2 papers
q-fin.PM2026
Portfolio Optimization under Heavy Tails and Asymmetric Volatility: Evidence from Taiwan-Exposed ETFs
Ting-Jung Lee, Abootaleb Shirvani, Farzana Afroz +2
Taiwan's central role in global semiconductor manufacturing exposes Taiwan-related ETFs to technology concentration, geopolitical uncertainty, and supply-chain disruptions, resulti…
q-fin.PR2025
Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets
Ting-Jung Lee, W. Brent Lindquist, Svetlozar T. Rachev +1
This paper addresses a critical inconsistency in models of the term structure of interest rates (TSIR), where zero-coupon bonds are priced under risk-neutral measures distinct from…