Frank J. Fabozzi

Q: What Schools Are Affiliated With Frank J. Fabozzi

Frank J. Fabozzi is affiliated with the following schools: Karlsruhe Institute of Technology, Yale University, City College of New York, EDHEC Business School, Hofstra University, Massachusetts Institute of Technology, Lafayette College

Frank J. Fabozzi's AcademicInfluence.com Rankings

Frank J. Fabozzi

Economics

#412

World Rank

#513

Historical Rank

#252

USA Rank

Financial Economics

#16

World Rank

#16

Historical Rank

USA Rank

economics Degrees

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Economics

Why Is Frank J. Fabozzi Influential?

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According to Wikipedia, Frank J. Fabozzi is an American economist, educator, writer, and investor, currently Professor of Practice at The Johns Hopkins University Carey Business School and a Member of Edhec Risk Institute. He was previously a Professor of Finance at EDHEC Business School, Professor in the Practice of Finance and Becton Fellow in the Yale School of Management, and a Visiting Professor of Finance at the Sloan School of Management at the Massachusetts Institute of Technology. He has authored and edited many books, three of which were coauthored with Nobel laureates, Franco Modigliani and Harry Markowitz. He has been the editor of the Journal of Portfolio Management since 1986 and is on the board of directors of the BlackRock complex of closed-end funds.

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Frank J. Fabozzi's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

