More than €30 billion in assets under management are pegged to the EURO STOXX 50 Index, making it the most important European equity benchmark measured by assets. In this paper we replicate the EURO STOXX 50 Index on the basis of public information.After revising the methodological issues of...

Risk-free rates are ubiquitous in finance, even more after the Cox-Ross [6] principle of risk-neutral valuation for derivatives. Simple arbitrage shows that they can be negative only if considered net of the storage cost of money.The phase-out of Libor, its replacement by overnight reference...

This paper suggests that changing risk conveys information useful to improve performance.