Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2039"
  #_source: array:26 [
    "id" => "2039"
    "slug" => "mean-variance-efficiency-of-the-market-portfolio-and-futures-trading"
    "yearMonth" => "2001-04"
    "year" => "2001"
    "title" => "Mean-variance Efficiency of the Market Portfolio and Futures Trading"
    "description" => "LIOUI, A. et PONCET, P. (2001). Mean-variance Efficiency of the Market Portfolio and Futures Trading. <i>Journal of Futures Markets</i>, pp. 329-346."
    "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" => "329-346"
      "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" => "Nous obtenons un CAPM intertemporel pour lequel l'efficience espérance-variance du portefeuille de marché M n'est ni nécessaire ni suffisante, quand on introduit, en plus des actifs primitifs au comptant, des contrats futures non-redondants. Un théorème de séparation en (3 + K) fonds est obtenu au lieu de l'habituel (2 + K) fonds, où K est le nombre de variables d'état. L'efficience espérance-variance de M n'est nécessaire que lorsque seuls des actifs au comptant sont présents."
      "en" => "An intertemporal CAPM is derived, in which mean-variance efficiency of the market portfolio is neither necessary nor a sufficient condition, when, in addition to the usual cash assets, non-redundant futures contracts trade. A (3 + K) mutual fund separation is obtained in place of the usual (2 + K) fund, where K is the number of state variables. Mean-variance efficiency of the market portfolio is a necessary condition only when cash assets solely trade."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-15T07:21:49.000Z"
    "docTitle" => "Mean-variance Efficiency of the Market Portfolio and Futures Trading"
    "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>Mean-variance Efficiency of the Market Portfolio and Futures Trading</b><br><span>2001-04 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Mean-variance Efficiency of the Market Portfolio and Futures Trading</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.947243
  +"parent": null
}