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Fabozzi, Frank J.


 SSRN Author Rank: 661 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
20,264
Total
Citations
36
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 |
Yale ICF Working Paper No. 07-06
Working Paper Series
Lucas, Douglas J.
UBS - CDO Research
Goodman, Laurie
Paine Webber
Fabozzi, Frank J.
EDHEC Business School
Posted:
02 Jul 07
7,365
(339)
4

2.  
Securitization: The Tool of Financial Transformation | Show Abstract | Download |
Yale ICF Working Paper No. 07-07
Working Paper Series
Fabozzi, Frank J.
EDHEC Business School
Kothari, Vinod
Indian Institute of Management (IIM), Kolkata
Posted:
28 Jun 07
7,119
(370)
6

3.  
Vink, Dennis
Nyenrode Business University
Fabozzi, Frank J.
EDHEC Business School
Posted:
12 Jul 09
Last Revised:
04 Oct 12
1,153
(8,966)
 

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
966
(11,865)
9

5.  
How do Conflicting Theories about Financial Markets Coexist? | Show Abstract | Download |
Yale ICF Working Paper No. 06-03
Working Paper Series
Phoa, Wesley
Capital Strategy Research
Focardi, Sergio
The Intertek Group
Fabozzi, Frank J.
EDHEC Business School
Posted:
12 Apr 06
761
(17,006)
 

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
486
(31,649)
4

7.  
Household Search Choice: Theory and Evidence | Show Abstract | Download |
Applied Economics, Forthcoming
Accepted Paper Series
Bonaparte, Yosef
University of British Columbia (UBC)
Fabozzi, Frank J.
EDHEC Business School
Posted:
13 Mar 06
Last Revised:
10 Apr 11
427
(37,442)
1

8.  
A Discretionary Wealth Approach to Investment Policy | Show Abstract | Download |
Yale ICF Working Paper No. 09-03
Working Paper Series
Wilcox, Jarrod
Wilcox Investment, Inc.
Fabozzi, Frank J.
EDHEC Business School
Posted:
11 Mar 09
381
(43,022)
1

9.  
Size, Value, and Momentum in Emerging Market Stock Returns | Show Abstract | Download |
Fordham University Schools of Business Research Paper No. 2070832
Working Paper Series
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
281
(61,663)
 

10.  
Computing VAR and AVaR in Infinitely Divisible Distributions | Show Abstract | Download |
Yale ICF Working Paper No. 09-07
Working Paper Series
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
237
(74,088)
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
212
(83,218)
 

12.  
Optimal Financial Portfolios | Show Abstract | Download |
Applied Mathematical Finance, Vol. 14, No. 5, 2007
Accepted Paper Series
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
22 Dec 10
182
(96,558)
3

13.  
Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies | Show Abstract | Download |
Journal of Alternative Investments, Vol. 11, No. 3, 2009
Accepted Paper Series
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
168
(103,904)
2

14.  
Arshanapalli, Bala
Indiana University Northwest - School of Business & Economics
Fabozzi, Frank J.
EDHEC Business School
Nelson, William
Indiana University Northwest
Posted:
24 Jul 11
94
(164,520)
 

15.  
Bonaparte, Yosef
University of British Columbia (UBC)
Fabozzi, Frank J.
EDHEC Business School
Posted:
18 Dec 09
Last Revised:
30 Jul 13
86
(174,339)
 

16.  
Stochastic Models for Risk Estimation in Volatile Markets: A Survey | Show Abstract | Download |
Annals of Operation Research, Vol. 176, No. 1, 2010
Accepted Paper Series
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
61
(212,107)
 

17.  
Is Food Consumption a Good Proxy for Nondurable Consumption? | Show Abstract | Download |
Economics Letters, Vol. 111, 2011
Accepted Paper Series
Bonaparte, Yosef
University of British Columbia (UBC)
Fabozzi, Frank J.
EDHEC Business School
Posted:
26 Oct 10
Last Revised:
02 Dec 13
51
(231,248)
 

18.  
Technical Review Panel for the Pension Insurance Modeling System (PIMS) | Show Abstract | Download |
Michigan Retirement Research Center Research Paper No. 2013-290, Simon School Working Paper No. FR 13-32
Working Paper Series
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
41
(253,192)
 

19.  
Probability Metrics Applied to Problems in Portfolio Theory | Show Abstract | Download |
Journal of Statistical Theory and Practice, Vol. 2, No. 2, pp. 253-277, 2008
Accepted Paper Series
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
23 Dec 10
41
(253,192)
 

20.  
Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View | Show Abstract | Download |
Bank of Italy Temi di Discussione (Working Paper) No. 912
Working Paper Series
Bianchi, Michele Leonardo
Bank of Italy
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
21 Jun 13
39
(257,973)
 

21.  
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models | Show Abstract | Download |
Bank of Italy Temi di Discussione (Working Paper) No. 944
Working Paper Series
Bianchi, Michele Leonardo
Bank of Italy
Fabozzi, Frank J.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
25 Mar 14
22
(311,680)
 

22.  
Measuring and Explaining Pension System Risk | Show Abstract | Download |
Pension Research Council Working Paper, PRC WP2013-15
Working Paper Series
Fabozzi, Frank J.
EDHEC Business School
Posted:
09 Oct 13
20
(320,018)
 

