Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "8302"
  #_source: array:26 [
    "id" => "8302"
    "slug" => "optimal-dynamic-hedging-in-incomplete-futures-markets"
    "yearMonth" => "1995-04"
    "year" => "1995"
    "title" => "Optimal Dynamic Hedging in Incomplete Futures Markets"
    "description" => "LIOUI, A. et PONCET, P. (1995). <i>Optimal Dynamic Hedging in Incomplete Futures Markets</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 le cadre de marchés incomplets, et dans les cas où les investisseurs ont une fonction d'utilité soit logarithmique, soit exponentielle, nous dérivons les demandes optimales de futures d'un opérateur contraint par son portefeuille d'actifs primaires. Des solutions explicites existent dans le cas logarithmique mais pas dans le cas exponentiel et seulement des optima de second ordre sont obtenus en marchés incomplets."
      "en" => "In incomplete markets, with either logarithmic or exponential utility functions, we derive optimal hedging demands for futures for an investor who cannot freely trade his portfolio of primitive assets. Closed-form solutions exist in the logarithmic case but not in the exponential one. Only second best optima are obtained in incomplete markets."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-07-27T00:21:46.000Z"
    "docTitle" => "Optimal Dynamic Hedging in Incomplete Futures Markets"
    "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">1995</span>"
    "keywordList" => ""
    "docPreview" => "<b>Optimal Dynamic Hedging in Incomplete Futures Markets</b><br><span>1995-04 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Optimal Dynamic Hedging in Incomplete Futures Markets</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.723556
  +"parent": null
}