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Fabozzi, Frank J.


 SSRN Author Rank: 674 by Downloads
 Professor of Finance
 

EDHEC Business School


 France
 215 598-8924 (Phone)
 email address

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. Fabozzi, Frank J.'s Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
21,398
Total
Citations
40
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Collateralized Debt Obligations and Credit Risk Transfer | Show Abstract | Download This Paper |
Yale ICF Working Paper No. 07-06
Number of Pages in PDF File: 14
Lucas, Douglas J.
UBS - CDO Research
Goodman, Laurie
Paine Webber
Fabozzi, Frank J.
EDHEC Business School
Posted:
02 Jul 07
7,556
(364)
4

2.  
Securitization: The Tool of Financial Transformation | Show Abstract | Download This Paper |
Yale ICF Working Paper No. 07-07
Number of Pages in PDF File: 14
Fabozzi, Frank J.
EDHEC Business School
Kothari, Vinod
Indian Institute of Management (IIM), Kolkata
Posted:
28 Jun 07
7,381
(391)
6

3.  
Vink, Dennis
Nyenrode Business University
Fabozzi, Frank J.
EDHEC Business School
Posted:
12 Jul 09
Last Revised:
04 Oct 12
1,183
(9,483)
 

4.  
Arshanapalli, Bala
Indiana University Northwest - School of Business & Economics
Switzer, Lorne N.
Concordia University, Quebec - Department of Finance
Fabozzi, Frank J.
EDHEC Business School
Gosselin, Guillaume
Concordia University
Posted:
14 May 04
990
(12,570)
9

5.  
How do Conflicting Theories about Financial Markets Coexist? | Show Abstract | Download This Paper |
Yale ICF Working Paper No. 06-03
Number of Pages in PDF File: 41
Phoa, Wesley
Capital Strategy Research
Focardi, Sergio
The Intertek Group
Fabozzi, Frank J.
EDHEC Business School
Posted:
12 Apr 06
773
(18,224)
 

6.   Incl. Electronic Paper
Fabozzi, Frank J.
EDHEC Business School
Shiller, Robert J.
Yale University - Cowles Foundation
Tunaru, Radu
University of Kent, Canterbury - Kent Business School
Posted:
15 Aug 09
Last Revised:
28 Dec 09
505
(32,971)
4

7.  
Household Search Choice: Theory and Evidence | Show Abstract | Download This Paper |
Applied Economics, Forthcoming
Number of Pages in PDF File: 40
Bonaparte, Yosef
University of Colorado at Denver - Department of Finance
Fabozzi, Frank J.
EDHEC Business School
Posted:
13 Mar 06
Last Revised:
10 Apr 11
430
(40,468)
1

8.  
A Discretionary Wealth Approach to Investment Policy | Show Abstract | Download This Paper |
Yale ICF Working Paper No. 09-03
Number of Pages in PDF File: 43
Wilcox, Jarrod
Wilcox Investment, Inc.
Fabozzi, Frank J.
EDHEC Business School
Posted:
11 Mar 09
397
(44,626)
1

9.  
Size, Value, and Momentum in Emerging Market Stock Returns | Show Abstract | Download This Paper |
Fordham University Schools of Business Research Paper No. 2070832
Number of Pages in PDF File: 40
Cakici, Nusret
Fordham University
Fabozzi, Frank J.
EDHEC Business School
Tan, Sinan
Fordham University Schools of Business
Posted:
30 May 12
Last Revised:
11 Sep 12
323
(57,315)
2

10.  
Computing VAR and AVaR in Infinitely Divisible Distributions | Show Abstract | Download This Paper |
Yale ICF Working Paper No. 09-07
Number of Pages in PDF File: 37
Kim, Young Shin
University of Karlsruhe
Rachev, Svetlozar
Stony Brook University
Bianchi, Michele Leonardo
Bank of Italy
Fabozzi, Frank J.
EDHEC Business School
Posted:
08 May 09
243
(78,391)
1

11.  
Nooshi, Nima
Karlsruhe Institute of Technology
Kim, Young Shin
University of Karlsruhe
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
18 Mar 12
241
(79,108)
 

12.  
Optimal Financial Portfolios | Show Abstract | Download This Paper |
Applied Mathematical Finance, Vol. 14, No. 5, 2007
Number of Pages in PDF File: 36
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
22 Dec 10
202
(94,794)
3

13.  
Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies | Show Abstract | Download This Paper |
Journal of Alternative Investments, Vol. 11, No. 3, 2009
Number of Pages in PDF File: 28
Fabozzi, Frank J.
EDHEC Business School
Liu, Jinlin
Concordia University, Quebec - John Molson School of Business
Switzer, Lorne N.
Concordia University, Quebec - Department of Finance
Posted:
03 Oct 11
182
(104,629)
2

