11 papers
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…
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…
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
Abigail Anokyewaa Mensah, Ayush Jha, Hongwei Mei +3
We develop a partial integro-differential equation (PIDE) framework for option pricing under joint stochastic volatility and jump dynamics, and evaluate its empirical content using…
Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
Nolan Alexander, Frank Fabozzi
Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk meas…
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…
Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence
Young Shin Kim, Hyun-Gyoon Kim
In this study, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model. We introduce a new multivariat…