Portfolio Optimization for Commodity ETFs under Heavy-Tailed Returns

By Nicholas Appiah, Ali Jaffri, Dilmi C.W. Hettiachchi-Halpe-Kankanamalage, Svetlozar T. Rachev

Published 2026-06-25

Everscope rating

1286.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Integrated Portfolio-Risk Framework with Rolling-Window and Dynamic Optimization. Problem types: Portfolio Optimization, Risk Management, Time Series Forecasting, Density Estimation.

arXiv:2606.26625 · Paper rankings

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