60 Years of portfolio optimization: Practical challenges and current trends (2014) (414)
Robust Portfolio Optimization and Management (2007) (399)
Beta as a Random Coefficient (1978) (395)
Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions (1977) (337)
Bond Markets, Analysis and Strategies. (1989) (335)
Size, Value, and Momentum in Emerging Market Stock Returns (2012) (277)
The Legacy of Modern Portfolio Theory (2002) (263)
Forecasting Stock Returns (2012) (263)
Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing (2005) (259)
Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis (2007) (241)
Robust portfolios: contributions from operations research and finance (2010) (237)
Sin Stock Returns (2008) (222)
The Handbook of Fixed Income Securities (1983) (193)
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures (2008) (182)
Capital Markets: Institutions and Instruments. (1992) (177)
Foundations of Financial Markets and Institutions (1994) (171)
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination (1979) (169)
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation (2011) (164)
The Handbook of Mortgage-Backed Securities (1985) (162)
Financial Models with Levy Processes and Volatility Clustering (2011) (162)
The Methods of Distances in the Theory of Probability and Statistics (2013) (150)
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY (2008) (125)
The basics of financial econometrics : tools, concepts, and asset management applications (2014) (125)
The Mathematics of Financial Modeling and Investment Management (2004) (111)
Fixed Income Securities (1997) (110)
Momentum strategies based on reward-risk stock selection criteria (2007) (106)
Tempered stable and tempered infinitely divisible GARCH models (2010) (106)
Optimal Financial Portfolios (2005) (105)
Collateralized Debt Obligations: Structures and Analysis (2002) (103)
Portfolio selection under distributional uncertainty: A relative robust CVaR approach (2010) (102)
A Methodology for Measuring Transaction Costs (1991) (97)
Financial market models with Lévy processes and time-varying volatility. (2008) (96)
Financial Modeling of the Equity Market: From CAPM to Cointegration (2006) (89)
Predictability in the Shape of the Term Structure of Interest Rates (2005) (87)
Advances in Futures and Options Research (1987) (87)
Portfolio selection with uncertain exit time: A robust CVaR approach (2008) (86)
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction (2016) (85)
Capital Budgeting: Theory and Practice (2002) (83)
Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application (2016) (82)
Time series analysis for financial market meltdowns (2011) (82)
Exploring the components of credit risk in credit default swaps (2007) (82)
A Model for Valuing Bonds and Embedded Options (1993) (80)
Sin Stocks Revisited: Resolving the Sin Stock Anomaly (2017) (80)
Fixed Income Analysis (2007) (79)
Mortgage And Mortgage-Backed Securities Markets (1992) (79)
Recent Developments in Robust Portfolios with a Worst-Case Approach (2014) (78)
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (2012) (76)
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY (2005) (76)
The Basics of Finance: An Introduction to Financial Markets, Business Finance, and Portfolio Management (2010) (73)
MCMC-based estimation of Markov Switching ARMA–GARCH models (2011) (72)
Sector, Style, Region: Explaining Stock Allocation Performance (2007) (71)
AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES (2004) (70)
Introduction to Structured Finance (2006) (68)
Balancing energy strategies in electricity portfolio management (2011) (68)
Distortion Risk Measures in Portfolio Optimization (2010) (68)
The handbook of equity style management (1995) (66)
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence (2009) (65)
A Primer on Securitization (2003) (65)
An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors (2008) (64)
Holiday Trading in Futures Markets (1994) (63)
Finance: Capital Markets, Financial Management, and Investment Management (2009) (61)
Tempered Infinitely Divisible Distributions and Processes (2011) (60)
Appendix E: Model Selection Criterion: AIC and BIC (2014) (58)
Stable distributions in the Black–Litterman approach to asset allocation (2007) (58)
The Handbook of Financial Instruments (2002) (57)
The Handbook of Commodity Investing (2008) (57)
Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples (2015) (56)
Property Derivatives for Managing European Real-Estate Risk (2009) (56)
Tempered stable distributions and processes in finance: numerical analysis (2010) (56)
Introduction to securitization (2008) (56)
The Theory and Practice of Investment Management (2004) (55)
The Theory of Portfolio Selection (2011) (54)
Value-based metrics : foundations and practice (2000) (53)
The Handbook of Traditional and Alternative Investment Vehicles: Investment Characteristics and Strategies (2010) (52)
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market (2008) (52)
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns (2007) (52)
The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies (2011) (51)
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates (2012) (50)
Trends in quantitative equity management: survey results (2007) (50)
Corporate Credit Default Swap Liquidity and Its Implicationsfor Corporate Bond Spreads (2010) (49)
Derivatives and Risk Management (1999) (48)
Asset-Backed Securities (1996) (48)
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (2013) (48)
New Evidence on the Market Impact of Convertible Bond Issues in the U.S. (2004) (47)
Does Listing on the AMEX Increase the Value of Equity (1981) (47)
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks (2005) (45)
Securitization: The Tool of Financial Transformation (2007) (43)
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research (2007) (42)
Predicting Intraday Price Reversals (1995) (42)
Rethinking Pension Liabilities and Asset Allocation (2002) (41)
Stochastic models for risk estimation in volatile markets: a survey (2008) (41)
A New Tempered Stable Distribution and Its Application to Finance (2009) (41)
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (2008) (40)
Handbook of Finance (2008) (39)
Fuzzy decision fusion approach for loss-given-default modeling (2017) (39)
Improving corporate bond recovery rate prediction using multi-factor support vector regressions (2018) (39)
A Probability Metrics Approach to Financial Risk Measures: Rachev/A Probability Metrics Approach to Financial Risk Measures (2011) (38)
CAViaR-based forecast for oil price risk (2009) (38)
Subprime Mortgage Credit Derivatives (2008) (37)
Quantitative Equity Investing: Techniques and Strategies (2010) (37)
Modeling Volatility for the Chinese Equity Markets (2004) (37)
Streetwise : the best of the Journal of portfolio management (1998) (37)
The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads (2015) (36)
Orderings and Probability Functionals Consistent with Preferences (2009) (36)
Looking Beyond Credit Ratings: Factors Investors Consider in Pricing European Asset‐Backed Securities (2012) (35)
A Pricing Framework for Real Estate Derivatives (2012) (35)
