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Dynamic Asset Allocation with Forwards and Futures

Author

Listed:
  • Abraham Lioui

    (Bar Ilan University)

  • Patrice Poncet

    (University of Paris I Pantheon-Sorbonne
    ESSEC Business School)

Abstract

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Suggested Citation

  • Abraham Lioui & Patrice Poncet, 2005. "Dynamic Asset Allocation with Forwards and Futures," Springer Books, Springer, number 978-0-387-24106-7, September.
    • Handle: RePEc:spr:sprbok:978-0-387-24106-7
    DOI: 10.1007/b104496
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    Cited by:

    1. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
    2. Lioui, Abraham, 2013. "Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1066-1096.
    3. Bassam Fattouh & Lavan Mahadeva, 2014. "Causes and Implications of Shifts in Financial Participation in Commodity Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(8), pages 757-787, August.
    4. André de Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.

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