Portfolio Optimization and Tail-Risk Analytics of Actively Managed ETFs

By William W. Lamptey, Nicholas Appiah, Abootaleb Shirvani, Priscilla Ati-Tay, Svetlozar T. Rachev, Frank J. Fabozzi

Published 2026-07-03

Everscope rating

1153.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Multi-framework Portfolio Optimization with Tail-Risk Analytics. Problem types: Portfolio Optimization, Risk Management.

arXiv:2607.03082 · Paper rankings

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