Short Selling: Strategies, Risks, and Rewards (2004) (35)
Incorporating Trading Strategies in the Black-Litterman Framework (2006) (35)
OR PRACTICE - Assisting Defined-Benefit Pension Plans (2008) (34)
What do robust equity portfolio models really do? (2013) (34)
How to apply duration to equity analysis (1984) (34)
Hedging Real Estate Risk (2009) (34)
Macroeconomic variable selection for creditor recovery rates (2018) (33)
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS (2013) (33)
The Pension Crisis Revealed (2003) (33)
Book-to-Market and the Cross-Section ofExpected Returns in International Stock Markets (2013) (33)
Robust portfolio selection with uncertain exit time using worst-case VaR strategy (2007) (33)
Fixed Income Analysis for the Chartered Financial Analyst Program (2000) (32)
Credit Derivatives: Instruments, Applications, and Pricing (2004) (32)
Collateralized Debt Obligations and Credit Risk Transfer (2007) (32)
Quality of Earnings (1978) (32)
Deciphering robust portfolios (2014) (31)
Determinants of Tracking Error for Equity Portfolios (2004) (31)
Macroeconomic news effects on conditional volatilities in the bond and stock markets (2006) (31)
The Complete CFO Handbook: From Accounting to Accountability (2007) (30)
Computing VAR and AVaR in Infinitely Divisible Distributions (2009) (30)
A Note on Unsuccessful Tender Offers and Stockholder Returns (1988) (30)
Approximation of skewed and leptokurtic return distributions (2012) (30)
Market overreaction and underreaction: tests of the directional and magnitude effects (2013) (30)
Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns (2009) (29)
Analysis of Financial Statements Ed. 3 (2012) (29)
Cashing in on innovation: a taxonomy of FinTech (2020) (29)
The Diversification Benefits of Commodity Futures Indexes: A Mean-Variance Spanning Test. (2011) (29)
Probability and Statistics for Finance (2010) (29)
The handbook of European structured financial products (2004) (28)
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments (2014) (28)
Fixed income portfolio management (1985) (27)
DISTRIBUTIONAL ANALYSIS OF THE STOCKS COMPRISING THE DAX 30 (2005) (27)
CVaR sensitivity with respect to tail thickness (2013) (27)
Long-Range Dependence, Fractal Processes, and Intra-Daily Data (2008) (27)
Stock index futures (1984) (27)
The handbook of commercial mortgage-backed securities (1999) (26)
Valuation of Fixed Income Securities and Derivatives (1995) (26)
Analysis of Financial Statements (1999) (26)
Composition of robust equity portfolios (2013) (26)
Calibrating affine stochastic mortality models using term assurance premiums (2011) (26)
Analysis of the intraday effects of economic releases on the currency market (2011) (25)
Handbook of Portfolio Management (1998) (25)
On the challenges in quantitative equity management (2008) (25)
The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model (1979) (25)
Recent advancements in robust optimization for investment management (2018) (25)
Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena (2003) (25)
Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques (2007) (24)
State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments (1986) (24)
Portfolio selection in the presence of systemic risk (2014) (24)
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models (2009) (24)
Tempered stable Ornstein– Uhlenbeck processes: A practical view (2017) (24)
Preface to the Special Issue: 60 years following Harry Markowitz's contributions in portfolio theory and operations research (2014) (24)
Concepts of Probability Theory (2012) (24)
Fixed income mathematics : analytical & statistical techniques (1997) (24)
Refunding efficiency: a generalized approach (2007) (24)
Risk management and dynamic portfolio selection with stable Paretian distributions (2010) (24)
Duration, Convexity, and Other Bond Risk Measures (1999) (23)
Robust portfolios that do not tilt factor exposure (2014) (23)
Stability of mutual fund systematic risk statistics (1980) (23)
Relative deviation metrics and the problem of strategy replication (2008) (23)
BARRIER OPTION PRICING BY BRANCHING PROCESSES (2009) (23)
Introduction to Securitization: Fabozzi/Introduction (2008) (23)
RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL (2016) (23)
The Structured Finance Market: An Investor's Perspective (2005) (23)
The value, size, and momentum spread during distressed economic periods (2006) (22)
Investment Management after the Global Financial Crisis (2010) (22)
A Profit Model for Spread Trading with an Application to Energy Futures (2009) (22)
Portfolio revision under mean-variance and mean-CVaR with transaction costs (2012) (22)
Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence (2017) (21)
The Over-the-Counter Market and New York Stock Exchange Trading Halts (1988) (21)
Recent trends and future directions. (2007) (21)
Macroeconomic Determinants of Commodity Futures Returns (2011) (21)
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance (2016) (21)
Generalized Functional Form for Mutual Fund Returns (1980) (21)
Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time (1981) (20)
Sources of Credit Risk (2006) (20)
Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model (2010) (20)
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion (2016) (20)
The Timeline Estimation of Bubbles: The Case of Real Estate (2018) (20)
Market experience with modeling for defined-benefit pension funds: evidence from four countries (2005) (20)
Option pricing under stochastic volatility and tempered stable Lévy jumps (2014) (19)
Estimating risk-neutral density with parametric models in interest rate markets (2009) (19)
Diversification versus optimality: is there really a diversification puzzle? (2018) (19)
Equity Manager Selection and Performance (2000) (19)
Measuring and Controlling Interest Rate and Credit Risk (2003) (19)
Asset allocation : a handbook of portfolio policies, strategies & tactics (1988) (19)
The Handbook of Commodity Investing: Fabozzi/The Handbook (2008) (19)
Modernizing the Defined-Benefit Pension System (2005) (19)
An autoregressive conditional duration model of credit‐risk contagion (2005) (19)
Institutional Investment Management: Equity and Bond Portfolio Strategies and Applications (2009) (19)
Types of Commodity Investments (2011) (19)
Fixed Income Mathematics (1988) (19)
The Impact of Earnings under FASB 52 on Equity Returns (1987) (18)
Focusing on the worst state for robust investing (2015) (18)
Simulation and Optimization in Finance: Modeling with MATLAB, @Risk, or VBA (2010) (18)
The handbook of European fixed income securities (2003) (18)
Mathematical Programming in American Companies: A Sample Survey (1976) (18)
Robust equity portfolio performance (2018) (17)
Orderings and Risk Probability Functionals in Portfolio Theory (2008) (17)
The information content of three credit ratings: the case of European residential mortgage-backed securities (2015) (17)
Investment Management: A Science to Teach or an Art to Learn (2014) (17)
Impact of Different Interest Rate Models on Bond Value Measures (2001) (17)
Advanced Fixed Income Portfolio Management: The State of the Art (1994) (17)
