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Publications

by members of

EDHEC-Risk
Groupe EDHEC (École de Hautes Études Commerciales du Nord)
Lille/Paris, France

(EDHEC Business School)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

2019

  1. Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Multiple Subordinated Modeling of Asset Returns," Papers 1907.12600, arXiv.org.

2017

  1. Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova, 2017. "Option Pricing with Greed and Fear Factor: The Rational Finance Approach," Papers 1709.08134, arXiv.org.
  2. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
  3. Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Enhancing Binomial and Trinomial Equity Option Pricing Models," Papers 1712.03566, arXiv.org.
  4. Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi, 2017. "Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach," Papers 1710.03211, arXiv.org.
  5. Svetlozar Rachev & Stoyan Stoyanov & Frank J. Fabozzi, 2017. "Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing," Papers 1710.03205, arXiv.org.
  6. Young Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Another Look at the Ho-Lee Bond Option Pricing Model," Papers 1712.06664, arXiv.org.

2016

  1. Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi, 2016. "Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion," Papers 1612.01979, arXiv.org.
  2. Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2016. "Pricing Derivatives in Hermite Markets," Papers 1612.07016, arXiv.org, revised Dec 2016.
  3. Svetlozar Rachev & Frank Fabozzi, 2016. "Financial market with no riskless (safe) asset," Papers 1612.02112, arXiv.org.
  4. Abootaleb Shirvani & Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi, 2016. "A New Set of Financial Instruments," Papers 1612.00828, arXiv.org, revised Oct 2019.

2015

  1. Frank J. Fabozzi & Rosella Giacometti & Naoshi Tsuchida, 2015. "The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads," IMES Discussion Paper Series 15-E-04, Institute for Monetary and Economic Studies, Bank of Japan.

2014

  1. Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
  2. Laurent Deville & Mohamed Oubenal, 2014. "Une confrontation des modes de description du marché en finance et en sociologie : le cas des Exchange Traded Funds (ETF)," Post-Print halshs-01070329, HAL.
  3. Laurent Deville & Carole Gresse & Béatrice De Séverac, 2014. "Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index," Post-Print halshs-00641118, HAL.

2013

  1. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2013. "Tempered stable Ornstein-Uhlenbeck processes: a practical view," Temi di discussione (Economic working papers) 912, Bank of Italy, Economic Research and International Relations Area.
  2. Olivia S. Mitchell & Christopher C. Geczy & Robert Novy-Marx & Raimond Maurer & Donald E. Fuerst & Christopher M. Bone & Donald J. Segal & Martin G. Clarke & Frank J. Fabozzi & Deborah Lucas & David F, 2013. "Technical Review Panel for the Pension Insurance Modeling System (PIMS)," Working Papers wp290, University of Michigan, Michigan Retirement Research Center.
  3. Anna Calamia & Laurent Deville & Fabrice Riva, 2013. "Liquidity in European Equity ETFs: What Really Matters?," GREDEG Working Papers 2013-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.

2012

  1. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012. "Revisiting Mutual Fund Performance Evaluation," MPRA Paper 36644, University Library of Munich, Germany.
  2. Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics 44, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  3. Lin, Zuodong & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2012. "Option pricing with regime switching tempered stable processes," Working Paper Series in Economics 43, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  4. Laurent Deville & Mohamed Oubenal, 2012. "Legitimizing an ambiguous financial innovation: The case of Exchange-Traded Funds in France," Post-Print halshs-00727733, HAL.
  5. Laurent Deville & Carole Gressse & Béatrice De Séverac, 2012. "Direct and Indirect Effects of Index ETFs on Spot-Futures Mispricing and Illiquidity," Post-Print halshs-00727687, HAL.

2011

  1. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011. "Fat-tailed models for risk estimation," Working Paper Series in Economics 30, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  2. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  3. Bianchi, Michele Leonardo & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2011. "Tempered infinitely divisible distributions and processes," Working Paper Series in Economics 26, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  4. Kanamura, Takashi & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "A profit model for spread trading with an application to energy futures," Working Paper Series in Economics 27, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  5. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.

2010

  1. Güner, Biliana & Rachev, Svetlozar T. & Edelman, Daniel & Fabozzi, Frank J., 2010. "Bayesian inference for hedge funds with stable distribution of returns," Working Paper Series in Economics 1, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  2. Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  3. Rezania, Omid & Rachev, Svetlozar T. & Sun, Edward & Fabozzi, Frank J., 2010. "Analysis of the intraday effects of economic releases on the currency market," Working Paper Series in Economics 3, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.

