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Composition of robust equity portfolios

Author(s) :
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
Finance Research Letters, Volume 10, Issue 2, pp72-81, June 2013.

Factor uniqueness in the S&P 500 universe: Can proprietary factors exist?

Author(s) :
Sergio M. Focardi, Frank J. Fabozzi
International Journal of Theoretical and Applied Finance, Volume 16, Issue 04, June 2013.

What do robust equity portfolio models really do?

Author(s) :
Woo Chang Kim, Jang Ho Kim, So Hyoung Ahn, Frank J. Fabozzi
Annals of Operations Research, Volume 205, Issue 1, pp141-168, May 2013.

Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

Author(s) :
Beck, A., Young Shin, A.K., Rachev, S., Feindt, M., Fabozzi, F.
Studies in Nonlinear Dynamics and Econometrics, Volume 17, Issue 2, pp167-177, April 2013.

Computational aspects of portfolio risk estimation in volatile markets: a survey

Author(s) :
Fabozzi, F.J., Stoyanov, S.V., Svetlozar R.T.
Studies in Nonlinear Dynamics & Econometrics, Volume 17, Issue 1, February 2013.

Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets

Author(s) :
Bali, T.G., Cakici, N., Fabozzi, F.J.
Journal of Portfolio Management, Volume 39, No. 2, pp-101-115, Winter 2013.

A Binomial-Tree Model for Convertible Bond Pricing

Author(s) :
Krasimir Milanov, Ognyan Kounchev, Frank J. Fabozzi, Young Shin Kim, Svetlozar T. Rachev

A Pricing Framework for Real Estate Derivatives

Author(s) :
Frank J. Fabozzi, Radu Tunaru, Robert Shiller

A New Method for Generating Approximation Algorithms for Financial Mathematics Applications

Author(s) :
Frank J. Fabozzi, Arturo Leccadito, Radu S. Tunaru

Option pricing and hedging under a stochastic volatility Lévy process model

Author(s) :
Frank J. Fabozzi, Young Shin Kim, Zuodong Lin, Svetlozar T. Rachev

Approximation of Skewed and Leptokurtic Return Distributions

Author(s) :
Frank Fabozzi, Young Shin Kim, Svetlozar Rachev, Matthias Scherer

A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates

Author(s) :
Rosella Giacomettia, Marida Bertocchi, Svetlozar T. Rachev, Frank J. Fabozzi

The Changing Face of Real Estate Investment Management

Author(s) :
Jim Clayton, Frank J. Fabozzi, S. Michael Giliberto, Jacques N. Gordon, Susan Hudson-Wilson, William Hughes, Youguo Liang, Greg MacKinnon, Asieh Mansour

Household Search Choice: Theory and Evidence

Author(s) :
Yosef Bonaparte, Frank J. Fabozzi