Robust Factor-Based Investing (2017) (16)
Foundations and Applications of the Time Value of Money (2009) (16)
Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions (2010) (16)
Being Honest in Backtest Reporting: A Template for Disclosing Multiple Tests (2018) (16)
Autoregressive Moving Average Models (2014) (16)
The handbook of nonagency mortgage-backed securities (1997) (16)
Robust Equity Portfolio Management, + Website: Formulations, Implementations, and Properties Using MATLAB (2015) (16)
Models for Portfolio Revision with Transaction Costs in the Mean–Variance Framework (2010) (16)
An improved least squares Monte Carlo valuation method based on heteroscedasticity (2017) (16)
A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions (2009) (16)
Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads (2015) (16)
Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors (2008) (15)
Securities lending and repurchase agreements (1997) (15)
Interest Rate, Term Structure, and Valuation Modeling (2002) (15)
Option pricing with time-changed Lévy processes (2013) (15)
Multi-Tail Generalized Elliptical Distributions for Asset Returns (2009) (15)
Introduction to Financial Management and Analysis (2008) (15)
EFFECTIVE CAPITAL GAINS TAX RATES: A REPLY (1991) (15)
Bayesian Methods in Finance (2008) (14)
Market timing using combined forecasts and machine learning (2020) (14)
A percolation approach to modeling credit loss distribution under contagion (2004) (14)
The Risk-Point Method for Measuring and Controlling Yield Curve Risk (1995) (14)
Originating Collateralized Debt Obligations for Balance Sheet Management (2003) (13)
Option pricing and hedging under a stochastic volatility Lévy process model (2012) (13)
Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings (2009) (13)
Investing: The Collected Works of Martin L. Leibowitz (1992) (13)
Active equity portfolio management (1998) (13)
Equity Portfolio Management (1999) (13)
Portfolio selection with conservative short-selling (2016) (13)
Equity Valuation and Portfolio Management (2011) (13)
Asset Pricing Models (2008) (13)
Emissions Trading in the European Union (2011) (13)
A Discretionary Wealth Approach for Investment Policy (2009) (13)
The Institutional investor focus on investment management (1989) (13)
Intensity-based framework for surrender modeling in life insurance (2017) (12)
Financial Ratio Analysis (2008) (12)
The Impact of Structuring on CMBS Class Performance (2003) (12)
Elliptical tempered stable distribution (2016) (12)
Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View (2013) (12)
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data (2013) (12)
Investing in asset-backed securities (2000) (12)
Mean‐Variance Model for Portfolio Selection (2012) (12)
Real Estate Comes of Age (2007) (12)
Determinants of Primary Market Spreads on U.K. Residential Mortgage-Backed Securities and the Implications for Investor Reliance on Credit Ratings (2011) (12)
Empirical Evidence on CDO Performance (2008) (12)
Covered Bonds: A New Source of U.S. Mortgage Loan Funding? (2008) (12)
Probability and Statistics for Finance: Rachev/Probability (2010) (12)
Robust and Non-Robust Models in Statistics (2009) (12)
Municipal Bond Portfolio Management (1994) (12)
METRIZATION OF STOCHASTIC DOMINANCE RULES (2012) (11)
The Global Money Markets (2002) (11)
Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies (2008) (11)
A Primer on Commodity Investing (2011) (11)
An improved method for pricing and hedging long dated American options (2016) (11)
On risk management problems related to a coherence property (2006) (11)
The handbook of asset/liability management : state-of-the-art investment strategies, risk controls and regulatory requirements (1996) (11)
Measuring and Explaining Pension System Risk (2013) (11)
Quanto Option Pricing with Lévy Models (2019) (11)
Commercial Real Estate Risk Management with Derivatives (2013) (11)
The Handbook of Municipal Bonds (2008) (11)
Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management (2019) (11)
Handbook of Structured Financial Products (1998) (11)
Capital Markets: Institutions, Instruments, and Risk Management (2015) (11)
Portfolio Construction and Analytics (2016) (10)
Extracting market information from equity options with exponential Lévy processes (2014) (10)
Securities Finance: Securities Lending and Repurchase Agreements (2005) (10)
Equity premium puzzle or faulty economic modelling? (2019) (10)
What is Finance (2011) (10)
Subprime Mortgage Credit Derivatives: Goodman/Subprime (2008) (10)
Advances in Fixed Income Valuation Modeling and Risk Management (1997) (10)
A Simple Framework for Time Diversification (2006) (10)
The Economic Theory of Qualitative Green Growth (2022) (10)
Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation (2010) (10)
A simplified model for valuing debt options (1989) (10)
Pricing Coupon Bond Options and Swaptions under theTwo-Factor Hull-White Model (2016) (10)
Predictability dynamics of emerging sovereign CDS markets (2017) (10)
Default Prediction of Commercial Real Estate Properties Using Machine Learning Techniques (2019) (9)
TAXATION OF CAPITAL GAINS WITH DEFERRED REALIZATION (1989) (9)
CDS Implied Credit Ratings (2017) (9)
The Handbook of Mortgage-Backed Securities: 7th Edition (2016) (9)
The Trading and Securitization of Senior Bank Loans (1992) (9)
Academic, Practitioner, and Investor Perspectives on Factor Investing (2018) (9)
Household search choice: theory and evidence (2009) (9)
CMBS Total Return Swaps (2005) (9)
INVITED EDITORIAL COMMENT: Order from Chaos: How Data Science Is Revolutionizing Investment Practice (2018) (9)
The Dow Jones-Irwin guide to bond and money market investments (1987) (9)
Recent Evidence on the Distribution Patterns in Chapter 11 Reorganizations (1993) (9)
Recent Trends in Equity PortfolioConstruction Analytics (2014) (9)
Why Real Estate ? And how ? wlwre ? and when ? (2005) (9)
Explosive rents: The real estate market dynamics in exuberance (2017) (9)
Why Real Estate? (2003) (9)
The role of jump dynamics in the risk–return relationship (2013) (9)
Applications of Fractional Processes (2017) (9)
Professional perspectives on fixed income portfolio management (2000) (9)
Optimal mortgage refinancing: application of bond valuation tools to household risk management (2008) (9)
Real Estate’s Evolution as an Asset Class (2009) (9)
Bayesian Inference for Hedge Funds with Stable Distribution of Returns (2010) (9)
On stability of operational risk estimates by LDA: From causes to approaches (2016) (9)
Pension Fund Investment Management (1990) (9)
Credit-Linked Notes (2007) (9)
Pricing Coupon Bond Options and Swaptions under the One-Factor Hull–White Model (2016) (9)
Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations (2015) (9)
Option Pricing with Greed and Fear Factor: The Rational Finance Approach (2017) (8)
Probability metrics with applications in finance (2008) (8)
Encyclopedia of financial models (2013) (8)
Chinese equity market and the efficient frontier (2006) (8)
Risk Management and Portfolio Optimization for Volatile Markets (2008) (8)
Quantile-Based Inference for Tempered Stable Distributions (2015) (8)
