Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2157"
  #_source: array:26 [
    "id" => "2157"
    "slug" => "optimal-dynamic-hedging-in-incomplete-futures-markets"
    "yearMonth" => "1996-06"
    "year" => "1996"
    "title" => "Optimal Dynamic Hedging in Incomplete Futures Markets"
    "description" => "LIOUI, A., NGUYEN, P.D. et PONCET, P. (1996). Optimal Dynamic Hedging in Incomplete Futures Markets. <i>Geneva Papers on Risk and Insurance - Issues and Practice</i>, pp. 103-122."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "LIOUI A."
      ]
      2 => array:1 [
        "name" => "NGUYEN P. D."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 17:55:06"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "103-122"
      "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" => "Cet article décrit la demande optimale de couverture par des Futures émanant d'un investisseur logarithmique ou CARA ne pouvant négocier son portefeuille d'actifs primaires. Les marchés sont incomplets et, dans le cas CARA, la contrainte de non-négativité de la richesse est saturée. En complétant le marché de manière fictive, on obtient des solutions analytiques dans le cas logarithmique, mais pas dans le cas CARA du fait de l'existence d'un put implicite."
      "en" => "This paper describes optimal hedging demands for futures from a Bernouilli or a CARA investor who cannot freely trade his portfolio of primitive assets. Markets are incomplete, and in the CARA case, the non-negativity constraint on wealth is binding. Ficticiously completing the market, we derive closed-form solutions in the logarithmic case but not in the CARA case for which there is an implicit put."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "Optimal Dynamic Hedging in Incomplete Futures Markets"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, LIOUI A., NGUYEN P. D."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, LIOUI A., NGUYEN P. D.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1996</span>"
    "keywordList" => ""
    "docPreview" => "<b>Optimal Dynamic Hedging in Incomplete Futures Markets</b><br><span>1996-06 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Optimal Dynamic Hedging in Incomplete Futures Markets</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.517833
  +"parent": null
}