Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

Author(s) :
Yifan Yang, Frank J. Fabozzi, Michele Leonardo Bianchi
Journal of Financial Engineering, Volume 2, Issue 1, March 2015.

Measuring and explaining pension system risk

Author(s) :
Frank J. Fabozzi
Journal of Pension Economics and Finance, Volume 14, Special Issue 2, pp161-171, April 2015.

Towards Smart Equity Factor Indices: Harvesting Risk Premia Without Taking Unrewarded Risks

Author(s) :
Noel Amenc, Felix Goltz, Ashish Lodh, Lionel Martellini
Journal of Portfolio Management, Volume 40, No. 4, pp106-122.

Estimation Risk versus Optimality Risk: An Ex-Ante Efficiency Analysis of Alternative Equity Portfolio Diversification Strategies

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Bankers, Markets & Investors, September-October 2014, Issue 132, pp26-42.

Portfolio selection in the presence of systemic risk

Author(s) :
Almira Biglova, Sergio Ortobelli, Frank J. Fabozzi
Journal of Asset Management, October 2014, Volume 15, Issue 5, pp285-299.

Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe

Author(s) :
Noel Amenc, Felix Goltz, Abraham Lioui
Financial Analysts Journal, May/June 2011, Volume 67, Issue 3.

Can We Predict Stock Market Crashes?

Author(s) :
Sergio M. Focardi, Frank J. Fabozzi
Journal of Portfolio Management, 2014, Volume 40, Issue 5, pp183-195.

Risk Allocation: A New Investment Paradigm?

Author(s) :
Noel Amenc, Lionel Martellini
Journal of Portfolio Management, Winter 2014, Volume 40, Issue 2, pp1-4.

Smooth monotone covariance for elliptical distributions and applications in finance

Author(s) :
Xiaoping Zhou, Dmitry Malioutov, Frank J. Fabozzi, Svetlozar T. Rachev
Quantitative Finance, Volume 14, Issue 9.

Deciphering robust portfolios

Author(s) :
Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi
Journal of Banking and Finance, Volume 45, August 2014, pp1-8.

Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns

Author(s) :
Naoshi Tsuschida, Rosella Giacometti, Frank J. Fabozzi, Young Shin Kim, Robert J. Frey
Journal of Fixed Income, Volume 24, No. 1, Summer 2014, pp75-87.

Analytical-Numeric Formulas for the Probability Density Function of Multivariate Stable and Geo-Stable Distributions

Author(s) :
Hassan Fallahgoul, S. M. Hashemiparast, Frank J. Fabozzi, L. Klebanov
Journal of Statistical Theory and Practice, Volume 8, Issue 2, 2014.

Recent Developments in Robust Portfolios with a Worst-Case Approach

Author(s) :
Mr Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
Journal of Optimization and Applications, Volume 161, Issue 1, April 2014, pp103-121.

Recent Trends in Equity Portfolio Construction Analytics

Author(s) :
Dessislava A. Pachamanova, Frank J. Fabozzi
Journal of Portfolio Management, Volume 40, No. 3, Spring 2014, pp137-151.

Bayesian estimation of truncated data with applications to operational risk measurement

Author(s) :
Xiaoping Zhou, Rosella Giacometti, Frank J. Fabozzi, Ann H. Tucker
Quantitative Finance, Volume 14, Issue 5, 2014, pp853-888.

Analyzing and Decomposing the Sources of Added-Value of Corporate Bonds within Institutional Investors’ Portfolios

Author(s) :
Lionel Martellini, Vincent Milhau
Bankers, Markets & Investors, Special Issue ERD 2014, pp5-16, March 2014.

Robust portfolios that do not tilt factor exposure

Author(s) :
Woo Chang Kim, Min Jeong Kim, Jang Ho Kim, Frank J. Fabozzi
European Journal of Operational Research, Volume 234, Issue 2, pp411-421, April 2014.

60 Years of portfolio optimization: Practical challenges and current trends

Author(s) :
Petter N. Kolm, Reha Tutuncu, Frank J. Fabozzi
European Journal of Operational Research, Volume 234, Issue 2, pp356-371, April 2014.

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

Author(s) :
Victor DeMiguel, Francisco J. Nogales, Raman Uppal
Review of Financial Studies, Volume 27, Issue 2, February 2014, pp1-43.

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