Probability Distances and Probability Metrics: Definitions (2013) (8)
Innovation Processes in Logically Constrained Time Series (2011) (8)
Financial Advice and Investment Decisions: A Manifesto for Change (2013) (8)
What’s Wrong with Today’s Economics? The Current Crisis Calls for an Approach to Economics Rooted More on Data Than on Rationality (2012) (8)
Incorporating the Dynamic Link Between Mortgage and Treasury Markets in Pricing and Hedging MBS (2006) (8)
Perspectives on equity indexing (2000) (8)
How fat are the tails of equity market indices (2017) (8)
Bond Portfolio Management (2001) (8)
Why IRA and Keogh Plans Should Avoid Growth Stocks (1985) (8)
What Difference Do New Factor Models Make in Portfolio Allocation? (2016) (8)
Mortgage-backed securities : new strategies, applications, and research (1987) (8)
RESEARCH FOUNDATION OF CFA INSTITUTE MONOGRAPH Challenges in Quantitative Equity Management (2008) (8)
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange (2007) (8)
Principal Components Analysis and Factor Analysis (2012) (8)
The New high-yield debt market : a handbook for portfolio managers and analysts (1990) (8)
Bayesian estimation of truncated data with applications to operational risk measurement (2012) (8)
Commodity Futures Investments: A Review of Strategic Motivations and Tactical Opportunities (2011) (8)
A Binomial-Tree Model for Convertible Bond Pricing (2012) (8)
Volatility Wisdom of Social Media Crowds (2017) (7)
Investing in collateralized debt obligations (2001) (7)
Best Practices in Research for Quantitative Equity Strategies (2016) (7)
Detecting Bubbles in the US and UK Real Estate Markets (2019) (7)
INVITED EDITORIAL COMMENT (2017) (7)
Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function (2019) (7)
New Horizons and Familiar Landscapes: New Capital Sources Confront Shifting Real Estate Fundamentals (2015) (7)
Privately Traded Real Estate Equity (2005) (7)
Treasury Securities and Derivatives (1997) (7)
Profitability of Momentum Strategies: Application of Novel Risk/Return Ratio Stock Selection Criteria (2017) (7)
The Changing Face of Real Estate InvestmentManagement (2011) (7)
A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling (2015) (7)
Developments in Collateralized Debt Obligations: New Products and Insights (2007) (7)
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios (2017) (7)
Does the corporate bond market overvalue bonds of sin companies? (2019) (7)
Mathematical programming models to determine civil service salaries (1979) (7)
The Handbook of economic and financial measures (1984) (7)
Mean–Variance Optimization for Asset Allocation (2021) (7)
The Theory of Orderings and Risk Probability Functionals (2006) (7)
Managing fixed income portfolios (1997) (7)
International Corporate Finance (1995) (7)
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions (2009) (7)
Multiple Subordinated Modeling of Asset Returns (2019) (7)
Implementable Quantitative Research (2005) (7)
Climate Change and Asset Management (2020) (7)
Can We Predict Stock Market Crashes? (2014) (7)
The use of derivatives in tax planning (1998) (7)
Triumph of the Empiricists: The Birth of Financial Data Science (2019) (7)
Financial markets and instruments (2008) (7)
Corporate bond portfolio management (2002) (7)
Robust CVaR Approach to Portfolio Selection with Uncertain Exit Time (2006) (7)
Active total return management of fixed income portfolios (1989) (7)
Derivatives and Equity Portfolio Management (1999) (6)
Enhancing binomial and trinomial equity option pricing models (2017) (6)
Simulation and Optimization in Finance + Website: Modeling with MATLAB, @Risk, or VBA (2010) (6)
Specification error, random coefficient and the risk-return relationship test in capital asset pricing / BEBR No. 676 (1980) (6)
Multifactor Equity Risk Models (2011) (6)
Equity Valuation Science, Art, or Craft? (2018) (6)
The Market Risk of Corporate Bonds (2019) (6)
Bank Loans : Secondary Market and Portfolio Management (1998) (6)
The Dow Jones-Irwin Guide to Municipal Bonds (1987) (6)
Monetary Policy and Interest Rate Factors (2009) (6)
Who Needs a Newtonian Finance? (2018) (6)
The Post-Crisis CMBS Market: Will Regulations Prevent Another Market Meltdown? (2015) (6)
Equity Analysis Using Traditional and Value‐Based Metrics (2008) (6)
Measuring and controlling interest rate risk (1996) (6)
Fractional Partial Differential Equation and Option Pricing (2017) (6)
Issuer Perspectives on Securitization (1999) (6)
Optimal corporate strategy under uncertainty (2013) (6)
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Appendix E: Solutions to End‐of‐Chapter Problems (2011) (0)
Practical Applications of Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management (2016) (0)
Effects of Short-Sale Constraints and Information Asymmetry on Index Futures Trading (2017) (0)
Introduction to Credit Default Swaps and Synthetic CDOs (2012) (0)
Day Count Conventions and Accrued Interest (2011) (0)
General Principles of Bond Valuation (2008) (0)
Practical Applications of John Cochrane — Conversation with Frank Fabozzi (2022) (0)
CDO Rating Experience (2012) (0)
Appendix C: Binomial and Multinomial Coefficients (2011) (0)
High-Yield Loans: Structure and Performance (2012) (0)
Introduction: Quantitative Strategies: Factor Investing (2019) (0)
Relationship among Cash, ABCDS, and the ABX (2011) (0)
Left hand financing: An emerging field of corporate finance (1983) (0)
Valuing Bonds with Embedded Options (2012) (0)
Introduction to Regression Analysis (2011) (0)
Common Stock Trading Arrangements and Trading Costs (2002) (0)
ABS CDO Collateral Choices: Cash, ABCDS, and the ABX (2012) (0)
Appendix B: Using Spreadsheets in Financial Calculations (2011) (0)
Basics of Corporate Taxes and Tax Risk Management (2012) (0)
Learning for infinitely divisible GARCH models in option pricing (2020) (0)
Portfolio Theory: Mean-Variance Analysis and the Asset Allocation Decision (2020) (0)
Measuring Return and Risk (2020) (0)
Classical Asset Pricing (2012) (0)
Negative Definite Kernels and Metrics: Recovering Measures from Potentials (2013) (0)
Investing in Commodities (2011) (0)
Tempered Stable Distributions (2019) (0)
Ideal Metric with Respect to Maxima Scheme of i.i.d. Random Elements (2013) (0)
How Much Should You Get Paid to Take Risk (2011) (0)
Choice under Uncertainty (2011) (0)
Time Value of Money (2012) (0)
The Return Feedback and Contagion between Interest Rate and Equity Markets (2017) (0)
CRE CDO Relative Value Methodology (2012) (0)
Review of Structured Finance Collateral: Mortgage-Related Products (2012) (0)
Appendix B: Fundamentals of Matrix operations and Concepts (2011) (0)
Introduction to special issue: studies in mathematical and empirical finance (2009) (0)
Option pricing for Informed Traders (2017) (0)
Analysis of Inflation‐Protected Bonds (2011) (0)
Testing the Assumptions of the Multivariate Linear Regression Model (2011) (0)
Company Equity Analysis (2020) (0)
BOOK REVIEW: Do-It-Yourself Wealth Management (2021) (0)
Volatility Models: An Overview (2012) (0)
Basics of Financial Analysis (2011) (0)
The Natural Gas Market in the United Kingdom (2011) (0)
Accrual Bonds/Z Bonds (2016) (0)
