Investigating linkages between credit and equity markets, we consider daily aggregate U.S. CDS spreads as well as well-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship with the quantile cointegrating regression...

Sharpe ratio has been widely used in the portfolio management industry as well as fund industry (Robertson, 2001; Scholz and Wilkens, 2005). Users often forget the main core assumption describing the appropriateness of such risk-adjusted performance measure, namely asset return normality. This...

Energy markets are strategic to governments and economic development. Several commodities compete as substitutable energy sources and energy diversifiers. Such competition reduces the energy vulnerability of countries as well as portfolios' risk exposure. Vulnerability results mainly from price...

A wide community of practitioners still focuses on classic Sharpe ratio as a risk adjusted performance measure due to its simplicity and easiness of implementation. Performance is computed as the excess return relative to the risk free rate whereas risk adjustment is provided by the asset...