Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "719"
  #_source: array:26 [
    "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" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "Bernoulli Speculator and Trading Strategy Risk"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, LIOUI A."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, LIOUI A.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2000</span>"
    "keywordList" => ""
    "docPreview" => "<b>Bernoulli Speculator and Trading Strategy Risk</b><br><span>2000-07 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Bernoulli Speculator and Trading Strategy Risk</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.028659
  +"parent": null
}