Fundamental Multifactor Equity Risk Models (2008) (0)
Rise of the Machines: Application of Machine Learning to Mortgage Prepayment Modeling (2021) (0)
Operational Risk: Definition, Classification, and its Place among Other Risks (2012) (0)
Tracking Error and Common Stock Portfolio Management (2008) (0)
Simulation and optimization in finance : modeling with MATLAB, @Risk, or VBA : Frank J. Fabozzi Series (2010) (0)
Model risk and its mitigation (2012) (0)
Securitization of Future Cash Flows: Future Revenues, Operating Revenues, and Insurance Profits (2011) (0)
Pricing of Futures/Forwards and Options (2012) (0)
\mathfrak{N}-Distance Tests of Uniformity on the Hypersphere (2013) (0)
Basic Concepts: Sets, Functions, and Variables (2013) (0)
Modeling Market Impact Costs (2012) (0)
Basic Principles of Bayesian Analysis (2012) (0)
Basic Principles of Securitization (2012) (0)
Investing in Common Stock (2011) (0)
Cointegration and State Space Models (2012) (0)
Trust-Preferred CDOs (2012) (0)
Appendix C: Probability Distributions Commonly Used in Investment Management (2013) (0)
Online Appendix to: Quanto Option Pricing with Lévy Models (2016) (0)
Structuring Agency MBS Deals (2011) (0)
The Practice of Robust Portfolio Management: Recent Trends and New Directions (2012) (0)
Listed Equity Options and Futures (2008) (0)
Use of Options in Portfolio Management (2011) (0)
Regression Analysis: Theory and Estimation (2012) (0)
Selected Topics in Regression Analysis (2012) (0)
More on Common Stock (2011) (0)
New Kids on the Block Trends in quantitative finance and their impact on investment management. (2004) (0)
Introduction to Portfolio Management and Analytics (2016) (0)
Primary, Simple, and Compound Probability Distances and Minimal and Maximal Distances and Norms (2013) (0)
Relations Between Minimal and Maximal Distances (2013) (0)
Appendix A: Basics of Credit Derivatives (2011) (0)
Cross-Sectional Factor-Based Models and Trading Strategies (2012) (0)
Advances in Quantitative Equity Portfolio Management (2016) (0)
Infinitely Divisible GARCH Models (2011) (0)
Synthetic Securitization: Case of Mortgage-Backed Securities (2012) (0)
Research Foundation Review 2017 (2018) (0)
Analytical Challenges in Secondary CDO Market Trading (2012) (0)
Investment Companies, Exchange-Traded Funds, and Investment Oriented LIfe Insurance (2009) (0)
Stephen A. Ross: Excellence Beyond Recognition (2018) (0)
The Fundamentals of Equipment Leasing (2008) (0)
Commercial Real Estate Loans and Securities (2008) (0)
Conditional Probability and Bayes' Rule (2011) (0)
Support Bonds with Schedules (2016) (0)
Review of Probability and Statistics (2012) (0)
Use of Stock Index Futures and Treasury Futures Contracts in Portfolio Management (2011) (0)
Asset Pricing Theories (2012) (0)
Optimization under Uncertainty (2011) (0)
Appendix C: Inferential Statistics (2014) (0)
Yield Curves and Valuation Lattices (2012) (0)
Structuring and Pricing Residential Mortgage‐Backed Securities (2011) (0)
European Bank Loans and Middle Market Loans (2012) (0)
Large Ticket Leasing: Leasing Fundamentals (2012) (0)
Common Stock Strategies and Performance Evaluation (2012) (0)
Collateral Classes in ABS: Retail Loans (2011) (0)
Commercial Real Estate Primer (2012) (0)
Fundamentals of Debt Instruments (2020) (0)
Categorical and Dummy Variables in Regression Models (2012) (0)
Introduction to Stochastic Processes (2008) (0)
The U.S Equity Markets (2008) (0)
Framework for the Credit Analysis of Corporate Debt (2011) (0)
Appendix B: Bond Features, Yield Measures, and Risks (2013) (0)
Valuing Common Stock (2011) (0)
OTC Equity Derivatives (2008) (0)
Measuring Company Performance (2012) (0)
16. Bond Fundamentals and Risks (2012) (0)
Multivariate Variables and Distributions (2011) (0)
Another Look at the Ho–Lee Bond Option Pricing Model (2017) (0)
Empirical Default Correlations: Problems and Solutions (2011) (0)
U.S. Treasury Securities (2008) (0)
Fundamentals of Matrix Algebra (2012) (0)
Investing in Capital Venture Funds (2011) (0)
IN SEARCH OF CASH‐FLOW PRICING (2015) (0)
CHAPTER 1 Portfolio Selection (2008) (0)
Stochastic Differential Equations (2012) (0)
Using Equity Derivatives in Portfolio Management (2011) (0)
Practical Applications of Recent Trends in Equity Portfolio Construction Analytics (2015) (0)
Financial Econometrics: Scope and Methods (2012) (0)
Quantitative Modeling of Transaction and Trading Costs (2008) (0)
Multiperiod conditional valuation of barrier options with incomplete information (2015) (0)
Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles (2022) (0)
Securitized and Synthetic Funding Structures (2012) (0)
Practical Applications of Derivatives Virtual Panel Discussion, March 2022 (2022) (0)
Practical Applications of Commercial Real Estate Risk Management with Derivatives (2014) (0)
Collective Investment Vehicles and Alternative Assets (2020) (0)
Monge–Kantorovich Mass Transference Problem, Minimal Distances and Minimal Norms (2013) (0)
Growing Discretionary Wealth (2013) (0)
Quantifying Single-Name Risk Across CDOs (2012) (0)
Parameters of Location and scale of Random Variables (2011) (0)
Mutual fund rates of return generating process : a generalized functional form approach / BEBR No.552 (1979) (0)
Operational Risk is Not Just “Other” Risks (2012) (0)
Investing in Real Estate (2011) (0)
Practical Applications of Scott Wolle, Jay Raol, and Scott Hixon — Conversations with Frank Fabozzi (2022) (0)
Managing a Common Stock Portfolio with Fundamental Factor Models (2012) (0)
Principles of Optimization for Portfolio Selection (2012) (0)
Capital Budgeting: Process and Cash Flow Estimation (2011) (0)
Appendix D: Fundamentals of Matrix Algebra (2014) (0)
Analysis of Floating Rate Securities (2011) (0)
Using the Lattice Model to Value Bonds with Embedded Options, Floaters, Options, and Caps/Floors (2008) (0)
Sparse factor model based on trend filtering (2021) (0)
Interest Rate Futures and Forward Rate Agreements (2008) (0)
Second Lien Mortgage Credit (2011) (0)
Bonds, Asset‐Backed Securities, and Mortgage‐Backed Securities (2011) (0)
Stable and Tempered Stable Distributions (2012) (0)
Approaches to ARIMA Modeling and Forecasting (2012) (0)
Matching Investment Vehicles to Needs (2013) (0)
Cause and Effect of Recent Mergers (2018) (0)
Ideal Metrics and Stability of Characterizations of Probability Distributions (2013) (0)
Interest Rate Derivatives (2012) (0)
Concerns with Securitization's Impact on Financial Markets and Economies (2011) (0)
Composition of Robust Portfolios (2015) (0)
Using Derivatives in Bond Portfolio Management (2012) (0)
Statistical Estimates Obtained by the Minimal Distances Method (2013) (0)
Ideal Metrics with Respect to Summation Scheme for i.i.d. Random Variables (2013) (0)
Pricing Derivatives by Simulation (2011) (0)
Moment Problems Related to the Theory of Probability Metrics: Relations Between Compound and Primary Distances (2013) (0)
Advances in the Theory of Portfolio Risk Measures (2011) (0)
Valuation of Bonds with Embedded Options (2011) (0)
Equity Portfolio Selection in Practice (2011) (0)
The Evidence Is Compelling (2013) (0)
Non‐Gaussian Portfolio Allocation (2011) (0)
Answers to End-of-Chapter Questions (2012) (0)
