Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2799"
  #_source: array:26 [
    "id" => "2799"
    "slug" => "understanding-dynamic-mean-variance-asset-allocation"
    "yearMonth" => "2016-10"
    "year" => "2016"
    "title" => "Understanding Dynamic Mean Variance Asset Allocation"
    "description" => "LIOUI, A. et PONCET, P. (2016). Understanding Dynamic Mean Variance Asset Allocation. <i>European Journal of Operational Research</i>, 254(1), pp. 320-337."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "LIOUI A."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:3 [
      0 => "Critère espérance-variance"
      1 => "Décomposition du portefeuille"
      2 => "Stratégie dynamique"
    ]
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => "https://doi.org/10.1016/j.ejor.2016.04.003"
    "publicationInfo" => array:3 [
      "pages" => "320-337"
      "volume" => "254"
      "number" => "1"
    ]
    "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 proposons une nouvelle décomposition du portefeuille d'agents suivant le critère Espérance-Variance en dynamique. Nous arrivons à réduire à 2 le nombre de composantes de la stratégie dynamique de portefeuille : une pour couvrir le risque d’une obligation zéro-coupon de maturité égale à l’horizon de l’investisseur, l’autre pour couvrir la variation temporelle de sa pseudo-tolérance relative au risque. Nous estimons le modèle de 1963 à 2012 sur le marché US. Ce modèle donne des résultats acceptables pour des investisseurs à long et moyen terme munis de tolérance au risque moyenne ou forte, mais problématiques dans les autres cas."
      "en" => "We provide a new portfolio decomposition for agents following dynamically the Mean-Variance criterion. We show that the number of components of a dynamic portfolio strategy can be reduced to 2, one hedging the risk of a discount bond maturing at the investor’s horizon, the other hedging the time variation in pseudo relative risk tolerance. The model is estimated over the period 1963 to 2012 for the US. It yields acceptable results for medium and long term investors endowed with medium or high risk tolerance but problematic ones otherwise."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-22T03:21:45.000Z"
    "docTitle" => "Understanding Dynamic Mean Variance Asset Allocation"
    "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">2016</span>"
    "keywordList" => "<a href="#">Critère espérance-variance</a>, <a href="#">Décomposition du portefeuille</a>, <a href="#">Stratégie dynamique</a>"
    "docPreview" => "<b>Understanding Dynamic Mean Variance Asset Allocation</b><br><span>2016-10 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.ejor.2016.04.003" target="_blank">Understanding Dynamic Mean Variance Asset Allocation</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.2542925
  +"parent": null
}