14.  
Investment Management: A Science to Teach or an Art to Learn | Show Abstract | Download This Paper |
CFA Institute Research Foundation Monograph
Number of Pages in PDF File: 126
Fabozzi, Frank J.
EDHEC Business School
Focardi, Sergio
The Intertek Group
Jonas, Caroline
CFA Institute Research Foundation
Posted:
01 Mar 15
158
(118,931)
 

15.  
Arshanapalli, Bala
Indiana University Northwest - School of Business & Economics
Fabozzi, Frank J.
EDHEC Business School
Nelson, William
Indiana University Northwest
Posted:
24 Jul 11
103
(166,852)
 

16.  
Bonaparte, Yosef
University of Colorado at Denver - Department of Finance
Fabozzi, Frank J.
EDHEC Business School
Posted:
18 Dec 09
Last Revised:
30 Jul 13
86
(188,081)
 

17.  
Investment Management after the Global Financial Crisis | Show Abstract | Download This Paper |
CFA Institute Research Foundation M2010-1
Number of Pages in PDF File: 156
Fabozzi, Frank J.
EDHEC Business School
Focardi, Sergio
The Intertek Group
Jonas, Caroline
CFA Institute Research Foundation
Posted:
08 Mar 15
74
(205,945)
2

18.  
Stochastic Models for Risk Estimation in Volatile Markets: A Survey | Show Abstract | Download This Paper |
Annals of Operation Research, Vol. 176, No. 1, 2010
Number of Pages in PDF File: 22
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Racheva-Iotova, Boryana
affiliation not provided to SSRN
Fabozzi, Frank J.
EDHEC Business School
Posted:
24 Dec 10
62
(226,896)
 

19.  
Technical Review Panel for the Pension Insurance Modeling System (PIMS) | Show Abstract | Download This Paper |
Michigan Retirement Research Center Research Paper No. 2013-290, Simon School Working Paper No. FR 13-32
Number of Pages in PDF File: 265
Mitchell, Olivia S.
University of Pennsylvania - The Wharton School
Geczy, Christopher
University of Pennsylvania - The Wharton School, Finance Department
Novy-Marx, Robert
Simon Business School, University of Rochester
Maurer, Raimond
Goethe University Frankfurt - Finance Department
Fuerst, Donald E.
Mercer Human Resource Consulting
Bone, Christopher
Independent
Segal, Donald J.
Independent
Clarke, Martin G.
Independent
Fabozzi, Frank J.
EDHEC Business School
Lucas, Deborah
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Babbel, David F.
University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Posted:
11 Jan 14
60
(230,803)
 

20.  
Zhou, Xiaoping
Citizens Financial Group
Durfee, Antonina
Citizens Financial Group
Fabozzi, Frank J.
EDHEC Business School
Posted:
30 Aug 14
Last Revised:
08 Apr 15
53
(244,960)
 

21.  
Zhou, Xiaoping
Citizens Financial Group
Giacometti, Rosella
University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA)
Fabozzi, Frank J.
EDHEC Business School
Tucker, Ann H
State University of New York (SUNY) - Department of Applied Mathematics and Statistics
Posted:
12 May 14
Last Revised:
13 May 14
53
(244,960)
 

22.  
Is Food Consumption a Good Proxy for Nondurable Consumption? | Show Abstract | Download This Paper |
Economics Letters, Vol. 111, 2011
Number of Pages in PDF File: 12
Bonaparte, Yosef
University of Colorado at Denver - Department of Finance
Fabozzi, Frank J.
EDHEC Business School
Posted:
26 Oct 10
Last Revised:
02 Dec 13
52
(247,176)
 

23.  
Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View | Show Abstract | Download This Paper |
Bank of Italy Temi di Discussione (Working Paper) No. 912
Number of Pages in PDF File: 52
Bianchi, Michele Leonardo
Bank of Italy
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
21 Jun 13
44
(265,551)
 

24.  
Probability Metrics Applied to Problems in Portfolio Theory | Show Abstract | Download This Paper |
Journal of Statistical Theory and Practice, Vol. 2, No. 2, pp. 253-277, 2008
Number of Pages in PDF File: 40
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
23 Dec 10
42
(270,567)
 

25.  
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models | Show Abstract | Download This Paper |
Bank of Italy Temi di Discussione (Working Paper) No. 944
Number of Pages in PDF File: 54
Bianchi, Michele Leonardo
Bank of Italy
Fabozzi, Frank J.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
25 Mar 14
30
(305,104)
 

26.  
Measuring and Explaining Pension System Risk | Show Abstract | Download This Paper |
Pension Research Council Working Paper, PRC WP2013-15
Number of Pages in PDF File: 23
Fabozzi, Frank J.
EDHEC Business School
Posted:
09 Oct 13
28
(312,197)
 

