Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "4636"
  #_source: array:26 [
    "id" => "4636"
    "slug" => "general-equilibrium-pricing-of-trading-strategy-risk"
    "yearMonth" => "2001-03"
    "year" => "2001"
    "title" => "General Equilibrium Pricing of Trading Strategy Risk"
    "description" => "LIOUI, A. et PONCET, P. (2001). General Equilibrium Pricing of Trading Strategy Risk. Dans: <i>Proceedings of the International Finance Conference (Tunisia 2001). Financial Markets, Risk Management and Corporate Governance</i>. International Finance Conference, Tunisia, pp. 127-147."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "LIOUI A."
      ]
    ]
    "ouvrage" => "Proceedings of the International Finance Conference (Tunisia 2001). Financial Markets, Risk Management and Corporate Governance"
    "keywords" => []
    "updatedAt" => "2021-04-19 17:57:25"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "127-147"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Actes d'une conférence"
      "en" => "Conference Proceedings"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Le CAPM de Breeden et le CAPM intertemporel de Merton ne sont pas valides pour des contrats forwards contrairement aux futures qui sont marqués-au-marché. L'utilisation de forwards entraîne un risque supplémentaire dû à la stratégie optimale elle-même. Ce risque a un prix de marché. On dérive un CCAPM et un ICAPM pour les forwards qui diffèrent de leurs homologues applicables aux actifs au comptant et aux futures."
      "en" => "Breeden's consumption CAPM and Merton's Intertemporal CAPM are known not to be valid for non redundant forward contracts. Unlike futures, which are marked-to-market, using forwards gives rise to an additional risk, linked to the very optimal investment strategy. This risk is priced, then the CCAPM and ICAPM are derived for forwards that are different from what they are for cash assets and futures contracts."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-15T07:21:49.000Z"
    "docTitle" => "General Equilibrium Pricing of Trading Strategy Risk"
    "docSurtitle" => "Conference Proceedings"
    "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>General Equilibrium Pricing of Trading Strategy Risk</b><br><span>2001-03 | Conference Proceedings </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">General Equilibrium Pricing of Trading Strategy Risk</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.947243
  +"parent": null
}