6 papers in the archive (2023–2025), average empirical rigor 4.2/10, average math complexity 6.5/10. Quadrant mix: Holy Grail ×3, Lab Rats ×2, Philosophers ×1.
Works mostly in Factor Investing & Asset Pricing, Portfolio Optimization, Options & Derivatives Pricing, Risk Management & Tail Risk.
Frequent co-authors: Nancy Asare Nyarko (2), Blessing Omotade (2), Peter Yegon (2), Yifan He (2), Thilini V. Mahanama (1), Abootaleb Shirvani (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We introduce a simple portfolio optimization strategy using ESG data with the Black-Litterman allocation framework. ESG scores are used as a bias for Stein shrinkage estimation of equilibrium risk premiums used in assigning Black-Litterman asset weights. Assets are modeled as multivariate affine nor
This study presents a comprehensive empirical investigation of the presence of long-range dependence (LRD) in the dynamics of major U.S. stock market indexes–S&P 500, Dow Jones, and Nasdaq–at daily, weekly, and monthly frequencies. We employ three distinct methods: the classical rescaled range (R/S)
The financial industry should be involved in mitigating the risk of downturns in the financial wellbeing indices around the world by implementing well-developed financial tools such as insurance instruments on the underlying wellbeing indices. We define a new quantitative measure of the wellbeing of
This paper delves into the dynamics of asset pricing within Bachelier market model, elucidating the representation of risky asset price dynamics and the definition of riskless assets.
Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating an additional dimension of investment performance: the ESG score of the investment. We define the ESG price process and i
In this paper, we mainly study the impact of the implied certainty equivalent rate on investment in financial markets. First, we derived the mathematical expression of the implied certainty equivalent rate by using put-call parity, and then we selected some company stocks and options; we considered