Portfolio Optimization under Heavy Tails and Asymmetric Volatility: Evidence from Taiwan-Exposed ETFs

By Ting-Jung Lee, Abootaleb Shirvani, Farzana Afroz, Svetlozar T. Rachev, Frank J. Fabozzi

Published 2026-07-21

Everscope rating

1241.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Integrated Tail-Risk and Asymmetric Volatility Portfolio Optimization Framework. Problem types: Portfolio Optimization, Risk Management, Density Estimation, Time Series Forecasting.

arXiv:2607.16450 · Paper rankings

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