3 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.PM2026
Portfolio Optimization for Commodity ETFs under Heavy-Tailed Returns
Nicholas Appiah, Ali Jaffri, Dilmi C. W. Hettiachchi-Halpe-Kankanamalage +1
This paper examines portfolio optimization for commodity exchange-traded funds (ETFs) under heavy-tailed return behavior. Using daily Bloomberg data for 30 U.S.-listed commodity ET…
q-fin.ST2026
Memory, Roughness, and Information Persistence in Financial Markets: A Structural Approach to Volatility Forecasting
Akash Deep, Nicholas Appiah, Svetlozar T. Rachev
This paper studies the joint role of long-memory dynamics,rough-volatility behavior, and persistence-based forecasting features in equity volatility modeling. We combine semiparame…