Frank J. Fabozzi

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

  • Johns Hopkins University - Carey Business School

SCHOLARLY PAPERS

89

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173

Scholarly Papers (89)

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1.

Securitization: The Tool of Financial Transformation

Yale ICF Working Paper No. 07-07
Number of pages: 14 Posted: 28 Jun 2007
Frank J. Fabozzi and Vinod Kothari
Johns Hopkins University - Carey Business School and Indian Institute of Management (IIM), Kolkata
Downloads 10,012 (1,156)

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Integrating Capital Markets, Mortgages, Leverage, Financial Transformations

2.

Collateralized Debt Obligations and Credit Risk Transfer

Yale ICF Working Paper No. 07-06
Number of pages: 14 Posted: 02 Jul 2007
Douglas Lucas, Laurie S. Goodman and Frank J. Fabozzi
Independent, The Urban Institute - Housing Finance Policy Center and Johns Hopkins University - Carey Business School
Downloads 9,480 (1,262)

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Credit Risk, Capital Markets, Collateralized Debt, Liquidity Assets

3.

A Conceptual Framework for Fintech Innovation

Number of pages: 14 Posted: 25 Mar 2020
Michael B. Imerman and Frank J. Fabozzi
University of California, Irvine - Paul Merage School of Business and Johns Hopkins University - Carey Business School
Downloads 2,075 (15,550)
Citation 2

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FinTech, Digital Transformation, FinTech Ecosystem, Financial Innovation, Technological Innovation, FinTech Revolution

4.

Who Needs a Newtonian Finance?

Journalof Portfolio Management, Vol. 44, No. 1, 2017
Number of pages: 5 Posted: 18 Jan 2018 Last Revised: 19 Jan 2018
Marcos Lopez de Prado, Marcos Lopez de Prado and Frank J. Fabozzi
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Johns Hopkins University - Carey Business School
Downloads 1,730 (20,748)

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Financial Mathematics, Calculus, Machine Learning, Graph Theory, Supercomputing, Big Data

5.

Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings

Yale ICF Working Paper No. 09-13
Number of pages: 36 Posted: 12 Jul 2009 Last Revised: 04 Oct 2012
Dennis Vink and Frank J. Fabozzi
Nyenrode Business University and Johns Hopkins University - Carey Business School
Downloads 1,600 (23,345)

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asset-backed securities (ABS), credit ratings, collateral, default risk, securitization, securitisation

6.

Catching the FoMO Fever: A Look at Fear in Finance

Number of pages: 43 Posted: 08 Dec 2021 Last Revised: 15 Jan 2024
Yosef Bonaparte and Frank J. Fabozzi
University of Colorado at Denver - Department of Finance and Johns Hopkins University - Carey Business School
Downloads 1,438 (27,423)
Citation 1

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fear of missing out; panic buying; minorities’ investment; fear of missing out; short squeeze; behavioral finance

7.

New Evidence on the Market Impact of Convertible Bond Issues in the U.S.

Number of pages: 45 Posted: 14 May 2004
Bala Arshanapalli, Lorne Switzer, Frank J. Fabozzi and Guillaume Gosselin
Indiana University Northwest - School of Business & Economics, Concordia University, Quebec, Johns Hopkins University - Carey Business School and Concordia University
Downloads 1,328 (30,874)
Citation 16

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8.

How Do Conflicting Theories About Financial Markets Coexist?

Yale ICF Working Paper No. 06-03
Number of pages: 41 Posted: 12 Apr 2006
Wesley Phoa, Sergio Focardi and Frank J. Fabozzi
Capital Strategy Research, The Intertek Group and Johns Hopkins University - Carey Business School
Downloads 894 (54,179)

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9.

Equity Valuation Science, Art, or Craft?

CFA Institute Research Foundation Publications, December 2017, Volume 2017, Issue 4
Number of pages: 138 Posted: 16 Oct 2018
Frank J. Fabozzi, Sergio M. Focardi and Caroline Jonas
Johns Hopkins University - Carey Business School, Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV) and Intertek Group France
Downloads 835 (59,468)
Citation 2

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10.

