Bond Portfolio Optimization in the Presence of Duration Constraints

Author(s) :
Romain Deguest, Frank J. Fabozzi, Lionel Martellini, Vincent Milhau
The Journal of Fixed Income, Summer 2018

Macroeconomic variable selection for creditor recovery rates

Author(s) :
Abdolreza Nazemi, Frank J. Fabozzi
Journal of Banking & Finance, Volume 89, April 2018, Pages 14-25

Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Journal of Corporate Finance, Volume 49, April 2018, Pages 141-167

A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance

Author(s) :
Riccardo Rebonato, Chu Ming Ng
Journal of Derivatives, Vol. 25, Issue 3, Spring 2018 

Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies

Author(s) :
Noël Amenc, Felix Goltz, Ashish Lodh
The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018 

Academic, Practitioner, and Investor Perspectives on Factor Investing

Author(s) :
Joseph Cerniglia, Frank J. Fabozzi
The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018 

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Author(s) :
Michele Leonardo Bianchi, Frank J. Fabozzi, Svetlozar T. Rachev
In this article, the authors consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return time series and to...

The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction

Author(s) :
Nikolaos Tessaromatis
Quantitative Finance, Volume 18, 2018 - Issue 3

Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions

Author(s) :
Lionel Martellini, Vincent Milhau
The Journal of Portfolio Management, Vol. 44, Issue 2, Multi-Asset Special Issue 2018 

The Impact of Market Conditions on Bond Fund Managers

Author(s) :
Harsh Parikh, Frank J. Fabozzi
The Journal of Fixed Income,  Winter 2018, 27 (3) 6-22

An improved least squares Monte Carlo valuation method based on heteroscedasticity

Author(s) :
Frank J.Fabozzi, Tommaso Paletta, Radu Tunaru
European Journal of Operational Research, Volume 263, Issue 2, 1 December 2017, Pages 698-706

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

Author(s) :
David Blitz, Frank J. Fabozzi
The Journal of Portfolio Management, Vol. 44, Issue 1, Fall 2017 

Fuzzy Decision Fusion Approach for Loss-Given-Default Modeling

Author(s) :
Abdolreza Nazemi, Farnoosh Fatemi Pour, Konstantin Heidenreich, Frank J. Fabozzi
European Journal of Operational Research, Volume 262, Issue 2, 16 October 2017, Pages 780-791

Effects of Spot Market Short-Sale Constraints on Index Futures Trading

Author(s) :
Frank J. Fabozzi, Ahmet K. Karagozoglu, Na Wang
Review of FinanceVolume 21, Issue 5, 1 August 2017, Pages 1975-2005

Commercial Real Estate Derivatives: The End or the Beginning?

Author(s) :
Radu Tunaru, Frank J. Fabozzi
The Journal of Portfolio Management, Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 179-186, September 2017

The Expansion of Real Estate

Author(s) :
Jim Clayron, Frank J. Fabozzi, S. Michael Giliberto, Jacques Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
The Journal of Portfolio Management, Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 11-22, September 2017

A flexible approach to estimate the equity premium

Author(s) :
Yosef Bonaparte, Frank J. Fabozzi
Applied Economics, Volume 49, 2017 - Issue 59

How fat are the tails of equity market indices?

Author(s) :
Stoyan Stoyanov, Lixia Loh, Frank J. Fabozzi
International Journal of Finance & EconomicsVolume 22, Issue 3, July 2017 - pp 181-200

The Value of Convexity: A Theoretical and Empirical Investigation

Author(s) :
Riccardo Rebonato, Vladislav Putyatin
Quantitative Finance, July 2017

Calibrating short interest rate models in negative rate environments

Author(s) :
In this paper, different calibration approaches for short-term interest rate models are explored in a negative interest rate environment. Russo and...

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