8 papers
The Logic of Factor Portfolios: Boolean Rules, Interactions, and Trading Costs
Ziyao Wang, Svetlozar T. Rachev, Frank J. Fabozzi
Investors turn signals into holdings through decision rules: buy the top decile, hold stocks with high momentum and low volatility, exclude stocks that fail a screen. Many such rul…
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…
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…
Innovative Extensions to Option Pricing: Asymmetric Brownian Motion and Random Walk Approaches
Jagdish Gnawali, Abootaleb Shirvani, Dilmi C. W. Hettiachchi-Halpe-Kankanamalage +3
Classical option pricing models, such as Bachelier and Black--Scholes--Merton, postulate symmetric Brownian diffusion, which limits their capacity to reflect empirical phenomena in…
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…
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…
Operating Imperfect AI: Reliability Drift and Human Congestion
Ziyao Wang, Svetlozar T Rachev
The deployment of machine learning in high-stakes services relies on ``human-in-the-loop'' architectures to mitigate algorithmic uncertainty. However, existing static policies fail…