Size, Value, and Momentum in Emerging Market Stock Returns

Fordham University Schools of Business Research Paper No. 2070832
Number of pages: 40 Posted: 30 May 2012 Last Revised: 11 Sep 2012
Nusret Cakici, Frank J. Fabozzi and Sinan Tan
Fordham university, Johns Hopkins University - Carey Business School and Fordham University - Gabelli School of Business
Downloads 830 (59,986)
Citation 14

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11.

Property Derivatives for Managing European Real-Estate Risk

Yale ICF Working Paper No. 09-17
Number of pages: 37 Posted: 15 Aug 2009
Frank J. Fabozzi, Robert J. Shiller and Radu Tunaru
Johns Hopkins University - Carey Business School, Yale University - Cowles Foundation and University of Sussex
Downloads 801 (62,978)

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real-estate markets, property derivatives, balance guaranteed swaps

12.

Intricacies of Implementing Derivatives: Insights from Asset Management Experts, Part 1

Number of pages: 47 Posted: 15 Apr 2024
Frank J. Fabozzi
Johns Hopkins University - Carey Business School
Downloads 772 (66,068)

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derivatives, hedging, top-down asset allocation, cash equitization strategy, liquidity management, foreign currency risk

13.

What Difference Do New Factor Models Make in Portfolio Allocation?

Number of pages: 48 Posted: 22 Mar 2016 Last Revised: 21 Nov 2023
Frank J. Fabozzi, Dashan Huang, Fuwei Jiang and Jiexun Wang
Johns Hopkins University - Carey Business School, Singapore Management University - Lee Kong Chian School of Business, Xiamen University and Independent
Downloads 752 (68,362)
Citation 4

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Portfolio allocation, Mean-variance analysis, Factor model, Asset pricing

14.

Optimal Financial Portfolios

Applied Mathematical Finance, Vol. 14, No. 5, 2007
Number of pages: 36 Posted: 22 Dec 2010
Stoyan V. Stoyanov, Svetlozar Rachev and Frank J. Fabozzi
Charles Schwab, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 521 (108,949)
Citation 6

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mean-variance analysis, Sharpe ratio, STARR ratio, Rachev ratio, Conditional value-at-risk, efficient frontier

15.

Household Search Choice: Theory and Evidence

Applied Economics, Forthcoming
Number of pages: 40 Posted: 13 Mar 2006 Last Revised: 10 Apr 2011
Yosef Bonaparte and Frank J. Fabozzi
University of Colorado at Denver - Department of Finance and Johns Hopkins University - Carey Business School
Downloads 508 (112,369)

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Investment decisions, financial behavior, search and risk behavior, econometrics, sample selection

16.

Investment Management: A Science to Teach or an Art to Learn

CFA Institute Research Foundation Monograph
Number of pages: 126 Posted: 01 Mar 2015
Frank J. Fabozzi, Sergio Focardi and Caroline Jonas
Johns Hopkins University - Carey Business School, The Intertek Group and CFA Institute Research Foundation
Downloads 496 (115,630)
Citation 1

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market crash, finance, theory, teaching finance

17.

Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model

Number of pages: 11 Posted: 18 Mar 2012
Nima Nooshi, Young Shin Kim, Svetlozar Rachev and Frank J. Fabozzi
Karlsruhe Institute of Technology, University of Karlsruhe, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 414 (143,239)
Citation 1

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Fat-tailed distribution, ARMA-GARCH, VaR. Backtesting, Marginal VaR, Risk Budgeting, Portfolio Optimization

18.

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach

Number of pages: 30 Posted: 02 Mar 2020
Svetlozar T. Rachev, Stoyan V. Stoyanov, Stefan Mittnik, Frank J. Fabozzi and Abootaleb Shirvani
Texas Tech University, Charles Schwab, Ludwig Maximilian University of Munich (LMU), Johns Hopkins University - Carey Business School and Kean University
Downloads 390 (153,254)

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Behavioral Finance, Rational Finance

19.

Computing VAR and AVaR in Infinitely Divisible Distributions

Yale ICF Working Paper No. 09-07
Number of pages: 37 Posted: 08 May 2009
Young Shin Kim, Svetlozar Rachev, Michele Leonardo Bianchi and Frank J. Fabozzi
University of Karlsruhe, Texas Tech University, Bank of Italy and Johns Hopkins University - Carey Business School
Downloads 386 (154,985)
Citation 15

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tempered stable distribution, infinitely divisible distribution, value-at-risk, conditional value-at-risk, average value-at-risk

20.

