Investment, Financial Products, and Market Anomalies

My research has focused on understanding and explaining the risk-return relationship, which is a central area of research in finance. Since Markowitz's work (1952) and the formalization of this relationship within the mean-variance model, investment decisions have been viewed as the result of optimizing these two dimensions. My analysis of this relationship focuses on five themes covering different fields of financial research. The first area of analysis examines the risk-return relationship within the context of the French stock market. The second research theme focuses on bonds. More specifically, the return-risk relationship is analyzed for a bond following a change in the term structure of interest rates. In the third research area, the return-risk relationship is examined within the context of derivatives. The fourth research area considers the return-risk relationship for an individual investor by incorporating transaction costs. The fifth theme introduces a more comprehensive approach to the risk-return trade-off, incorporating the regulatory framework.