Appendix B: Continuous Probability Distributions Commonly Used in Financial Econometrics (2014) (0)
Joint Product and By-Product Costing (2012) (0)
Interest Rate Options and Related Products (2008) (0)
Types of Debt Financing (2012) (0)
Appendix A: Using Financial Calculators (2011) (0)
Job Order and Process Costing (2012) (0)
Robust Portfolio Optimization and Management (3 chapters) (2007) (0)
Rational Finance Approach to Behavioral Option Pricing. (2020) (0)
Benchmarks and the Use of Tracking Error in Portfolio Construction (2016) (0)
Collateral Overlap and Single-Name Exposure in CLO Portfolios (2012) (0)
From Art to Financial Modeling (2012) (0)
Asset Diversification and Efficient Frontiers (2011) (0)
Synthetic Balance Sheet CDOs (2012) (0)
Value‐at‐Risk Measure and Extensions (2011) (0)
Stochastic Processes in Continuous Time (2012) (0)
Considerations in Investing in Hedge Funds (2011) (0)
APPENDIX D: GLOSSARY (2011) (0)
The ABC’s of the ARP: understanding alternative risk premium (2021) (0)
Basics of Financial Derivatives (2016) (0)
Using Derivatives in Portfolio Management (2011) (0)
Strategy and Financial Planning (2012) (0)
Prior and Posterior Information, Predictive Inference (2012) (0)
Scope and Methods of Financial Econometrics (2012) (0)
Asset Valuation: The Theory of Asset Pricing (2011) (0)
Fundamentals of Common Stock (2011) (0)
Leveraged Lease Fundamentals (2012) (0)
The Math of Finance (2011) (0)
Review of Collateralized Debt Obligations (2012) (0)
Fractional Diffusion and Heavy Tail Distributions: Geo-Stable Distribution (2017) (0)
Interest Rate Derivatives and Risk Control (2011) (0)
Basic Linear Algebra Concepts (2016) (0)
Analysis of Interest Rate Swaps (2011) (0)
Values Tied to Bonds (2011) (0)
Fundamentals of Fixed Income Portfolio Management (2016) (0)
Prepayments and Factors Influencing the Return of Principal for Residential Mortgage‐Backed Securities (2012) (0)
Smarter money: An investment game plan for those who made it and want to keep it (1985) (0)
Formal versus Informal Mortgage Debt and Stock Market Participation (2020) (0)
Analysis of Nonagency Mortgage‐Backed Securities (2012) (0)
Factor Analysis and Principal Components Analysis (2014) (0)
Capital Budgeting under Uncertainty (2011) (0)
Improving Guidelines for Interest Rate and Credit Derivatives (2008) (0)
Financial Advice and Society (2013) (0)
Forecasting expected return and risk (2012) (0)
Editor’s Introduction for 2021 Special Issue on Factor Investing (2020) (0)
Review of Structured Finance Collateral: Nonmortgage ABS (2012) (0)
Cash Flow CDOs (2012) (0)
Corporate Risk Management (2012) (0)
Selected Topics in Investment Management for Financial Planning (1985) (0)
Introduction to International Corporate Financial Management (2008) (0)
Capital Asset Pricing Models (2012) (0)
Structured Finance Default and Recovery Rates (2012) (0)
Higher Factor Exposures of Robust Equity Portfolios (2015) (0)
Robust Solutions to the Life-Cycle Consumption Problem (2020) (0)
Finance Fact or Fiction (2011) (0)
Equity price models (2012) (0)
The Three-Factor Hedging Strategy for Mortgage Pass-Through Securities: Empirical Evidence (2018) (0)
Corporate Strategy and Financial Planning (2008) (0)
Interest Rate Risk and Credit Risk Measures (2020) (0)
Prior Beliefs and Asset Pricing Models (2012) (0)
The Basel II Framework and Securitization (2012) (0)
The Valuation of Fixed Income Total Return Swaps (2008) (0)
Properties of Mostly Efficient Markets (2013) (0)
Types of Collateralized Debt Obligations (2011) (0)
A Practitioner Perspective on Trading and the Implementation of Investment Strategies (2022) (0)
Formulating and Implementing Investment Strategies Using Financial Econometrics (2014) (0)
Introduction to Derivatives (2011) (0)
The Handbook of Corporate Debt Instruments (1998) (0)
Tax Efficient Investing (2013) (0)
Stay in touch (2012) (0)
The Corporate Financing Decision (2011) (0)
Bond Analytics: Spot Rates, Forward Rates, Yield Spreads, and Valuation (2011) (0)
Analysis of Financial Statements: Drake/Analysis (2012) (0)
Bond Pricing and Yield Measures (2012) (0)
Yielding for Yields (2011) (0)
How Close Are the Individual and Collective Models in Risk Theory (2013) (0)
Incorporating higher moments and extreme risk measures (2012) (0)
Capital Budgeting and Risk (2008) (0)
CMO portfolio management (1994) (0)
American Option Pricing with Monte Carlo Methods (2011) (0)
Editors’ Introduction to the Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management (2021) (0)
Important Finance Concepts (2011) (0)
Variability of Full-MLE ARMA-GARCH VaR and ETL Estimates (2011) (0)
Financial Engineering, Asset Securitization, and Project Financing (2011) (0)
Bond Portfolio Strategies (2012) (0)
Features of Excess Spread/Overcollateralization: The Principle Subprime Structure (2011) (0)
Valuing the ABX (2011) (0)
Fractional calculus and fractional processes: an overview (2017) (0)
Robust frameworks for estimation and portfolio allocation (2012) (0)
Using Equity Options in Investment Management (2012) (0)
Common Stock Alpha Strategies (2020) (0)
Editor's Letter (2006) (0)
26. Alternative Assets (2012) (0)
Issuer Prospective in Structuring Asset-Backed Securities Transactions (2008) (0)
8. Financial Analysis (2012) (0)
Applying the portfolio selection framework in practice (2012) (0)
Stochastic Dominance Revisited (2011) (0)
Risk Estimation for GARCH Processes with Heavy-Tailed Innovations (2011) (0)
A Classification of Probability Distances (2011) (0)
Important Functions and Their Features (2012) (0)
CLO Portfolio Overlap (2011) (0)
Structured Financing: Asset Securitization and Structured Notes (2012) (0)
The Tools of Relative Value Analysis (2011) (0)
Mean-variance analysis and modern portfolio theory (2012) (0)
Robust Optimization Software (2015) (0)
Multiple credit ratings and new issue spreads for European residential mortgage-backed (2011) (0)
A risk-based evaluation of the free-trader option (2010) (0)
Active Management of Commodity Investments: The Role of CTAs and Hedge Funds (2011) (0)
Quantitative Relationships Between Minimal Distances and Minimal Norms (2013) (0)
Why Do We Need Better Financial Advice (2013) (0)
Designing and Building a Multivariate Linear Regression Model (2011) (0)
Yield Curve Analysis: Spot Rates and Forward Rates (2011) (0)
The Fundamentals of Commodity Investments (2008) (0)
The Legacy of Stephen A. Ross (2018) (0)
Estimation of hidden variable models (2012) (0)
Feedback and predictors in stock markets (2012) (0)
The Credit Analysis of Municipal Bonds (2008) (0)
Alternative Methods for Estimating Duration for Mortgage-Backed Securities (2016) (0)
Advanced Techniques for Bayesian Portfolio Selection (2012) (0)
Basics of Derivatives (2011) (0)
Distances Defined by Zonoids (2013) (0)
Synthetic Collateralized Debt Obligation Structures (2012) (0)
Joint Probability Distributions (2011) (0)
The Extended Balance Sheet Approach to Financial Planning (2013) (0)
Regression Applications in Finance (2012) (0)
The Frank J. Fabozzi series (2001) (0)
The new issues puzzle: evidence from non-US firms (2013) (0)
Cash Flow Collateralized Debt Obligations (2012) (0)
Agency Planned Amortization Class Bonds (2016) (0)
