Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "8098"
  #_source: array:26 [
    "id" => "8098"
    "slug" => "is-the-bernoulli-speculator-always-myopic-in-a-complete-information-economy"
    "yearMonth" => "1998-08"
    "year" => "1998"
    "title" => "Is the Bernoulli Speculator always Myopic in a Complete Information Economy?"
    "description" => "LIOUI, A. et PONCET, P. (1998). <i>Is the Bernoulli Speculator always Myopic in a Complete Information Economy?</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" => "Dans un modèle à taux d’intérêt stochastiques, un pur spéculateur logarithmique n’intervient que sur le marché des forwards ou des futures sur taux. Sa stratégie avec des forwards comprend un terme de plus que sa stratégie impliquant des futures. Ce terme supplémentaire peut s’interprêter comme une couverture à la Merton-Breeden contre le risque “ endogène ” généré par la stratégie elle-même. Ainsi, même pour un spéculateur Bernoullien, seule la stratégie utilisant des futures est strictement myope au sens habituel."
      "en" => "Under stochastic interest rates, a pure Bernoulli investor chooses to intervene only on the forward or the futures market. His strategy involving forwards exhibits an extra term vis-à-vis the one using futures. This extra term can be interpreted as a Merton-Breeden type hedge against the “ endogenous ” interest rate risk brought about by the optimal strategy itself. Thus, even for the Bernoulli speculator, only a strategy using futures is strictly myopic in the usual sense."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "Is the Bernoulli Speculator always Myopic in a Complete Information Economy?"
    "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>Is the Bernoulli Speculator always Myopic in a Complete Information Economy?</b><br><span>1998-08 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Is the Bernoulli Speculator always Myopic in a Complete Information Economy?</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.028659
  +"parent": null
}