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Optimizing Portfolios with Pakistan-Exposed Exchange-Traded Funds: Risk and Performance Insight

Author

Listed:
  • Ali Jaffri

    (Department of Economics, Texas Tech University, Lubbock, TX 79409, USA)

  • Abootaleb Shirvani

    (Department of Mathematical Sciences, Kean University, Union, NJ 07083, USA)

  • Ayush Jha

    (Department of Economics, Texas Tech University, Lubbock, TX 79409, USA)

  • Svetlozar T. Rachev

    (Department of Mathematics and Statistics, Texas Tech University, Lubbock, TX 79409, USA)

  • Frank J. Fabozzi

    (Carey Business School, Johns Hopkins University, Baltimore, MD 21202, USA)

Abstract

This study examines the investment landscape of Pakistan as an emerging and frontier market, focusing on implications for international investors, particularly those in the United States, through exchange-traded funds (ETFs) with exposure to Pakistan. The analysis encompasses 30 ETFs with varying degrees of exposure to Pakistan, covering the period from 1 January 2016 to February 2024. This research highlights the potential benefits and risks associated with investing in these ETFs, emphasizing the importance of thorough risk assessments and portfolio performance comparisons. By providing descriptive statistics and performance metrics based on historical optimization, this paper aims to equip investors with the necessary insights to make informed decisions when optimizing their portfolios with Pakistan-exposed ETFs. The second part of the paper introduces and assesses dynamic optimization methodologies. This section is designed to explore the adaptability and performance metrics of dynamic optimization techniques in comparison with conventional historical optimization methods. By integrating dynamic optimization into the investigation, this research aims to offer insights into the efficacy of these contrasting methodologies in the context of Pakistan-exposed ETFs. The findings underscore the significance of Pakistan’s market dynamics within the broader context of emerging markets, offering a pathway for diversification and potential growth in investment strategies.

Suggested Citation

  • Ali Jaffri & Abootaleb Shirvani & Ayush Jha & Svetlozar T. Rachev & Frank J. Fabozzi, 2025. "Optimizing Portfolios with Pakistan-Exposed Exchange-Traded Funds: Risk and Performance Insight," JRFM, MDPI, vol. 18(3), pages 1-25, March.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:158-:d:1613627
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    References listed on IDEAS

    as
    1. Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Zeitun, Rami & Rehman, Mobeen Ur, 2017. "Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach," Emerging Markets Review, Elsevier, vol. 32(C), pages 130-147.
    2. Ngene, Geoffrey & Post, Jordin A. & Mungai, Ann N., 2018. "Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 181-198.
    3. Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
    4. Ahmed Shafique Joyo & Lin Lefen, 2019. "Stock Market Integration of Pakistan with Its Trading Partners: A Multivariate DCC-GARCH Model Approach," Sustainability, MDPI, vol. 11(2), pages 1-23, January.
    Full references (including those not matched with items on IDEAS)

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