finance textbooks, which tend to avoid advanced mathematical techniques used by professionals, and books in mathematical finance, which are often more focused on mathematical refinements than on practical uses, this book employs advanced mathematical techniques to cover a broad range of key topics in capital markets. In particular, it covers all primitive assets (equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options, hybrids and credit derivatives), portfolio theory and management, and risk assessment and hedging of individual positions as well as portfolios. Throughout, the authors emphasize the methodological aspects and probabilistic foundations of financial asset valuation, risk assessment and measurement. Background in financial mathematics, particularly stochastic calculus, is provided as needed, and over 200 fully worked numerical examples illustrate the theory.\n
Based on the authors' renowned master's degree courses, this book is written for students in business and finance, as well as practitioners in quantitative finance. Apart from an undergraduate-level knowledge of calculus, linear algebra and probability, the book is self-contained with no prior knowledge of market finance required.
"""
"en" => """
This book offers a comprehensive and coherent presentation of almost all aspects of Capital Market Finance, providing hands-on knowledge of advanced tools from mathematical finance in a practical setting.\n
Filling the gap between traditional finance textbooks, which tend to avoid advanced mathematical techniques used by professionals, and books in mathematical finance, which are often more focused on mathematical refinements than on practical uses, this book employs advanced mathematical techniques to cover a broad range of key topics in capital markets. In particular, it covers all primitive assets (equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options, hybrids and credit derivatives), portfolio theory and management, and risk assessment and hedging of individual positions as well as portfolios. Throughout, the authors emphasize the methodological aspects and probabilistic foundations of financial asset valuation, risk assessment and measurement. Background in financial mathematics, particularly stochastic calculus, is provided as needed, and over 200 fully worked numerical examples illustrate the theory.\n
Based on the authors' renowned master's degree courses, this book is written for students in business and finance, as well as practitioners in quantitative finance. Apart from an undergraduate-level knowledge of calculus, linear algebra and probability, the book is self-contained with no prior knowledge of market finance required.
"""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T05:21:51.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 4.725299
+"parent": null
}
]
"avatar" => "https://faculty.essec.edu/wp-content/uploads/avatars/B00000430.jpg"
"contributionCounts" => 142
"personalLinks" => array:2 [
0 => "<a href="https://orcid.org/0000-0002-7066-8810" target="_blank">ORCID</a>"
1 => "<a href="https://scholar.google.com/citations?user=YBd_DHMAAAAJ" target="_blank">Google scholar</a>"
]
"docTitle" => "Patrice PONCET"
"docSubtitle" => "Professeur éminent émérite"
"docDescription" => "Département: Finance<br>Campus de Cergy"
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]
#_index: "academ_cv"
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}
