Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "8463"
  #_source: array:26 [
    "id" => "8463"
    "slug" => "the-minimum-variance-hedge-ratio-revisited-with-stochastic-interest-rates"
    "yearMonth" => "1998-07"
    "year" => "1998"
    "title" => "The Minimum Variance Hedge Ratio Revisited with Stochastic Interest Rates"
    "description" => "LIOUI, A. et PONCET, P. (1998). <i>The Minimum Variance Hedge Ratio Revisited with Stochastic Interest Rates</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" => "Nous examinons le cas d’un hedger pur, infiniment averse au risque, muni d’une position fixe en obligations à long terme, dans une économie à taux d’intérêt stochastiques. Contrairement à l’opinion traditionnelle, pour qui la différence de couverture entre futures et forwards est négligeable, le ratio de couverture comprend deux termes au lieu d’un si le hedger utilise des forwards plutôt que des futures, du fait de la présence d’un risque supplémentaire entachant le compte de pertes et profits associée à la position à terme."
      "en" => "Under stochastic interest rates, we examine the case of a “ pure ”, infinitely risk-averse hedger endowed with a fixed position in a long term bond. Unlike conventional wisdom, which states that the difference between hedging through forwards and futures is immaterial, the minimum variance hedge ratio using forwards is shown to comprise two terms instead of one only when using futures, due to the presence of an additional risk that bears on the forward profit-and-loss statement."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "The Minimum Variance Hedge Ratio Revisited with Stochastic Interest Rates"
    "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>The Minimum Variance Hedge Ratio Revisited with Stochastic Interest Rates</b><br><span>1998-07 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">The Minimum Variance Hedge Ratio Revisited with Stochastic Interest Rates</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.831011
  +"parent": null
}