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...

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...

Many papers claim that value and size fundamentals (book-to-price ratios and market capitalization) yield positive expected return premia because they are proxies for systematic risk factors in conditional and/or multi-factor CAPM. Much of empirical evidence to support this idea comes from...