27.  
Beta as a Random Coefficient | Show Abstract | Download This Paper |
Journal of Financial and Quantitative Analysis (JFQA), March 1978, pages 101-115
Number of Pages in PDF File: 17
Fabozzi, Frank J.
EDHEC Business School
Francis, Jack Clark
Zicklin School of Business
Posted:
31 Mar 15
Last Revised:
04 Apr 15
26
(319,604)
 

28.  
Zhou, Xiaoping
Citizens Financial Group
Malioutov, Dmitry
IBM Research
Fabozzi, Frank J.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
11 May 14
23
(331,872)
 

29.  
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination | Show Abstract | Download This Paper |
JOURNAL OF FINANCE, 1979 December, XXXIV (5), pages 1243-1250.
Number of Pages in PDF File: 9
Fabozzi, Frank J.
EDHEC Business School
Francis, Jack Clark
Zicklin School of Business
Posted:
30 Mar 15
Last Revised:
03 Apr 15
21
(340,454)
 

30.  
Early Exercise of Foreign Currency Options: Determinants of American Premium and the Critical Exchange Rate | Show Abstract | Download This Paper |
Advances in Futures and Options Research, Vol. 4, pp. 219-236, 1990
Number of Pages in PDF File: 18
Fabozzi, Frank J.
EDHEC Business School
Hauser, Shmuel
Ben-Gurion University of the Negev - School of Management
Yaari, Uzi
Rutgers University
Posted:
04 Mar 08
Last Revised:
08 Oct 13
14
(371,454)
 

31.  
Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions | Show Abstract | Download This Paper |
JOURNAL OF FINANCE, 1977 September, XXXII(4), 1093-1099.
Number of Pages in PDF File: 8
Fabozzi, Frank J.
EDHEC Business School
Francis, Jack Clark
Zicklin School of Business
Posted:
31 Mar 15
Last Revised:
03 Apr 15
12
(380,555)
 

32.  
How Taxes Transform Corporate Acquisitions into Asset Arbitrage | Show Abstract | Download This Paper |
Research in Finance, v. 10, pp. 173-203,1992, JAI Press Inc., March 1992 (JAI Press Inc., ISBN 1-55938-424-7)
Number of Pages in PDF File: 31
Coyne, Christopher
Saint Joseph's University
Fabozzi, Frank J.
EDHEC Business School
Yaari, Uzi
Rutgers University
Posted:
12 Oct 13
12
(380,555)
 

33.  
Optimum Corporate Leverage with Risky Debt: A Demand Approach | Show Abstract | Download This Paper |
The Journal of Financial Research, Vol. 12, No. 2, pp. 129-142, Summer 1989
Number of Pages in PDF File: 14
Choi, Jongmoo Jay
Temple University - Department of Finance
Fabozzi, Frank J.
EDHEC Business School
Yaari, Uzi
Rutgers University
Posted:
19 Feb 08
Last Revised:
20 Apr 14
11
(385,133)
 

34.  
The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model | Show Abstract | Download This Paper |
Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 2, June 1979
Number of Pages in PDF File: 11
Francis, Jack Clark
Zicklin School of Business
Fabozzi, Frank J.
EDHEC Business School
Posted:
04 Apr 15
7
(402,306)
 

35.  
Valuation of Safe Harbor Tax Benefit Transfer Leases | Show Abstract | Download This Paper |
Journal of Finance, Vol. 38, No. 2, pp. 595-606, May 1983
Number of Pages in PDF File: 13
Fabozzi, Frank J.
EDHEC Business School
Yaari, Uzi
Rutgers University
Posted:
19 Feb 08
Last Revised:
08 Oct 13
5
(410,584)
 

36.  
Generalized Functional Form for Mutual Fund Returns | Show Abstract | Download This Paper |
JOURNAL OF FINANCIAL & QUANTITATIVE ANALYSIS, 1980 December, XV(5), pages 1107-1120
Number of Pages in PDF File: 15
Fabozzi, Frank J.
EDHEC Business School
Francis, Jack Clark
Zicklin School of Business
Lee, Cheng-Few
Rutgers, The State University of New Jersey - Rutgers University, New Brunswick/Piscataway
Posted:
01 Apr 15
Last Revised:
03 Apr 15
3
(419,192)
 

37.  
A Pricing Framework for Real Estate Derivatives | Show Abstract | Add to Cart |
European Financial Management, Vol. 18, Issue 5, pp. 762-789, 2012
Number of Pages in PDF File: 28
Fabozzi, Frank J.
EDHEC Business School
Shiller, Robert J.
Yale University - Cowles Foundation
Tunaru, Radu
University of Kent, Canterbury - Kent Business School
Posted:
20 Oct 12
3
(419,192)
2

