Using market prices of inflation-linked bonds and nominal bonds issued by the French Treasury, both the real and nominal zero coupon curves are estimated from January 1, 2013 to December 31, 2015. Several methods are applied to extract zero coupon bond prices: bootstrapping, a piecewise constant...

A new approach to the conditions that a duration measure must satisfy to represent the interest rate risk adequately is proposed in this paper. These conditions are derived from an intertemporal model of utility maximization. In addition, this approach is used to provide a new perspective on the...

This paper compares the ability of alternate performance measures to support investment selection in ten euro area stock markets. The performance ratios used in the paper are grouped in two main categories. One category comprises the performance ratios using risk measures which do not separate...

This article compares portfolio selection based on the downside risk sensitivity with portfolio selection based on Sharpe or Treynor ratios. Downside risk sensitivity (DRS) is given by an asset pricing model in which the downside and upside market returns are separated variables relative to...

This paper presents indices of return and performance dispersion between ten developed domestic stock markets of the euro area to assess progress in their integration since the launch of the single currency. This approach is based on previous literature according to which domestic financial...