Investment Management after the Global Financial Crisis

CFA Institute Research Foundation M2010-1
Number of pages: 156 Posted: 08 Mar 2015
Frank J. Fabozzi, Sergio Focardi and Caroline Jonas
Johns Hopkins University - Carey Business School, The Intertek Group and CFA Institute Research Foundation
Downloads 381 (157,255)

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global financial crisis, investment, investment management

21.

Asymptotic Properties of ReLU FFN Sieve Estimators

Number of pages: 62 Posted: 27 Dec 2019 Last Revised: 12 Aug 2024
Frank J. Fabozzi, Hasan Fallahgoul, Hasan Fallahgoul, Vincentius Franstianto and Gregoire Loeper
Johns Hopkins University - Carey Business School, Monash UniversityMonash University, Monash University and BNP Paribas
Downloads 368 (163,427)
Citation 2

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Deep Learning, Neural Networks, Sieve Estimators, Consistency JEL classification: C1, C5

22.

Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions

JOURNAL OF FINANCE, 1977 September, XXXII(4), 1093-1099.
Number of pages: 8 Posted: 31 Mar 2015 Last Revised: 12 Apr 2019
Frank J. Fabozzi and Jack Clark Francis
Johns Hopkins University - Carey Business School and Zicklin School of Business, Baruch College
Downloads 340 (178,308)
Citation 13

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single-index market model, alpha, beta, bull and bear markets, binary variables

23.

Incorporating Financial News for Forecasting Bitcoin Prices Based on Long Short-Term Memory Networks

Taylor & Francis, Quantitative Finance
Number of pages: 36 Posted: 02 Dec 2020 Last Revised: 24 Aug 2022
Johannes Jakubik, Abdolreza Nazemi, Andreas Geyer-Schulz and Frank J. Fabozzi
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology, Karlsruhe Institute of Technology and Johns Hopkins University - Carey Business School
Downloads 338 (179,449)

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Bitcoin price forecasting, sentiment analysis, deep learning, financial news, Bitcoin trading

24.

Active Loan Trading

Number of pages: 59 Posted: 07 Jul 2017 Last Revised: 24 Dec 2019
Frank J. Fabozzi, Sven Klingler, Pia Mølgaard and Mads Stenbo Nielsen
Johns Hopkins University - Carey Business School, BI Norwegian Business School, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 337 (179,995)
Citation 12

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Active management, Collateralized loan obligations (CLOs), Market efficiency, Structured finance, Syndicated loans

25.

Beta as a Random Coefficient

Journal of Financial and Quantitative Analysis (JFQA), March 1978, pages 101-115
Number of pages: 17 Posted: 31 Mar 2015 Last Revised: 12 Apr 2019
Frank J. Fabozzi and Jack Clark Francis
Johns Hopkins University - Carey Business School and Zicklin School of Business, Baruch College
Downloads 304 (200,903)
Citation 7

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Beta, random coefficient, point estimate

26.

Modeling the Time-Varying Risk Premium Using a Mixed GARCH and Jump Diffusion Model

Number of pages: 26 Posted: 24 Jul 2011
Bala Arshanapalli, Frank J. Fabozzi and William Nelson
Indiana University Northwest - School of Business & Economics, Johns Hopkins University - Carey Business School and Indiana University Northwest
Downloads 259 (236,767)
Citation 1

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27.

Reconciling Behavioral Finance and Rational Finance

Number of pages: 38 Posted: 06 Apr 2020
Abootaleb Shirvani, Frank J. Fabozzi and Borjana Racheva-Iotova
Kean University, Johns Hopkins University - Carey Business School and FactSet Company
Downloads 258 (237,734)
Citation 1

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Rational Dynamic Asset Pricing Theory, Behavioral Finance, Prospect Theory Value Function, Probability Weighting Function, Mixed Subordinated Variance Gamma Process

28.