2009

  1. Dennis Vink & Frank Fabozzi, 2009. "Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings," Yale School of Management Working Papers amz2493, Yale School of Management.
  2. Frank Fabozzi & Robert Shiller & Radu Tunaru, 2009. "Property Derivatives for Managing European Real-Estate Risk," Yale School of Management Working Papers amz2652, Yale School of Management, revised 01 Sep 2009.
  3. Young Kim & Svetlozar Rachev & Michele Bianchi & Frank Fabozzi, 2009. "Computing VAR and AVaR in Infinitely Divisible Distributions," Yale School of Management Working Papers amz2569, Yale School of Management.
  4. Jarrod Wilcox & Frank Fabozzi, 2009. "A Discretionary Wealth Approach to Investment Policy," Yale School of Management Working Papers amz2434, Yale School of Management.
  5. Laurent Deville & Mohamed Oubenal, 2009. "Le marché des trackers : aspects techniques, dimension sociale," Post-Print halshs-00727753, HAL.

2008

  1. Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.

2007

  1. Douglas Lucas & Laurie Goodman & Frank Fabozzi, 2007. "Collateralized Debt Obligations and Credit Risk Transfer," Yale School of Management Working Papers amz2503, Yale School of Management.
  2. Frank Fabozzi & Vinod Kothari, 2007. "Securitization: The Tool of Financial Transformation," Yale School of Management Working Papers amz2495, Yale School of Management, revised 01 Jul 2007.
  3. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach," Post-Print halshs-00162221, HAL.
  4. Laurent Deville, 2007. "Le point sur les ETFs," Post-Print halshs-00150643, HAL.

2006

  1. Vrontos Ioannis & Vrontos Spyridon & Giamouridis Daniel, 2006. "Evaluating hedge fund managers: A Bayesian investigation of skill and persistence," Computing in Economics and Finance 2006 487, Society for Computational Economics.
  2. Wesley Phoa & Sergio Focardi & Frank Fabozzi, 2006. "How do Conflicting Theories about Financial Markets Coexist?," Yale School of Management Working Papers amz2445, Yale School of Management.
  3. Fabrice Riva & Laurent Deville, 2006. "The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach," Post-Print halshs-00163240, HAL.

2005

  1. Laurent Deville & Marion Soulerot & Samuel Sponem, 2005. "Les Réactions Du Marché À L'Annonce De Programmes De Reduction Des Couts : Une Étude Exploratoire Sur Les Entreprises Du Cac 40," Post-Print halshs-00581183, HAL.

2004

  1. Fabrice Riva & Laurent Deville, 2004. "A Survivorship Analysis of the French Index Options Market Deviations to Put Call Parity," Post-Print halshs-00163226, HAL.

2001

  1. Laurent Deville, 2001. "Estimation des coûts de transaction sur un marché gouverné par les ordres : le cas des composantes du CAC 40," Working Papers of LaRGE Research Center 2001-02, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.

Journal articles

2019

  1. Vincenzo Russo & Rosella Giacometti & Frank J. Fabozzi, 2019. "Market implied volatilities for defaultable bonds," Annals of Operations Research, Springer, vol. 275(2), pages 669-683, April.
  2. Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019. "Quantile-Based Inference for Tempered Stable Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 51-83, January.
  3. Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019. "Enhancing binomial and trinomial equity option pricing models," Finance Research Letters, Elsevier, vol. 28(C), pages 185-190.
  4. Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
  5. Frank J. Fabozzi & Keli Xiao, 2019. "The Timeline Estimation of Bubbles: The Case of Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 47(2), pages 564-594, June.
  6. Vohra, Suprita & Fabozzi, Frank J., 2019. "Effectiveness of developed and emerging market FX options in active currency risk management," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 130-146.
  7. Fabozzi, Frank J. & Lamba, Asjeet S. & Nishikawa, Takeshi & Rao, Ramesh P. & Ma, K.C., 2019. "Does the corporate bond market overvalue bonds of sin companies?," Finance Research Letters, Elsevier, vol. 28(C), pages 165-170.
  8. David A. Mascio & Frank J. Fabozzi, 2019. "Sentiment indices and their forecasting ability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 257-276, July.