23.  
Zhou, Xiaoping
Citizens Financial Group
Malioutov, Dmitry
IBM Research
Fabozzi, Frank J.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
11 May 14
15
(340,629)
 

24.  
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
14
(344,998)
 

25.  
How Taxes Transform Corporate Acquisitions into Asset Arbitrage | Show Abstract | Download |
Research in Finance, v. 10, pp. 173-203,1992, JAI Press Inc., March 1992 (JAI Press Inc., ISBN 1-55938-424-7)
Accepted Paper Series
Coyne, Christopher
Saint Joseph's University
Fabozzi, Frank J.
EDHEC Business School
Yaari, Uzi
Rutgers University
Posted:
12 Oct 13
9
(366,232)
 

26.  
Early Exercise of Foreign Currency Options: Determinants of American Premium and the Critical Exchange Rate | Show Abstract | Download |
Advances in Futures and Options Research, Vol. 4, pp. 219-236, 1990
Accepted Paper Series
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
9
(366,232)
 

27.  
Optimum Corporate Leverage with Risky Debt: A Demand Approach | Show Abstract | Download |
The Journal of Financial Research, Vol. 12, No. 2, pp. 129-142, Summer 1989
Accepted Paper Series
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
9
(366,232)
 

28.  
Valuation of Safe Harbor Tax Benefit Transfer Leases | Show Abstract | Download |
Journal of Finance, Vol. 38, No. 2, pp. 595-606, May 1983
Accepted Paper Series
Fabozzi, Frank J.
EDHEC Business School
Yaari, Uzi
Rutgers University
Posted:
19 Feb 08
Last Revised:
08 Oct 13
4
(386,551)
 

29.  
A Pricing Framework for Real Estate Derivatives | Show Abstract | Download |
European Financial Management, Vol. 18, Issue 5, pp. 762-789, 2012
Accepted Paper Series
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
2
(397,096)
2

30.  
Looking Beyond Credit Ratings: Factors Investors Consider in Pricing European Asset‐Backed Securities | Show Abstract | Download |
European Financial Management, Vol. 18, Issue 4, pp. 515-542, 2012
Accepted Paper Series
Fabozzi, Frank J.
EDHEC Business School
Vink, Dennis
Nyenrode Business University
Posted:
23 Aug 12
2
(397,096)
3

31.  
A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions | Show Abstract | Download |
European Financial Management, Vol. 15, Issue 2, pp. 340-361, March 2009
Accepted Paper Series
Sun, Wei
affiliation not provided to SSRN
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
27 Apr 09
2
(397,096)
 

32.  
How to Diversify the Tax-Sheltered Equity Fund | Show Abstract | Download |
Advanced in Investment Analysis and Portfolio Management, Vol. 1, pp. 117-125, 1991
Accepted Paper Series
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
2
(397,096)
 

33.  
Multi-Tail Generalized Elliptical Distributions for Asset Returns | Show Abstract | Download |
Econometrics Journal, Vol. 12, Issue 2, pp. 272-291, July 2009
Accepted Paper Series
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
(405,973)
 

34.  
Why IRA and Keogh Plans Should Avoid Growth Stocks | Show Abstract | Download |
The Journal of Financial Research, Vol. 8, No. 3, pp. 203-215, Fall 1985
Accepted Paper Series
Yaari, Uzi
Rutgers University
Fabozzi, Frank J.
EDHEC Business School
Posted:
19 Feb 08
Last Revised:
08 Oct 13
1
(405,973)
 

35.  
Zhou, Xiaoping
Citizens Financial Group
Durfee, Antonina
Citizens Financial Group
Fabozzi, Frank J.
EDHEC Business School
Posted:
30 Aug 14
1
 

36.  
Vink, Dennis
Nyenrode Business University
Fabozzi, Frank J.
EDHEC Business School
Posted:
17 Jul 14
 

37.  
Fabozzi, Frank J.
EDHEC Business School
Vink, Dennis
Nyenrode Business University
Posted:
05 Oct 12
Last Revised:
08 Oct 12
 

38.  
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
Accepted Paper Series
Güner, Biliana
Rachev, Svetlozar
Stony Brook University
Edelman, Daniel
Alternative Investment Solutions
Fabozzi, Frank J.
EDHEC Business School
Posted:
02 Jun 11
 

39.  
Fat-Tailed Models for Risk Estimation | Show Abstract |
Journal of Portfolio Management, Vol. 37, No. 2, 2011
Accepted Paper Series
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
 

40.  
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
Accepted Paper Series
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
 

41.  
Barrier Option Pricing by Branching Processes | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1055-1073, 2009
Accepted Paper Series
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
 

42.  
Taxation of Capital Gains with Deferred Realization | Show Abstract |
National Tax Journal, Vol. 42, No. 4, pp. 475-485, December 1989
Accepted Paper Series
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
 

43.  
Sector, Style, Region: Explaining Stock Allocation Performance | Show Abstract |
Financial Analysts Journal, Vol. 63, No. 3, pp. 59-70, 2007
Accepted Paper Series
Vardharaj, Raman
RS Investments
Fabozzi, Frank J.
EDHEC Business School
Posted:
11 Jun 07
 

44.  
The Structured Finance Market: An Investor's Perspective | Show Abstract |
Financial Analysts Journal, Vol. 61, No. 3, pp. 27-39, May/June 2005
Accepted Paper Series
Fabozzi, Frank J.
EDHEC Business School
Posted:
24 Jun 05
 


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