Research Foundation Year in Review -- 2014

CFA Institute Research Foundation R2015
Number of pages: 84 Posted: 11 Jun 2015
CFA Institute Research Foundation Submitter, Richard Sandor, Nathan Clarke, Murali Kanakasabai, Rafael Marques, Frank J. Fabozzi, Sergio Focardi, Caroline Jonas, Sunit Shah, Marianne M. Jennings, Laurence B. Siegel, Scott Stewart, Sebastien Page, Vasant Naik, Adeel Malik, Usman Hayat, John T. Grier, Bud Haslett and David Adler
CFA Institute Research Foundation, Environmental Financial Products, LLC, Environmental Financial Products, LLC, Environmental Financial Products, LLC, Environmental Financial Products, LLC, Johns Hopkins University - Carey Business School, The Intertek Group, CFA Institute Research Foundation, CFA Institute Research Foundation, Arizona State University, CFA Institute Research Foundation, Boston University - Questrom School of Business, Pimco, PIMCO, University of Oxford, CFA Institute, Government of the Commonwealth of Virginia, CFA Institute Research Foundation and CFA Institute
Downloads 228 (268,331)

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environment markets, liquidity, financial frictions, fiduciary duties, Islamic finance, DB, defined benefits, manager selection, principal-agent, principal, agent

29.

Equity Premium Puzzle or Faulty Economic Modelling?

Number of pages: 13 Posted: 04 Mar 2020
Abootaleb Shirvani, Stoyan V. Stoyanov, Frank J. Fabozzi and Svetlozar T. Rachev
Kean University, Charles Schwab, Johns Hopkins University - Carey Business School and Texas Tech University
Downloads 214 (285,037)
Citation 2

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Rational Finance, Equity Premium Puzzle, Normal compound inverse Gaussian distribution

30.

Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination

JOURNAL OF FINANCE, 1979 December, XXXIV (5), pages 1243-1250.
Number of pages: 9 Posted: 30 Mar 2015 Last Revised: 12 Apr 2019
Frank J. Fabozzi and Jack Clark Francis
Johns Hopkins University - Carey Business School and Zicklin School of Business, Baruch College
Downloads 214 (285,037)
Citation 1

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Single-index market model, mutual funds, binary variables, bull and bear markets, beta

31.

Bayesian Estimation of Truncated Data with Applications to Operational Risk Measurement

Quantitative Finance, November 2012
Number of pages: 39 Posted: 12 May 2014 Last Revised: 13 May 2014
Xiaoping Zhou, Rosella Giacometti, Frank J. Fabozzi and Ann Tucker
Citizens Financial Group, University of Bergamo - Department of Management, Johns Hopkins University - Carey Business School and State University of New York (SUNY) - Department of Applied Mathematics and Statistics
Downloads 212 (287,573)

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Bayesian estimation, Operational risk, Truncated data, Jeffreys’ prior

32.

Technical Review Panel for the Pension Insurance Modeling System (PIMS)

Michigan Retirement Research Center Research Paper No. 2013-290, Simon School Working Paper No. FR 13-32
Number of pages: 265 Posted: 11 Jan 2014
Olivia S. Mitchell, Christopher Geczy, Robert Novy-Marx, Raimond Maurer, Donald E. Fuerst, Christopher Bone, Donald Segal, Martin G. Clarke, Frank J. Fabozzi, Deborah Lucas and David F. Babbel
, University of Pennsylvania - The Wharton School, Finance Department, Simon Business School, University of Rochester, Goethe University Frankfurt - Finance Department, Mercer Human Resource Consulting, Independent, Independent, Independent, Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 192 (315,138)
Citation 1

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pensions, insurance

33.

Quantile-Based Inference for Tempered Stable Distributions

Number of pages: 25 Posted: 20 Jun 2015 Last Revised: 12 Jul 2016
Hasan Fallahgoul, Hasan Fallahgoul, David Veredas and Frank J. Fabozzi
Monash UniversityMonash University, Vlerick Business School and Johns Hopkins University - Carey Business School
Downloads 184 (327,574)
Citation 2

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heavy tailed distribution, tempered stable distribution, method of simulated quantiles

34.

Stochastic Models for Risk Estimation in Volatile Markets: A Survey

Annals of Operation Research, Vol. 176, No. 1, 2010
Number of pages: 22 Posted: 24 Dec 2010
Stoyan V. Stoyanov, Svetlozar Rachev, Boryana Racheva-Iotova and Frank J. Fabozzi
Charles Schwab, Texas Tech University, affiliation not provided to SSRN and Johns Hopkins University - Carey Business School
Downloads 164 (362,374)
Citation 2

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Fat-Tailed Distributions, Stable Distributions, Downside Risk, Average Value-at-Risk, Conditional Value-at-Risk, Risk Budgeting

35.