2018

  1. Nazemi, Abdolreza & Fabozzi, Frank J., 2018. "Macroeconomic variable selection for creditor recovery rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 14-25.
  2. Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018. "Local volatility and the recovery rate of credit default swaps," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 1-29.
  3. Nazemi, Abdolreza & Heidenreich, Konstantin & Fabozzi, Frank J., 2018. "Improving corporate bond recovery rate prediction using multi-factor support vector regressions," European Journal of Operational Research, Elsevier, vol. 271(2), pages 664-675.
  4. Patel, Jinal & Russo, Vincenzo & Fabozzi, Frank J., 2018. "Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies," Finance Research Letters, Elsevier, vol. 25(C), pages 196-201.
  5. Sergio Ortobelli Lozza & Wing-Keung Wong & Frank J. Fabozzi & Martin Egozcue, 2018. "Diversification versus optimality: is there really a diversification puzzle?," Applied Economics, Taylor & Francis Journals, vol. 50(43), pages 4671-4693, September.
  6. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
  7. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018. "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
  8. Jang Ho Kim & Woo Chang Kim & Do-Gyun Kwon & Frank J. Fabozzi, 2018. "Robust equity portfolio performance," Annals of Operations Research, Springer, vol. 266(1), pages 293-312, July.
  9. Yongjae Lee & Do-Gyun Kwon & Woo Chang Kim & Frank J. Fabozzi, 2018. "An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey," Applied Economics, Taylor & Francis Journals, vol. 50(40), pages 4318-4327, August.

2017

  1. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2017. "Penalizing variances for higher dependency on factors," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 479-489, April.
  2. Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J., 2017. "Intensity-based framework for surrender modeling in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 189-196.
  3. Svetlozar T. Rachev & Stoyan V. Stoyanov & Frank J. Fabozzi, 2017. "Financial Markets With No Riskless (Safe) Asset," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-24, December.
  4. Sensoy, Ahmet & Fabozzi, Frank J. & Eraslan, Veysel, 2017. "Predictability dynamics of emerging sovereign CDS markets," Economics Letters, Elsevier, vol. 161(C), pages 5-9.
  5. Stoyan Stoyanov & Lixia Loh & Frank J. Fabozzi, 2017. "How fat are the tails of equity market indices?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(3), pages 181-200, July.
  6. Nazemi, Abdolreza & Fatemi Pour, Farnoosh & Heidenreich, Konstantin & Fabozzi, Frank J., 2017. "Fuzzy decision fusion approach for loss-given-default modeling," European Journal of Operational Research, Elsevier, vol. 262(2), pages 780-791.
  7. Fabozzi, Frank J. & Nawas, Mike E. & Vink, Dennis, 2017. "Exploring rating shopping for european triple a senior structured finance securities," Finance Research Letters, Elsevier, vol. 20(C), pages 35-39.
  8. Yosef Bonaparte & Frank J. Fabozzi, 2017. "Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 24(13), pages 923-927, July.
  9. Rama Malladi & Frank J. Fabozzi, 2017. "Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(3), pages 188-208, May.
  10. Fabozzi, Frank J. & Xiao, Keli, 2017. "Explosive rents: The real estate market dynamics in exuberance," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 100-107.
  11. Frank J. Fabozzi & Ahmet K. Karagozoglu & Na Wang, 2017. "Effects of Spot Market Short-Sale Constraints on Index Futures Trading," Review of Finance, European Finance Association, vol. 21(5), pages 1975-2005.
  12. Yosef Bonaparte & Frank J Fabozzi, 2017. "A flexible approach to estimate the equity premium," Applied Economics, Taylor & Francis Journals, vol. 49(59), pages 5940-5950, December.
  13. Rama Malladi & Frank J. Fabozzi, 2017. "Skillful hiding: evaluating hedge fund managers’ performance based on what they hide," Applied Economics, Taylor & Francis Journals, vol. 49(7), pages 664-676, February.
  14. Fabozzi, Frank J. & Paletta, Tommaso & Tunaru, Radu, 2017. "An improved least squares Monte Carlo valuation method based on heteroscedasticity," European Journal of Operational Research, Elsevier, vol. 263(2), pages 698-706.

2016

  1. Zhou, Xiaoping & Durfee, Antonina V. & Fabozzi, Frank J., 2016. "On stability of operational risk estimates by LDA: From causes to approaches," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 266-278.
  2. Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016. "Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion," Economics Letters, Elsevier, vol. 145(C), pages 225-229.
  3. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2016. "Portfolio selection with conservative short-selling," Finance Research Letters, Elsevier, vol. 18(C), pages 363-369.
  4. Subbiah, Mohan & Fabozzi, Frank J., 2016. "Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 189-201.
  5. Fabozzi, Frank J. & Giacometti, Rosella & Tsuchida, Naoshi, 2016. "Factor decomposition of the Eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 1-23.
  6. Mohan Subbiah & Frank J Fabozzi, 2016. "Equity style allocation: A nonparametric approach," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 141-164, May.
  7. Sun, Andrew & Lachanski, Michael & Fabozzi, Frank J., 2016. "Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 272-281.
  8. Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
  9. Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016. "Elliptical tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1069-1087, July.
  10. Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
  11. Fabozzi, Frank J. & Paletta, Tommaso & Stanescu, Silvia & Tunaru, Radu, 2016. "An improved method for pricing and hedging long dated American options," European Journal of Operational Research, Elsevier, vol. 254(2), pages 656-666.

