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Patrice Poncet

ESSEC Business School

Professor

Avenue Bernard Hirsch

BP 105 Cergy Cedex, 95021

France

Universite Paris I Pantheon Sorbonne

Finance Department, UFR 06

17 rue de la Sorbonne

75005 Paris

France

  • ESSEC Business School

    • Email
    • Tel: 33 1 3443 3000
    • Fax: 33 1 3443 3001

  • Universite Paris I Pantheon Sorbonne

    • Email
    • Tel: 33 1 40 46 2783
    • Fax: 33 1 40 46 33 66
SCHOLARLY PAPERS

19

DOWNLOADS

535

CITATIONS

0

Scholarly Papers (19)

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1.

Misunderstanding Risk and Return?

Number of pages: 45 Posted: 13 Dec 2011
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School
Downloads 139 (172,970)

Abstract:

Intertemporal asset pricing, value premium, size premium, Fama-French factors

2.

Optimal Capital and Debt Structures with Loss-Absorbing Debts

Number of pages: 47 Posted: 24 Oct 2013
Sami Attaoui and Patrice Poncet
NEOMA Business School and ESSEC Business School
Downloads 63 (257,593)

Abstract:

Capital structure, Debt structure, Contingent convertible bonds, Write-down debt, Credit event, Liquidity risk, Solvency risk

3.

Long Horizon Predictability: An Asset Allocation Perspective.

Number of pages: 83 Posted: 07 May 2014 Last Revised: 09 Sep 2014
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School
Downloads 40 (280,681)

Abstract:

dynamic portfolio decision, predictive regression, long horizon predictability, GMM estimation, inter-temporal hedging, continuous time

4.

Information Differential and Compensation of Active Fund Managers

Number of pages: 28 Posted: 27 Aug 2012
Chekib Ezzili and Patrice Poncet
ESSEC Business School and ESSEC Business School
Downloads 31 (357,908)

Abstract:

portfolio delegation, filtration enlargement, information differential

5.

Asset Pricing with Housing Booms and Disasters

Number of pages: 94 Posted: 02 Feb 2017
Messaoud Chibane, Abraham Lioui and Patrice Poncet
ESSEC Business School, EDHEC Business School and ESSEC Business School
Downloads 0 (312,543)

Abstract:

Housing CCAPM, Rare Disaster Events, Cumulant Generating Function, Power Law Distribution, Yield Curve

6.

Understanding Dynamic Mean Variance Asset Allocation

Number of pages: 53 Posted: 11 Feb 2016
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School
Downloads 0 (158,816)

Abstract:

Mean Variance, Dynamic Asset Allocation, Time

7.

Capital Structure and Debt Priority

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Posted: 13 Oct 2011 Last Revised: 14 May 2012
Sami Attaoui and Patrice Poncet
NEOMA Business School and ESSEC Business School

Abstract:

Capital structure, Debt priority structure, Liquidation, Default probability, Credit spread

8.

Optimal Benchmarking for Active Portfolio Managers

Downloads 0 (557,379)

Optimal Benchmarking for Active Portfolio Managers

Posted: 17 Jul 2006
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

Optimal Benchmarking for Active Portfolio Managers

European Journal of Operational Research, Vol. 226, No. 2, pp. 268-276, 2013
Posted: 08 May 2014
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

Benchmarking; Incentive Fees; Mutual Funds; Continuous Time Trading; Martingale Approach; Principal-Agent model; First-best contracts

9.

General Equilibrium Pricing of CPI's Derivatives

Journal of Banking and Finance, Forthcoming
Posted: 15 Apr 2004
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

Endogenous Price Level, Inflation Risk Premium, Money Non Neutrality, Options

10.

General Equilibrium Real and Nominal Interest Rates

Journal of Banking and Finance, Forthcoming
Posted: 23 Oct 2003
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

11.

General Equilibrium Pricing of Non Redundant Forward Contracts

Journal of Futures Markets, Forthcoming
Posted: 09 May 2003
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

12.

International Asset Allocation: A New Perspective

Journal of Banking and Finance, Forthcoming
Posted: 14 Jun 2002
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

International Portfolio Theory; Interest rate risk; Currency risk premium; Market prices of risk; Asset return predictability

13.

The Pricing of Insurance-Linked Securities under Interest Rate Uncertainty

The Journal of Risk Finance, Vol. 3, No. 3, Spring 2002
Posted: 01 Apr 2002
Patrice Poncet and Victor Vaugirard
ESSEC Business School and TEAM-CNRS, University of Paris at Sorbonne

Abstract:

14.

Dynamic Asset Pricing With Non-Redundant Forwards

Journal of Economic Dynamics and Control, Forthcoming
Posted: 28 Jan 2002
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

forward contracts, mean variance efficiency, equilibrium risk premium

15.

The Valuation of Nature-Linked Bonds with Exchange Rate Risk

Journal of Economics and Finance, Vol. 25, No. 3, Fall 2001
Posted: 14 Nov 2001
Patrice Poncet and Victor Vaugirard
ESSEC Business School and TEAM-CNRS, University of Paris at Sorbonne

Abstract:

Insurance bonds, digital options, outside barrier calls, change of numeraire, currency risk

16.

On Optimal Portfolio Choice under Stochastic Interest Rates

Journal of Economic Dynamics and Control
Posted: 06 Mar 2001
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

Hedging, predictability, market price of risk

17.

Mean Variance Efficiency of the Market Portfolio and Futures Trading

Journal of Futures Markets
Posted: 06 Sep 2000
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

18.

The Minimum Variance Hedge Ratio Under Stochastic Interest Rates

Management Science, Vol. 46, Issue 5, pp. 658-668
Posted: 19 Apr 2000
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

19.

Optimal Dynamic Hedging in Incomplete Futures Markets

THE GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 21 No. 1, June 1996
Posted: 23 Dec 1999
Abraham Lioui, Pascal Nguyen Duc Trong and Patrice Poncet
EDHEC Business School, ESSEC Business School and ESSEC Business School

Abstract:

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