Savings Selectivity Bias, Subjective Expectations, and Stock Market Participation

Applied Financial Economics, Forthcoming
Number of pages: 32 Posted: 18 Dec 2009 Last Revised: 30 Jul 2013
Yosef Bonaparte and Frank J. Fabozzi
University of Colorado at Denver - Department of Finance and Johns Hopkins University - Carey Business School
Downloads 159 (371,929)

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Stock market participation, rational expectation, income shock, search behavior, saving behavior, sample selection

36.

Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes

Number of pages: 15 Posted: 31 Jul 2019
Erdin Akyildirim, Frank J. Fabozzi, Ahmet Goncu and Ahmet Sensoy
University of Zurich, Johns Hopkins University - Carey Business School, Xi'an Jiaotong University (XJTU) and Borsa Istanbul
Downloads 157 (375,827)

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Statistical arbitrage, Jump-diffusion model, Compound Poisson process, Monte Carlo simulation

37.

Research Foundation Review 2017

CFA Institute Research Foundation Review 2017, University of Hong Kong Faculty of Law Research Paper No. 2019/109
Number of pages: 83 Posted: 08 Nov 2019 Last Revised: 16 Aug 2020
Jeffery V. Bailey, Thomas M. Richards, Frank J. Fabozzi, Sergio M. Focardi, Caroline Jonas, Laurence B. Siegel, Robert C. Pozen, Suresh Nallareddy, Shivaram Rajgopal, John E. Grable, Douglas W. Arner, Janos Nathan Barberis, Ross P. Buckley, Greg B Davies, Angel Wu and Clarke Pitts
CFA Institute, CFA Institute, Johns Hopkins University - Carey Business School, Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV), CFA Institute Research Foundation, CFA Institute Research Foundation, Independent, University of Washington - Foster School of Business, Columbia University - Columbia Business School, Accounting, Business Law & Taxation, Texas Tech University - College of Human Sciences, The University of Hong Kong, The University of Hong Kong - Faculty of Law, University of New South Wales (UNSW) - UNSW Law & Justice, University of Oxford - Said Business School, Independent and Independent
Downloads 139 (414,935)

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38.

Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View

Bank of Italy Temi di Discussione (Working Paper) No. 912
Number of pages: 52 Posted: 21 Jun 2013
Michele Leonardo Bianchi, Svetlozar Rachev and Frank J. Fabozzi
Bank of Italy, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 130 (437,334)
Citation 18

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Ornstein-Uhlenbeck processes, tempered stable distributions, tempered infinitely divisible distributions, integrated processes, acceptance-rejection sampling, maximum likelihood estimation

39.

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Bank of Italy Temi di Discussione (Working Paper) No. 944
Number of pages: 54 Posted: 25 Mar 2014
Michele Leonardo Bianchi, Frank J. Fabozzi and Svetlozar Rachev
Bank of Italy, Johns Hopkins University - Carey Business School and Texas Tech University
Downloads 123 (456,283)
Citation 43

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volatility smile, option pricing, non-Gaussian Ornstein-Uhlenbeck processes, Lévy processes, tempered stable processes and distributions, stochastic volatility models, time-changed Lévy processes, GARCH model, filtered historical simulation, particle filter

40.

A New Set of Financial Instruments

Number of pages: 20 Posted: 26 Nov 2019
Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. Fabozzi
Kean University, Charles Schwab, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 122 (459,236)
Citation 3

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option pricing, hedging, Merton's jump diffusion model, stochastic volatility model, tail-loss ratio risk measure

41.

Smooth Monotone Covariance for Elliptical Distributions and Applications in Finance

Number of pages: 38 Posted: 11 May 2014
Xiaoping Zhou, Dmitry Malioutov, Frank J. Fabozzi and Svetlozar Rachev
Citizens Financial Group, IBM Research, Johns Hopkins University - Carey Business School and Texas Tech University
Downloads 120 (465,018)
Citation 1

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Smooth monotone covariance, Regularization, Elliptical distributions

42.