38.  
How to Diversify the Tax-Sheltered Equity Fund | Show Abstract | Download This Paper |
Advanced in Investment Analysis and Portfolio Management, Vol. 1, pp. 117-125, 1991
Number of Pages in PDF File: 9
Fabozzi, Frank J.
EDHEC Business School
Choi, Jongmoo Jay
Temple University - Department of Finance
Yaari, Uzi
Rutgers University
Posted:
09 Mar 08
Last Revised:
20 Apr 14
3
(419,192)
 

39.  
Looking Beyond Credit Ratings: Factors Investors Consider in Pricing European Asset‐Backed Securities | Show Abstract | Add to Cart |
European Financial Management, Vol. 18, Issue 4, pp. 515-542, 2012
Number of Pages in PDF File: 28
Fabozzi, Frank J.
EDHEC Business School
Vink, Dennis
Nyenrode Business University
Posted:
23 Aug 12
2
(425,425)
3

40.  
A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions | Show Abstract | Add to Cart |
European Financial Management, Vol. 15, Issue 2, pp. 340-361, March 2009
Number of Pages in PDF File: 22
Sun, Wei
affiliation not provided to SSRN
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
27 Apr 09
2
(425,425)
 

41.  
Why IRA and Keogh Plans Should Avoid Growth Stocks | Show Abstract | Download This Paper |
The Journal of Financial Research, Vol. 8, No. 3, pp. 203-215, Fall 1985
Number of Pages in PDF File: 13
Yaari, Uzi
Rutgers University
Fabozzi, Frank J.
EDHEC Business School
Posted:
19 Feb 08
Last Revised:
08 Oct 13
2
(425,425)
 

42.  
Multi-Tail Generalized Elliptical Distributions for Asset Returns | Show Abstract | Add to Cart |
Econometrics Journal, Vol. 12, Issue 2, pp. 272-291, July 2009
Number of Pages in PDF File: 20
Kring, Sebastian
University of Karlsruhe
Rachev, Svetlozar
Stony Brook University
Höchstötter, Markus
affiliation not provided to SSRN
Fabozzi, Frank J.
EDHEC Business School
Bianchi, Michele Leonardo
Bank of Italy
Posted:
08 Oct 09
1
(434,317)
 

43.  
Vink, Dennis
Nyenrode Business University
Fabozzi, Frank J.
EDHEC Business School
Posted:
17 Jul 14
 

44.  
Fabozzi, Frank J.
EDHEC Business School
Vink, Dennis
Nyenrode Business University
Posted:
05 Oct 12
Last Revised:
08 Oct 12
 

45.  
Bayesian Inference for Hedge Funds with Stable Distribution of Returns | Show Abstract |
RETHINKING RISK MEASURING AND REPORTING, Vol. 2, Klaus Bocker, ed., Risk Books, 2010
Rachev, Svetlozar
Stony Brook University
Edelman, Daniel
Independent
Fabozzi, Frank J.
EDHEC Business School
Posted:
02 Jun 11
 

46.  
Fat-Tailed Models for Risk Estimation | Show Abstract |
Journal of Portfolio Management, Vol. 37, No. 2, 2011
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Racheva-Iotova, Boryana
affiliation not provided to SSRN
Fabozzi, Frank J.
EDHEC Business School
Posted:
26 Feb 11
 

47.  
Desirable Properties of an Ideal Risk Measure in Portfolio Theory | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 11, No. 1, pp. 19-54 , 2008
Rachev, Svetlozar
Stony Brook University
Ortobelli Lozza, Sergio
University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA)
Stoyanov, Stoyan
affiliation not provided to SSRN
Fabozzi, Frank J.
EDHEC Business School
Posted:
25 Apr 10
 

48.  
Barrier Option Pricing by Branching Processes | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1055-1073, 2009
Mitov, Georgi K.
Bulgarian Academy of Science
Rachev, Svetlozar
Stony Brook University
Kim, Young Shin
University of Karlsruhe
Fabozzi, Frank J.
EDHEC Business School
Posted:
21 Apr 10
 

49.  
Taxation of Capital Gains with Deferred Realization | Show Abstract |
National Tax Journal, Vol. 42, No. 4, pp. 475-485, December 1989
Coyne, Christopher
Saint Joseph's University
Fabozzi, Frank J.
EDHEC Business School
Yaari, Uzi
Rutgers University
Posted:
31 Jan 08
Last Revised:
16 Mar 08
 

50.  
Sector, Style, Region: Explaining Stock Allocation Performance | Show Abstract |
Financial Analysts Journal, Vol. 63, No. 3, pp. 59-70, 2007
Vardharaj, Raman
RS Investments
Fabozzi, Frank J.
EDHEC Business School
Posted:
11 Jun 07
 

51.  
The Structured Finance Market: An Investor's Perspective | Show Abstract |
Financial Analysts Journal, Vol. 61, No. 3, pp. 27-39, May/June 2005
Fabozzi, Frank J.
EDHEC Business School
Posted:
24 Jun 05
 


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