2015

  1. Frank J. Fabozzi & Dennis Vink, 2015. "The information content of three credit ratings: the case of European residential mortgage-backed securities," The European Journal of Finance, Taylor & Francis Journals, vol. 21(3), pages 172-194, February.
  2. Stoyan Valchev & Radu Tunaru & Frank J. Fabozzi, 2015. "Multiperiod conditional valuation of barrier options with incomplete information," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1093-1102, July.
  3. Fabozzi, Frank J., 2015. "Measuring and explaining pension system risk," Journal of Pension Economics and Finance, Cambridge University Press, vol. 14(02), pages 161-171, April.
  4. Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
  5. Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015. "Focusing on the worst state for robust investing," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 19-31.
  6. Vincenzo Russo & Rosella Giacometti & Svetlozar Rachev & Frank J. Fabozzi, 2015. "A Three-Factor Model for Mortality Modeling," North American Actuarial Journal, Taylor & Francis Journals, vol. 19(2), pages 129-141, April.
  7. Yifan Yang & Frank J. Fabozzi & Michele Leonardo Bianchi, 2015. "Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-31.

2014

  1. Kim, Woo Chang & Kim, Min Jeong & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Robust portfolios that do not tilt factor exposure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 411-421.
  2. Kim, Woo Chang & Fabozzi, Frank J. & Cheridito, Patrick & Fox, Charles, 2014. "Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments," Economics Letters, Elsevier, vol. 122(2), pages 154-158.
  3. Xiaoping Zhou & Dmitry Malioutov & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Smooth monotone covariance for elliptical distributions and applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1555-1571, September.
  4. Xiaoping Zhou & Rosella Giacometti & Frank J. Fabozzi & Ann H. Tucker, 2014. "Bayesian estimation of truncated data with applications to operational risk measurement," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 863-888, May.
  5. Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
  6. Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J., 2014. "Option pricing under stochastic volatility and tempered stable Lévy jumps," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 101-108.
  7. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
  8. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2014. "Recent Developments in Robust Portfolios with a Worst-Case Approach," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 103-121, April.
  9. Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
  10. Michele Bianchi & Frank Fabozzi, 2014. "Discussion of ‘on simulation and properties of the stable law’ by Devroye and James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 353-357, August.

2013

  1. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013. "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1759-1776.
  2. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2013. "Composition of robust equity portfolios," Finance Research Letters, Elsevier, vol. 10(2), pages 72-81.
  3. Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013. "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, vol. 16(C), pages 46-65.
  4. Frank J. Fabozzi & Chun-Yip Fung & Kin Lam & Wing-Keung Wong, 2013. "Market overreaction and underreaction: tests of the directional and magnitude effects," Applied Financial Economics, Taylor & Francis Journals, vol. 23(18), pages 1469-1482, September.
  5. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013. "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
  6. Andrew H. Chen & Frank J. Fabozzi & Dashan Huang, 2013. "Optimal corporate strategy under uncertainty," Applied Economics, Taylor & Francis Journals, vol. 45(20), pages 2877-2882, July.
  7. Fabozzi Frank J. & Stoyanov Stoyan V. & Rachev Svetlozar T., 2013. "Computational aspects of portfolio risk estimation in volatile markets: a survey," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 103-120, February.
  8. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2013. "The role of jump dynamics in the risk–return relationship," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 212-218.
  9. Sven Klingler & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2013. "Option pricing with time-changed Lévy processes," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1231-1238, August.
  10. Turan G. Bali & Nusret Cakici & Frank J. Fabozzi, 2013. "The new issues puzzle: evidence from non-US firms," Applied Economics Letters, Taylor & Francis Journals, vol. 20(17), pages 1586-1591, November.
  11. Beck Alexander & Kim Young Shin Aaron & Rachev Svetlozar & Feindt Michael & Fabozzi Frank, 2013. "Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 167-177, April.
  12. Sergio Ortobelli Lozza & Haim Shalit & Frank J. Fabozzi, 2013. "Portfolio Selection Problems Consistent With Given Preference Orderings," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-38.
  13. Woo Kim & Jang Kim & So Ahn & Frank Fabozzi, 2013. "What do robust equity portfolio models really do?," Annals of Operations Research, Springer, vol. 205(1), pages 141-168, May.
  14. Sergio M. Focardi & Frank J. Fabozzi, 2013. "Factor Uniqueness In The S&P 500 Universe: Can Proprietary Factors Exist?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-20.
  15. Stoyan Stoyanov & Svetlozar Rachev & Frank Fabozzi, 2013. "Sensitivity of portfolio VaR and CVaR to portfolio return characteristics," Annals of Operations Research, Springer, vol. 205(1), pages 169-187, May.

