Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "1261"
  #_source: array:26 [
    "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" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "General Equilibrium Pricing of Nonredundant Forward Contracts"
    "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>General Equilibrium Pricing of Nonredundant Forward Contracts</b><br><span>2003-09 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">General Equilibrium Pricing of Nonredundant Forward Contracts</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.028659
  +"parent": null
}