This paper provides a methodology for measuring stock market performance based on the restrictions provided by absence of arbitrage in security prices. Under the null hypothesis that the aggregate cumulative dividend-price process follows a geometric Brownian motion, a closed form related to the...

A variety of approaches have been proposed to extend classical fixed income portfolio immunization theory to cases where shifts in the term structure are not parallel. Following Reitano (1991a, 1991b, 1992, 1996) and Poitras (2007), this paper uses partial durations and convexities to specify...