6 papers
Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
Akash Deep, Svetlozar T. Rachev, Frank J. Fabozzi
We develop an econometric framework integrating heavy-tailed Student's distributions with behavioral probability weighting while preserving infinite divisibility. Using 432{,}7…
Binary Tree Option Pricing Under Market Microstructure Effects: A Random Forest Approach
Akash Deep, Chris Monico, W. Brent Lindquist +2
We propose a machine learning-based extension of the classical binomial option pricing model that incorporates key market microstructure effects. Traditional models assume friction…
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…
Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation
Ayush Jha, Abootaleb Shirvani, Ali Jaffri +2
This paper develops and estimates a multivariate affine GARCH(1,1) model with Normal Inverse Gaussian innovations that captures time-varying volatility, heavy tails, and dynamic co…
Optimizing Portfolios with Pakistan-Exposed ETFs: Risk and Performance Insight
Ali Jaffri, Abootaleb Shirvani, Ayush Jha +2
This study examines the investment landscape of Pakistan as an emerging and frontier market, focusing on implications for international investors, particularly those in the United…