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Abootaleb Shirvani

As seen in: MDPI, Taylor & Francis Online
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Articles

Tail-Aware Portfolio Optimization for Listed Real-Estate Securities Under Downside Risk

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By Abootaleb Shirvani, Dilmi C. W. Hettiachchi-Halpe-Kankanamalage, Nicholas Appiah
| preprints.org
This open access article is published under a , which permit the free download, distribution, and reuse, provided that the author and preprint are cited in any reuse.
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Beyond the bid-ask: strategic insights into spread prediction and the global mid-price phenomenon

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By Frank Fabozzi, Yifan He, Abootaleb Shirvani, Barret Shao
| Taylor & Francis Online
Abstract This research extends the conventional concepts of the bid–ask spread (BAS) and mid-price to include the total market order book bid–ask spread (TMOBBAS) and the global mid-price (GMP). Using high-frequency trading data, we investigate these new constructs, finding that they have heavy tails and significant deviations from normality in the distributions of their log returns, which are confirmed by three different methods.
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Optimizing Portfolios with Pakistan-Exposed Exchange-Traded Funds: Risk and Performance Insight

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By Ali Ashar Jaffri, Abootaleb Shirvani, Ayush Kumar Jha, Svetlozar Rachev
| MDPI
1. Introduction Pakistan has been categorized in the realm of emerging and frontier markets. The analysis of exchange-traded funds (ETFs) with exposure to Pakistan offers a unique perspective on emerging and frontier market investments in terms of portfolio diversification for international investors, given the changing macroeconomic environment and market dynamics.
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