2012

  1. Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev, 2012. "Option pricing and hedging under a stochastic volatility Lévy process model," Review of Derivatives Research, Springer, vol. 15(1), pages 81-97, April.
  2. Matthias Scherer & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi, 2012. "Approximation of skewed and leptokurtic return distributions," Applied Financial Economics, Taylor & Francis Journals, vol. 22(16), pages 1305-1316, August.
  3. Frank J. Fabozzi & Arturo Leccadito & Radu S. Tunaru, 2012. "A new method for generating approximation algorithms for financial mathematics applications," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1571-1583, October.
  4. Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J., 2012. "A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 85-93.
  5. Andrew Chen & Frank Fabozzi & Dashan Huang, 2012. "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 509-526, November.
  6. Frank J. Fabozzi & Dennis Vink, 2012. "Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities," European Financial Management, European Financial Management Association, vol. 18(4), pages 515-542, September.
  7. Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
  8. Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi, 2012. "Metrization Of Stochastic Dominance Rules," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 1-22.
  9. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012. "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
  10. Hassan Fallahgoul & S. M. Hashemiparast & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2012. "Approximation of Stable and Geometric Stable Distribution," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 1(3), pages 1-8.

2011

  1. Ryan, Ronald & Fabozzi , Frank, 2011. "Liability Index Fund: The Liability Beta Portfolio," Journal of Financial Transformation, Capco Institute, vol. 33, pages 29-33.
  2. Jan Henneke & Svetlozar Rachev & Frank Fabozzi & Metodi Nikolov, 2011. "MCMC-based estimation of Markov Switching ARMA-GARCH models," Applied Economics, Taylor & Francis Journals, vol. 43(3), pages 259-271.
  3. Yosef Bonaparte & Frank Fabozzi, 2011. "Household search choice: theory and evidence," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3835-3847.
  4. Bonaparte, Yosef & Fabozzi, Frank J., 2011. "Is food consumption a good proxy for nondurable consumption?," Economics Letters, Elsevier, vol. 111(2), pages 110-112, May.
  5. Yosef Bonaparte & Frank Fabozzi, 2011. "Savings selectivity bias, subjective expectations and stock market participation," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 119-130.
  6. Paulauskas, Vygantas & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Comment On “Weak Convergence To A Matrix Stochastic Integral With Stable Processes”," Econometric Theory, Cambridge University Press, vol. 27(04), pages 907-911, August.
  7. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
  8. Möller, Christoph & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Balancing energy strategies in electricity portfolio management," Energy Economics, Elsevier, vol. 33(1), pages 2-11, January.
  9. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011. "Time series analysis for financial market meltdowns," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1879-1891, August.
  10. Sun, Edward W. & Rezania, Omid & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Analysis of the intraday effects of economic releases on the currency market," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 692-707, June.
  11. Tobias Nigbur, 2011. "Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 477-478, December.

2010

  1. Daniel Giamouridis & Sandra Paterlini, 2010. "Regular(Ized) Hedge Fund Clones," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 223-247, September.
  2. Huang, Dashan & Zhu, Shushang & Fabozzi, Frank J. & Fukushima, Masao, 2010. "Portfolio selection under distributional uncertainty: A relative robust CVaR approach," European Journal of Operational Research, Elsevier, vol. 203(1), pages 185-194, May.
  3. Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao, 2010. "Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-26, March.
  4. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010. "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 195-211, March.
  5. Ivan Mitov & Svetlozar Rachev & Frank Fabozzi, 2010. "Approximation of aggregate and extremal losses within the very heavy tails framework," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1153-1162.
  6. Ren-Raw Chen & Frank Fabozzi, 2010. "A risk-based evaluation of the free-trader option," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 235-240.
  7. Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010. "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
  8. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2010. "Property Derivatives for Managing European Real†Estate Risk," European Financial Management, European Financial Management Association, vol. 16(1), pages 8-26, January.
  9. Sergio M. Focardi & Frank J. Fabozzi, 2010. "The Reasonable Effectiveness of Mathematics in Economics," The American Economist, Sage Publications, vol. 55(1), pages 19-30, May.
  10. Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
  11. Stoyan Stoyanov & Borjana Racheva-Iotova & Svetlozar Rachev & Frank Fabozzi, 2010. "Stochastic models for risk estimation in volatile markets: a survey," Annals of Operations Research, Springer, vol. 176(1), pages 293-309, April.

