Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "1040"
  #_source: array:26 [
    "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" => "2024-11-15T07:21:49.000Z"
    "docTitle" => "Dynamic Asset Pricing with Non-redundant Forwards"
    "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">2003</span>"
    "keywordList" => ""
    "docPreview" => "<b>Dynamic Asset Pricing with Non-redundant Forwards</b><br><span>2003-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Dynamic Asset Pricing with Non-redundant Forwards</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.947243
  +"parent": null
}