Essec\Faculty\Model\Contribution {#2190
  #_index: "academ_contributions"
  #_id: "8282"
  #_source: array:26 [
    "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" => "2024-04-20T13:21:50.000Z"
    "docTitle" => "More on Optimal Portfolio Choice under Stochastic Interest Rates"
    "docSurtitle" => "Working Papers"
    "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">1998</span>"
    "keywordList" => ""
    "docPreview" => "<b>More on Optimal Portfolio Choice under Stochastic Interest Rates</b><br><span>1998-08 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">More on Optimal Portfolio Choice under Stochastic Interest Rates</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.01018
  +"parent": null
}