12 citations · 32 across the 26 of their papers we have counts for
4 papers · 1 filter
Behavioral Probability Weighting and Portfolio Optimization under Semi-Heavy Tails
Ayush Jha, Abootaleb Shirvani, Ali M. Jaffri +2
This paper develops a unified framework that integrates behavioral distortions into rational portfolio optimization by extracting implied probability weighting functions (PWFs) fro…
Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This paper introduces a state-dependent momentum framework that integrates ESG regime switching with tail-risk-aware reward-risk metrics. Using a dynamic programming approach and s…
A Socioeconomic Well-Being Index
A. Alexandre Trindade, Abootaleb Shirvani, Xiaohan Ma
An annual well-being index constructed from thirteen socioeconomic factors is proposed in order to dynamically measure the mood of the US citizenry. Econometric models are fitted t…
Equity Premium Puzzle or Faulty Economic Modelling?
Abootaleb Shirvani, Stoyan V. Stoyanov, Frank J. Fabozzi +1
In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a mo…