Probability Metrics Applied to Problems in Portfolio Theory

Journal of Statistical Theory and Practice, Vol. 2, No. 2, pp. 253-277, 2008
Number of pages: 40 Posted: 23 Dec 2010
Stoyan V. Stoyanov, Svetlozar Rachev and Frank J. Fabozzi
Charles Schwab, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 119 (468,001)

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Probability Metrics, Stochastic Dominance, Dispersion Measure, Deviation Measure, Risk Measure, Benchmark-Tracking

43.

Is Food Consumption a Good Proxy for Nondurable Consumption?

Economics Letters, Vol. 111, 2011
Number of pages: 12 Posted: 26 Oct 2010 Last Revised: 24 Mar 2016
Yosef Bonaparte and Frank J. Fabozzi
University of Colorado at Denver - Department of Finance and Johns Hopkins University - Carey Business School
Downloads 117 (474,121)

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consumption growth, food consumption, separability

44.

Reconciling Circularity and Growth: The Model of Qualitative Economic Growth

Number of pages: 32 Posted: 09 May 2023
Sergio Focardi and Frank J. Fabozzi
University of Genoa and Johns Hopkins University - Carey Business School
Downloads 116 (477,260)

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Circular economy; Qualitative growth; Economic complexity; Sustainability; Decoupling of economic growth from the use of natural resources

45.

Early Exercise of Foreign Currency Options: Determinants of American Premium and the Critical Exchange Rate

Advances in Futures and Options Research, Vol. 4, pp. 219-236, 1990
Number of pages: 18 Posted: 04 Mar 2008 Last Revised: 08 Oct 2013
Frank J. Fabozzi, Shmuel Hauser and Uzi Yaari
Johns Hopkins University - Carey Business School, Ben-Gurion University of the Negev - School of Management and Rutgers University
Downloads 113 (489,861)

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foreign exchange option models, currency options, gainful early exercise, profit opportunities, exchange rate, international interest rates, international lending, trade financing

46.

Multiple Subordinated Modeling of Asset Returns: Implications for Option Pricing

Number of pages: 36 Posted: 09 Apr 2020
Abootaleb Shirvani, Svetlozar T. Rachev and Frank J. Fabozzi
Kean University, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 111 (493,073)

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Behavioral finance; dynamic asset pricing models; Levy-stable distribution; normal compound inverse Gaussian distribution; variance-gamma-gamma distribution

47.

The Legacy of Stephen A. Ross

The Journal of Portfolio Management, Special Issue Dedicated to Stephen A. Ross, June 2018
Number of pages: 10 Posted: 13 Mar 2019
Frank J. Fabozzi, Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Johns Hopkins University - Carey Business School, Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 111 (493,073)

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arbitrage pricing theory, agency theory, binomial pricing model, economic theory, empirical research, equilibrium theory, factors, factor models, term structure of interest rates, finance education, financial economics, financial research, recovery theorem, risk-neutral pricing, Stephen Ross

48.

Option Pricing in an Investment Risk-Return Setting

Number of pages: 25 Posted: 01 Aug 2019
Young Shin Kim, Stoyan V. Stoyanov, Svetlozar Rachev and Frank J. Fabozzi
College of Business, Stony Brook University, Charles Schwab, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 108 (503,092)

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option pricing; mean-variance portfolio; binomial pricing trees; stochastic continuous diffusions

49.

Measuring and Explaining Pension System Risk

Pension Research Council Working Paper, PRC WP2013-15
Number of pages: 23 Posted: 09 Oct 2013
Frank J. Fabozzi
Johns Hopkins University - Carey Business School
Downloads 108 (503,092)
Citation 1

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50.

Quantifying Sentiment with Google Trends in the Housing Market

Number of pages: 40 Posted: 13 Feb 2024
Abdolreza Nazemi, Seyedmostafa Zamanishandiz, Frank J. Fabozzi and Andreas Geyer-Schulz
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology, Johns Hopkins University - Carey Business School and Karlsruhe Institute of Technology
Downloads 104 (517,165)

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51.

Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance Securities

Number of pages: 18 Posted: 24 May 2015
Frank J. Fabozzi, Mike Nawas and Dennis Vink
Johns Hopkins University - Carey Business School, Nyenrode Business University and Nyenrode Business University
Downloads 96 (545,969)

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Credit ratings, regulation, mortgage-backed securities

52.

