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Mean-variance efficiency of the market portfolio and futures trading

Lioui, Abraham; Poncet, Patrice - In: The journal of futures markets 21 (2001) 4, pp. 329-346

Persistent link: https://www.econbiz.de/10001567419

General equilibrium pricing of nonredundant forward contracts

Lioui, Abraham; Poncet, Patrice - In: The journal of futures markets 23 (2003) 9, pp. 817-840

Persistent link: https://www.econbiz.de/10001789579

Dynamic asset pricing with non-redundant forwards

Lioui, Abraham; Poncet, Patrice - In: Journal of economic dynamics & control 27 (2003) 7, pp. 1163-1180

Persistent link: https://www.econbiz.de/10001736089

General equilibrium pricing of trading strategy risk

Lioui, Abraham (contributor); Poncet, Patrice (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001675744

Dynamic asset pricing with non-redundant forwards

Lioui, Abraham (contributor); Poncet, Patrice (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001675750

Misunderstanding risk and return?

Lioui, Abraham; Poncet, Patrice - In: Finance : revue de l'Association Française de Finance 32 (2011) 2, pp. 91-136

Persistent link: https://www.econbiz.de/10009519895

Money and asset prices in a production economy

Lioui, Abraham; Poncet, Patrice - In: Finance : revue de l'Association Française de Finance 31 (2010) 2, pp. 7-49

Persistent link: https://www.econbiz.de/10008771753

Understanding dynamic mean variance asset allocation

Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 254 (2016) 1, pp. 320-337

Persistent link: https://www.econbiz.de/10011503312

Misunderstanding Risk and Return?

Lioui, Abraham - 2011

In a seminal contribution, Campbell (1996) [Campbell, J., 1996, Understanding Risk and Return, Journal of Political Economy 104(2), 298-345] proposed a methodology based on a VAR(1) process to test Merton's Intertemporal CAPM. Innovations in predictors of portfolio returns are estimated and used...

Persistent link: https://www.econbiz.de/10013117546

Dynamic asset allocation with forwards and futures

Lioui, Abraham - 2005

Persistent link: https://www.econbiz.de/10013487344