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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.

Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View

Author(s) :
Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi

Multivariate Stable Distributions and Generating Densities

Author(s) :
Hassan Fallahgoul, S.M. Hashemiparast, Frank J. Fabozzi, Young Shin Kim

Portfolio Selection Problems Consistent with a Given Preference Ordering

Author(s) :
Sergio Ortobelli Lozza, Haim Shalit, Frank J. Fabozzi
International Journal of Theoretical and Applied Finance, Volume 16, Issue 5, August 2013.

Commercial Real Estate Risk Management with Derivatives

Author(s) :
Frank J. Fabozzi, Silvia Stanescu, Radu Tunaru
Journal of Portfolio Management, Volume 39, Number 5, pp. 111-119.

The new issues puzzle: evidence from non-US firms

Author(s) :
Turan G. Bali, Nusret Cakici, Frank J. Fabozzi
Applied Economics Letters, Volume 20, Issue 17, pp1586-1591.

Market overreaction and underreaction: tests of the directional and magnitude effects

Author(s) :
Frank J. Fabozzi, Chun-Yip Fung, Kin Lam, Wing-Keung Wong
Applied Economics, Volume 23, Issue 18, pp1469-1482.

Option pricing with time-changed Levy processes

Author(s) :
Sven Klingler, Young Shin Kim, Svetlozar Rachev, Frank J. Fabozzi
Applied Economics, Volume 23, Issue 15, pp1231-123.

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