Continuous Probability Distributions (2012) (0)
Asset Classes, Alternative Investments, Investment Companies, and Exchange‐Traded Funds (2011) (0)
Using Stock Index Futures and Equity Swaps in Equity Portfolio Management (2012) (0)
Structured Finance Credit Default Swaps and Synthetic CDOs (2012) (0)
Floating rate instruments: Characteristics, valuation, and portfolio strategies (1986) (0)
Emerging Market CDOs (2012) (0)
Practical Applications of Economics: An Empirical Science Capable of Forecasting Economic Events? (2016) (0)
Statistical arbitrage in jump-diffusion models with compound Poisson processes (2014) (0)
The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive? (2022) (0)
Appendix A: Descriptive Statistics (2014) (0)
Readings in Investment Management (1983) (0)
Individual price processes: univariate models (2012) (0)
Ideal Metrics and Rate of Convergence in the CLT for Random Motions (2013) (0)
Simple Linear Regression (2014) (0)
Municipal Collateralized Debt Obligations (2015) (0)
Introduction to Bayesian Inference (2012) (0)
Investing in China’s High-Yield Debt Markets: A Proposed Credit Analysis Framework (2014) (0)
Fundamentals of Equity Derivatives (2011) (0)
Probability Distances and Metrics (2011) (0)
Robust Approaches for Portfolio Selection (2015) (0)
Can Commodity Price Uncertainty Indexes Be Improved by Capturing Media Information? The Case of Oil Price Uncertainty (2020) (0)
Active vs. Passive Strategies (2013) (0)
Main Directions in the Theory of Probability Metrics (2013) (0)
Alternative Risk Premium Fund Analysis (2022) (0)
Bayesian Numerical Computation (2012) (0)
Appendix B: Valuing Mortgage‐Backed and Asset‐Backed Securities (2011) (0)
The Black-Litterman Portfolio Selection Framework (2012) (0)
The Basic Principles of Investment Management (2011) (0)
Impact of CDOs on Collateral Markets (2012) (0)
Valuation of Option‐Free Bonds (2011) (0)
Multifactor Equity Risk Models and Their Applications (2012) (0)
Modeling Operational Loss Distributions (2012) (0)
Direct and Absorption Costing (2012) (0)
Recessions and Returns (2011) (0)
Bayesian Estimation of ARCH-Type Volatility Models (2012) (0)
Editor’s Introduction to the Special Issue on Investing in Non-US Financial Markets (2021) (0)
Default Correlation: The Basics (2011) (0)
The Lessons We Learn (2012) (0)
Appendix C: Formulas (2011) (0)
Structured Credit Products (2011) (0)
Average Value-at-Risk (2012) (0)
Common Stock Beta Strategies (2020) (0)
Applying Mean‐Variance Analysis (2012) (0)
Introduction to Credit Default Swap on ABS CDS (2011) (0)
The Changing Role of the CFO: From Accounting to Accountable (2012) (0)
Investing in Leveraged Buyouts (2011) (0)
Investing in Mezzanine Debt (2011) (0)
Computational aspects of risk estimation in volatile markets: A survey (2010) (0)
Mathematical and numerical optimization (2012) (0)
Continuous Probability Distributions with Appealing Statistical Properties (2012) (0)
Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition (2015) (0)
Introduction to the Pricing of Futures/Forwards and Options (2008) (0)
An Estimator of the Quadratic Variation of a Process with Finite Energy (2008) (0)
Factor-Based Equity Portfolio Construction and Performance Evaluation (2016) (0)
Benefits of Securitization to Financial Markets and Economies (2011) (0)
Multi-asset Portfolio Strategies (2020) (0)
Some Thoughts on Risk Management for Commodity Portfolios (2011) (0)
Issuer Motivation for Securitizing Assets and the Goals of Structuring (2011) (0)
The Primary and Secondary Bond Markets (2005) (0)
Accepted Manuscript Composition of Robust Equity Portfolios (2013) (0)
Applications of FX Derivatives in Active Currency Risk Management (2022) (0)
Statistical Estimation Models (2016) (0)
How to Evaluate a CDO and Manage a CDO Portfolio (2012) (0)
ABS CDO Losses and Valuation (2011) (0)
The ABC’s of the alternative risk premium: academic roots (2021) (0)
Money Market Calculations (2008) (0)
Issues in the Theory of Portfolio Selection (2012) (0)
Editors’ Introduction: The Legacy of Stephen A. Ross (2018) (0)
Bond Price Volatility and the Measurement of Interest Rate Risk (2012) (0)
Interfaces with Other Disciplines An improve d method for pricing and he dging long date d American options (2016) (0)
Robust Solutions to the Life-Cycle Consumption Problem (2020) (0)
Optimal Quality Usage (2013) (0)
Agency Mortgage Passthrough Securities (2011) (0)
Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model (2012) (0)
ARMA and ARCH Models with Infinite-Variance Innovations (2012) (0)
Normal GARCH models (2011) (0)
Challenges in Quantitative Equity (2008) (0)
Federal Agency Securities (2008) (0)
Financial Strategy and Financial Planning (2011) (0)
Capital Structure: Lessons from Modigliani and Miller (2008) (0)
Time Series Concepts, Representations, and Models (2012) (0)
A new method for generating approximation algorithms for financial mathematics applications (2012) (0)
Effective Risk Management Strategies for Commodity Portfolios (2011) (0)
Positive and Negative Definite Kernels and Their Properties (2013) (0)
Perspectives on International Fixed Income Investing (1999) (0)
Incorporating Futures in Commodity Price Forecasts (2011) (0)
Quantitative Investment Management: Today and Tomorrow (2008) (0)
The Value of Compounding (2011) (0)
Practical Applications of Joanne Hill – Conversation with Frank Fabozzi (2021) (0)
Using Derivatives in Fixed Income Portfolio Management (2016) (0)
The High‐Yield Bond Market (2011) (0)
Structured Products: RMBS, CMBS, and ABS (2012) (0)
Coping with Uncertain Knowledge (2013) (0)
The Investment Problem and Capital Budgeting (2008) (0)
Analysis of Equity Risk Using Fundamentals Factor Models (2012) (0)
Determining and Forecasting High-Frequency Value at Risk by Using Levy Processes (2006) (0)
Managing Current Assets (2011) (0)
Conditional Expectation and Change of Measure (2012) (0)
Electricity Trading in the European Union (2011) (0)
Fundamentals of Equities (2020) (0)
The Quality of Financial Information (2012) (0)
U.S. Treasury and Federal Agency Securities (2011) (0)
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing (2017) (0)
Understanding Oil Price Movement: Short versus Long Run Using the Leapfrog Model (2022) (0)
Agency Collateralized Mortgage Obligations (2011) (0)
Basic Data Description for Financial Modeling and Analysis (2012) (0)
Option Pricing with Monte Carlo Methods (2011) (0)
Asset Management (2018) (0)
Fundamental Analysis of the World Silver Market (2011) (0)
Arbitrage Pricing: Finite‐State Models (2012) (0)
Mathematics of Finance (2008) (0)
Copula and Dependence Measures (2011) (0)
Applied Equity Valuation (2012) (0)
INTRODUCTION: Resilient Real Estate (2021) (0)
The Geometry of the World of Currency Volatilities (2021) (0)
Liquidity, Trading, and Trading Costs (2012) (0)
Editor’s Introduction for the 2022 Special Issue on Multi-Asset Strategies (2022) (0)
Structuring and Analysis of CDOs (2011) (0)
Cash Flow for Mortgage‐Backed Securities and Amortizing Asset‐Backed Securities (2011) (0)
Costing and Control of Materials, Labor, and Factory Overhead (2012) (0)

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