Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "2156"
  #_source: array:26 [
    "id" => "2156"
    "slug" => "optimal-currency-risk-hedging"
    "yearMonth" => "2002-01"
    "year" => "2002"
    "title" => "Optimal Currency Risk Hedging"
    "description" => "LIOUI, A. et PONCET, P. (2002). Optimal Currency Risk Hedging. <i>Journal of International Money and Finance</i>, pp. 241-264."
    "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" => "241-264"
      "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 analyse la stratégie optimale de couverture d'un investisseur maximisant son expérience d'utilité et ayant fait un investissement à l'étranger momentanément non négociable. Les courbes de taux étrangère et domestique, le taux de change, et la valeur de l'investissement étranger obéissent à des processus stochastiques assez généraux. Nous comparons les stratégies de couverture optimales utilisant des contrats forward d'une part ou des futures d'autre part. Cette dernière partie est plus simple car celle impliquant des forwards génère un risque supplémentaire qu'il est nécessaire de couvrir."
      "en" => "This paper investigates the optimal hedging strategy of a domestic expected utility maximizer endowed with a temporarily non-traded position in a foreign investment. The domestic and foreign yield curves, the exchange rate between the two involved currencies, and the foreign investment value are stochastic. We compare the hedger's optimal strategies using their exchange rate forward contracts or futures contracts. The optimal strategy using futures is simpler. With forwards, the investor's hedging strategy itself generates an additional risk, which in turn induces the need for additional hedging."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-22T08:21:46.000Z"
    "docTitle" => "Optimal Currency Risk Hedging"
    "docSurtitle" => "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">2002</span>"
    "keywordList" => ""
    "docPreview" => "<b>Optimal Currency Risk Hedging</b><br><span>2002-01 | Articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Optimal Currency Risk Hedging</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 9.236008
  +"parent": null
}