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Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads

Author(s) :
Michele Leonardo Bianchi, Frank J. Fabozzi
Computational Economics, Volume 46, Issue 2, pp243-273, August 2015.

New Horizons and Familiar Landscapes: New Capital Sources Confront Shifting Real Estate Fundamentals

Author(s) :
Jim Clayton, Frank J. Fabozzi, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp11-20.

The Post-Crisis CMBS Market: Will Regulations Prevent Another Market Meltdown?

Author(s) :
Frank J. Fabozzi, Joe McBride, Manus Clancy
The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp118-125.

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.

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