printer-friendly version

Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Journal of Alternative Investments , Volume 18

The Case for Long-Short Commodity Investing

Author(s) :
Joelle Miffre, Adrian Fernandez-Perez
Journal of Alternative Investments , Volume 18, Issue 1, pp92-104, Summer 2015.

Economics: An Empirical Science Capable of Forecasting Economic Events?

Author(s) :
Sergio M. Focardi, Frank J. Fabozzi
Journal of Portfolio Management, Volume 41, Issue 4, pp145-151, Summer 2015.

A Three-Factor Model for Mortality Modeling

Author(s) :
Vincenzo Russo, Rosella Giacometti, Svetlozar Rachev, Frank J. Fabozzi
North American Actuarial Journal, Volume 19, Issue 2, pp129-141, 2015.

Multiperiod conditional valuation of barrier options with incomplete information

Author(s) :
Stoyan Valchev, Radu Tunaru, Frank J. Fabozzi
Quantitative Finance, Volume 15, Issue 7, pp1093-1102, 2015.

Focusing on the worst state for robust investing

Author(s) :
Woo Chang Kim, Jang Ho Kim, John M. Mulvey, Frank J. Fabozzi
International Review of Financial Analysis, Volume 39, pp19-31, May 2015.

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.

Pages