2009

  1. Gurvinder Brar & Daniel Giamouridis & Manolis Liodakis, 2009. "Predicting European Takeover Targets," European Financial Management, European Financial Management Association, vol. 15(2), pages 430-450, March.
  2. Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi, 2009. "Orderings and Probability Functionals Consistent with Preferences," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 81-102.
  3. Sebastian Kring & Svetlozar T. Rachev & Markus Höchstötter & Frank J. Fabozzi & Michele Leonardo Bianchi, 2009. "Multi-tail generalized elliptical distributions for asset returns," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 272-291, July.
  4. Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Pricing of credit default index swap tranches with one-factor heavy-tailed copula models," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 201-215, March.
  5. Jochen Papenbrock & Svetlozar Rachev & Markus Hochstotter & Frank Fabozzi, 2009. "Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions," Applied Financial Economics, Taylor & Francis Journals, vol. 19(17), pages 1401-1416.
  6. Frank Fabozzi & Radu Tunaru & George Albota, 2009. "Estimating risk-neutral density with parametric models in interest rate markets," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 55-70.
  7. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Construction of probability metrics on classes of investors," Economics Letters, Elsevier, vol. 103(1), pages 45-48, April.
  8. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
  9. Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009. "A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions," European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361, March.
  10. Frank Fabozzi & Yi-Chen Wang & Shih-Kuo Yeh & Ren-Raw Chen, 2009. "An empirical analysis of the CDX index and its tranches," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1425-1431.
  11. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2009. "A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence," Empirical Economics, Springer, vol. 36(1), pages 201-229, February.
  12. Maté, Carlos, 2009. "Svetlozar, T. Rachev, John S.J. Hsu, B.S. Bagasheva and F.J. Fabozzi , Bayesian Methods in Finance, John Wiley and Sons, USA (2008) ISBN 978-0-471-92083-0 (hardcover), $95, 329 pages," International Journal of Forecasting, Elsevier, vol. 25(3), pages 632-634, July.
  13. Svetlozar Rachev & Frank Fabozzi, 2009. "Introduction to special issue: studies in mathematical and empirical finance," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 375-377, July.
  14. Georgi K. Mitov & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi, 2009. "Barrier Option Pricing By Branching Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1055-1073.
  15. Sergio Focardi & Frank Fabozzi, 2009. "Black swans and white eagles: on mathematics and finance," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 379-394, July.
  16. Noël Amenc & Felix Goltz & Véronique Le Sourd, 2009. "The Performance of Characteristics‐based Indices1," European Financial Management, European Financial Management Association, vol. 15(2), pages 241-278, March.

2008

  1. Vrontos, Spyridon D. & Vrontos, Ioannis D. & Giamouridis, Daniel, 2008. "Hedge fund pricing and model uncertainty," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 741-753, May.
  2. Andrew Kalotay & Deane Yang & Frank Fabozzi, 2008. "Optimal mortgage refinancing: application of bond valuation tools to household risk management," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(2), pages 141-149.
  3. Frank Fabozzi & Sergio Focardi & Caroline Jonas, 2008. "On the challenges in quantitative equity management," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 649-665.
  4. Sun Wei & Rachev Svetlozar & Stoyanov Stoyan V. & Fabozzi Frank J., 2008. "Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-37, May.
  5. Huang, Dashan & Zhu, Shu-Shang & Fabozzi, Frank J. & Fukushima, Masao, 2008. "Portfolio selection with uncertain exit time: A robust CVaR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 594-623, February.
  6. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2008. "Financial market models with Lévy processes and time-varying volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1363-1378, July.
  7. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
  8. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Ortobelli, Sergio & Fabozzi, Frank J., 2008. "Relative deviation metrics and the problem of strategy replication," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 199-206, February.
  9. Chen, Ren-Raw & Cheng, Xiaolin & Fabozzi, Frank J. & Liu, Bo, 2008. "An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(01), pages 123-160, March.
  10. John M. Mulvey & Koray D. Simsek & Zhuojuan Zhang & Frank J. Fabozzi & William R. Pauling, 2008. "OR PRACTICE---Assisting Defined-Benefit Pension Plans," Operations Research, INFORMS, vol. 56(5), pages 1066-1078, October.
  11. Svetlozar Rachev & Sergio Ortobelli & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova, 2008. "Desirable Properties Of An Ideal Risk Measure In Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 19-54.

