2 papers
q-fin.PM2026
Portfolio Optimization and Tail-Risk Analytics of Actively Managed ETFs
William W. Lamptey, Nicholas Appiah, Abootaleb Shirvani +3
This paper examines portfolio optimization and tail-risk analytics for a heterogeneous universe of actively managed investment funds. Using daily Bloomberg data for 30 funds from 4…
q-fin.TR2025
Interpretable Hypothesis-Driven Trading:A Rigorous Walk-Forward Validation Framework for Market Microstructure Signals
Gagan Deep, Akash Deep, William Lamptey
We develop a rigorous walk-forward validation framework for algorithmic trading designed to mitigate overfitting and lookahead bias. Our methodology combines interpretable hypothes…