Essec\Faculty\Model\Contribution {#2190
  #_index: "academ_contributions"
  #_id: "2126"
  #_source: array:26 [
    "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" => "2024-04-17T23:21:46.000Z"
    "docTitle" => "On Optimal Portfolio Choice Under Stochastic Interest Rates"
    "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">2001</span>"
    "keywordList" => ""
    "docPreview" => "<b>On Optimal Portfolio Choice Under Stochastic Interest Rates</b><br><span>2001-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">On Optimal Portfolio Choice Under Stochastic Interest Rates</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.936518
  +"parent": null
}