2007

  1. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 199-217, January.
  2. S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi, 2007. "Optimal Financial Portfolios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 401-436.
  3. Rachev, Svetlozar & Jasic, Teo & Stoyanov, Stoyan & Fabozzi, Frank J., 2007. "Momentum strategies based on reward-risk stock selection criteria," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2325-2346, August.
  4. Wesley Phoa & Sergio Focardi & Frank Fabozzi, 2007. "How do conflicting theories about financial markets coexist?," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 29(3), pages 363-391.
  5. Fabozzi, Frank J. & Cheng, Xiaolin & Chen, Ren-Raw, 2007. "Exploring the components of credit risk in credit default swaps," Finance Research Letters, Elsevier, vol. 4(1), pages 10-18, March.
  6. Svetlozar T. Rachev & Chufang Wu & Frank J. Fabozzi, 2007. "Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 21-31, May.
  7. Sun, Wei & Rachev, Svetlozar & Fabozzi, Frank J., 2007. "Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns," Journal of Economics and Business, Elsevier, vol. 59(6), pages 575-595.
  8. Frank Fabozzi & Omar Masood & Radu Tunaru, 2007. "Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns," The European Journal of Finance, Taylor & Francis Journals, vol. 13(3), pages 269-282.
  9. Andrew J. Kalotay & Deane Yang & Frank J. Fabozzi, 2007. "Refunding efficiency: a generalized approach," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(3), pages 141-146.
  10. Frank J. Fabozzi & Sergio Focardi & Caroline Jonas, 2007. "Trends in quantitative equity management: survey results," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 115-122.
  11. Rosella Giacometti & Marida Bertocchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2007. "Stable distributions in the Black-Litterman approach to asset allocation," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 423-433.
  12. Huang, Dashan & Kai, Yoshitaka & Fabozzi, Frank J. & Fukushima, Masao, 2007. "An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1134-1152, March.
  13. Frank J. Fabozzi & Radu Tunaru, 2007. "On Some Inconsistencies In Modeling Credit Portfolio Products," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1305-1321.
  14. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.
  15. Felix Goltz & Lionel Martellini & Mathieu Vaissié, 2007. "Hedge Fund Indices: Reconciling Investability and Representativity," European Financial Management, European Financial Management Association, vol. 13(2), pages 257-286, March.

2006

  1. Frank Fabozzi & Radu Tunaru, 2006. "On risk management problems related to a coherence property," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 75-81.
  2. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2006. "The value, size, and momentum spread during distressed economic periods," Finance Research Letters, Elsevier, vol. 3(4), pages 244-252, December.
  3. Bala Arshanapalli & Edmond d'Ouville & Frank Fabozzi & Lorne Switzer, 2006. "Macroeconomic news effects on conditional volatilities in the bond and stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 377-384.
  4. Radu Tunaru & Frank Fabozzi & Tony Wu, 2006. "Chinese equity market and the efficient frontier," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 87-94, March.
  5. Frank Fabozzi & Borjana Racheva-Iotova & Stoyan Stoyanov, 2006. "An empirical examination of the return distribution characteristics of agency mortgage pass-through securities," Applied Financial Economics, Taylor & Francis Journals, vol. 16(15), pages 1085-1094.

2005

  1. Daniel Giamouridis, 2005. "Inferring option-implied investors' risk preferences," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 479-488.
  2. Fabozzi, Frank J. & Focardi, Sergio M. & Jonas, Caroline L., 2005. "Market experience with modeling for defined-benefit pension funds: evidence from four countries," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(03), pages 313-327, November.
  3. Sergio Ortobelli & Svetlozar T. Rachev & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova, 2005. "The Proper Use Of Risk Measures In Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1107-1133.

2004

  1. Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004. "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
  2. Sergio Focardi & Frank Fabozzi, 2004. "A methodology for index tracking based on time-series clustering," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 417-425.
  3. Andrew Kalotay & Deane Yang & Frank J. Fabozzi, 2004. "An Option-Theoretic Prepayment Model For Mortgages And Mortgage-Backed Securities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(08), pages 949-978.

2000

  1. Collins, Bruce & Fabozzi, Frank, 2000. "Equity Manager Selection and Performance," Review of Quantitative Finance and Accounting, Springer, vol. 15(1), pages 81-97, July.

1996

  1. Griffiths, Mark D., 1996. "International corporate finance : Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp," The North American Journal of Economics and Finance, Elsevier, vol. 7(2), pages 233-234.

1994

  1. Fabozzi, Frank J & Ma, Christopher K & Briley, James E, 1994. " Holiday Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 49(1), pages 307-324, March.

1993

  1. Coggin, T Daniel & Fabozzi, Frank J & Rahman, Shafiqur, 1993. " The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 48(3), pages 1039-1055, July.

1991

  1. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1991. "Effective Capital Gains Tax Rates: A Reply," National Tax Journal, National Tax Association;National Tax Journal, vol. 44(1), pages 105-107, March.

