18 papers
An Axiomatic Risk-Reward Framework for Sustainable Investing
Gabriele Torri, Rosella Giacometti, Darinka Dentcheva +2
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environ…
Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets
Ting-Jung Lee, W. Brent Lindquist, Svetlozar T. Rachev +1
This paper addresses a critical inconsistency in models of the term structure of interest rates (TSIR), where zero-coupon bonds are priced under risk-neutral measures distinct from…
The Three-Dimensional Decomposition of Volatility Memory
Ziyao Wang, A. Alexandre Trindade, Svetlozar T. Rachev
This paper develops a three-dimensional decomposition of volatility memory into orthogonal components of level, shape, and tempo. The framework unifies regime-switching, fractional…
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…
Performance and Risk Analytics of Asian Exchange-Traded Funds
Bhathiya Divelgama, Nancy Asare Nyarko, Naa Sackley Dromo Aryee +2
Investing in Asian markets through exchange-traded funds (ETFs) provides investors with access to rapidly expanding economies and valuable diversification opportunities. This study…
Evaluating Factor Contributions for Sold Homes
Jason R. Bailey, W. Brent Lindquist, Svetlozar T. Rachev
We evaluate the contributions of ten intrinsic and extrinsic factors, including ESG (environmental, social, and governance) factors readily available from website data to individua…