1989

  1. Jongmoo Jay Choi & Frank J. Fabozzi & Uzi Yaari, 1989. "Optimum Corporate Leverage With Risky Debt: A Demand Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 129-142, June.
  2. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1989. "Taxation of Capital Gains With Deferred Realization," National Tax Journal, National Tax Association;National Tax Journal, vol. 42(4), pages 475-485, December.

1988

  1. Fabozzi, Frank J & Ma, Christopher K, 1988. "The Over-the-Counter Market and New York Stock Exchange Trading Halts," The Financial Review, Eastern Finance Association, vol. 23(4), pages 427-437, November.

1986

  1. Fabozzi, Frank J. & Thurston, Thom B., 1986. "State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 427-436, December.

1985

  1. Uzi Yaari & Frank J. Fabozzi, 1985. "Why Ira And Keogh Plans Should Avoid Growth Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(3), pages 203-216, September.

1983

  1. Fabozzi, Frank J & Yaari, Uzi, 1983. " Valuation of Safe Harbor Tax Benefit Transfer Leases," Journal of Finance, American Finance Association, vol. 38(2), pages 595-606, May.

1982

  1. Fabozzi, Frank J., 1982. "A note on the association between systematic risk and common stock and bond rating classifications," Journal of Economics and Business, Elsevier, vol. 34(2), pages 159-163.

1981

  1. Fabozzi, Frank J. & West, Richard R., 1981. "Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(03), pages 323-339, September.

1980

  1. Fabozzi, Frank J. & Francis, Jack C. & Lee, Cheng F., 1980. "Generalized Functional Form for Mutual Fund Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1107-1120, December.
  2. Francis, Jack Clark & Fabozzi, Frank J., 1980. "Stability of mutual fund systematic risk statistics," Journal of Business Research, Elsevier, vol. 8(2), pages 263-275, June.

1979

  1. Fabozzi, Frank J & Francis, Jack C, 1979. "Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination," Journal of Finance, American Finance Association, vol. 34(5), pages 1243-1250, December.
  2. Fabozzi, Frank J. & Bachner, Alfred W., 1979. "Mathematical programming models to determine civil service salaries," European Journal of Operational Research, Elsevier, vol. 3(3), pages 190-198, May.
  3. Francis, Jack Clark & Fabozzi, Frank J., 1979. "The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 351-360, June.

1978

  1. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(01), pages 101-116, March.

1977

  1. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-1099, September.
  2. Frank J. Fabozzi & Stephen Feldman, 1977. "A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit," The American Economist, Sage Publications, vol. 21(1), pages 70-71, March.

1976

  1. Frank J. Fabozzi & Joseph Valente, 1976. "Mathematical Programming in American Companies: A Sample Survey," Interfaces, INFORMS, vol. 7(1), pages 93-98, November.

1972

  1. Gujarati, Damodar & Fabozzi, Frank, 1972. "Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence," Bulletin of Economic Research, Wiley Blackwell, vol. 24(1), pages 3-12, May.

Books

2019

  1. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 11118, November.

2016

  1. Fabozzi, Frank J. (ed.), 2016. "The Handbook of Mortgage-Backed Securities, 7th Edition," OUP Catalogue, Oxford University Press, edition 7, number 9780198785774.

2015

  1. Fabozzi, Frank J., 2015. "Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 0262029480.

Chapters

2019

  1. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 8, pages 323-366 World Scientific Publishing Co. Pte. Ltd..
  2. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Multivariate Time-Changed Brownian Motion," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 7, pages 277-321 World Scientific Publishing Co. Pte. Ltd..
  3. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Implied Volatility Smile with Non-Gaussian Processes," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 11, pages 463-516 World Scientific Publishing Co. Pte. Ltd..
  4. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Introduction," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 1, pages 3-21 World Scientific Publishing Co. Pte. Ltd..
  5. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "The Generalized Hyperbolic Distribution," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 4, pages 109-148 World Scientific Publishing Co. Pte. Ltd..
  6. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Random Variables," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 2, pages 23-70 World Scientific Publishing Co. Pte. Ltd..
  7. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Extreme Value Theory," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 9, pages 367-430 World Scientific Publishing Co. Pte. Ltd..
  8. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "The Class of Stable Distributions," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 5, pages 149-224 World Scientific Publishing Co. Pte. Ltd..
  9. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Stochastic Processes with Jumps," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 3, pages 71-106 World Scientific Publishing Co. Pte. Ltd..
  10. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 12, pages 517-547 World Scientific Publishing Co. Pte. Ltd..
  11. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Tempered Stable Distributions," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 6, pages 225-275 World Scientific Publishing Co. Pte. Ltd..
  12. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "A Portfolio Selection Analysis with Non-Gaussian Models," World Scientific Book Chapters,in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 10, pages 433-461 World Scientific Publishing Co. Pte. Ltd..

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