The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model

Journal of Financial and Quantitative Analysis (JFQA), Vol. XIV, No. 2, June 1979
Number of pages: 11 Posted: 04 Apr 2015
Jack Clark Francis and Frank J. Fabozzi
Zicklin School of Business, Baruch College and Johns Hopkins University - Carey Business School
Downloads 88 (576,632)
Citation 1

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Single index market model, alpha, beta, bull market, bear market

53.

Risk Estimation for GARCH Processes with Heavy-Tailed Innovations

Number of pages: 56 Posted: 18 Jan 2019
Silke Prohl, Georgi K. Mitov, Svetlozar Rachev, Frank J. Fabozzi and Aaron Kim
Princeton University, Bulgarian Academy of Science, Texas Tech University, Johns Hopkins University - Carey Business School and affiliation not provided to SSRN
Downloads 85 (588,859)

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54.

Valuation of Safe Harbor Tax Benefit Transfer Leases

Journal of Finance, Vol. 38, No. 2, pp. 595-606, May 1983
Number of pages: 13 Posted: 19 Feb 2008 Last Revised: 08 Oct 2013
Frank J. Fabozzi and Uzi Yaari
Johns Hopkins University - Carey Business School and Rutgers University
Downloads 81 (605,819)

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financial leases, lease valuation, corporate taxation

55.

Environmental Indices in Global Markets: Innovating Financial Tools for Sustainable Investments

Number of pages: 38 Posted: 16 Jan 2024
Thisari K. Mahanama, Abootaleb Shirvani, Svetlozar T. Rachev and Frank J. Fabozzi
Texas Tech University - Department of Mathematics and Statistics, Kean University, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 80 (610,291)

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global dollar environmental financial index; dollar environmental financial index; environmental, social, and governance factors; green gross domestic product; environmental sustainability index; portfolio theory

56.

How Taxes Transform Corporate Acquisitions into Asset Arbitrage

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: 31 Posted: 12 Oct 2013
Christopher Coyne, Frank J. Fabozzi and Uzi Yaari
Saint Joseph's University, Johns Hopkins University - Carey Business School and Rutgers University
Downloads 79 (614,697)

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Mergers & Acquisitions, Tax Evasion, Monopolization

57.

Intensified Competition and the Impact on Credit Ratings in the RMBS Market

ECB Working Paper No. 2022/2691
Number of pages: 53 Posted: 30 Jul 2022
Vivian M. van Breemen, Frank J. Fabozzi and Dennis Vink
European Central Bank (ECB), Johns Hopkins University - Carey Business School and Nyenrode Business University
Downloads 73 (641,774)

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competitive pressure, credit rating agencies, rating quality

58.

Optimum Corporate Leverage with Risky Debt: A Demand Approach

The Journal of Financial Research, Vol. 12, No. 2, pp. 129-142, Summer 1989
Number of pages: 14 Posted: 19 Feb 2008 Last Revised: 20 Apr 2014
Jongmoo Jay Choi, Frank J. Fabozzi and Uzi Yaari
Temple University, Johns Hopkins University - Carey Business School and Rutgers University
Downloads 73 (641,774)

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optimal capital structure, static theory of capital structure

59.

Generalized Functional Form for Mutual Fund Returns

JOURNAL OF FINANCIAL & QUANTITATIVE ANALYSIS, 1980 December, XV(5), pages 1107-1120
Number of pages: 15 Posted: 01 Apr 2015 Last Revised: 12 Apr 2019
Frank J. Fabozzi, Jack Clark Francis and Cheng-Few Lee
Johns Hopkins University - Carey Business School, Zicklin School of Business, Baruch College and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 68 (665,888)

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Jensen portfolio performance measure, return-generating model

60.

How to Diversify the Tax-Sheltered Equity Fund

Advanced in Investment Analysis and Portfolio Management, Vol. 1, pp. 117-125, 1991
Number of pages: 9 Posted: 09 Mar 2008 Last Revised: 20 Apr 2014
Frank J. Fabozzi, Jongmoo Jay Choi and Uzi Yaari
Johns Hopkins University - Carey Business School, Temple University and Rutgers University
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tax-sheltered equity portfolio, tax-sheltered diversification, open-end investment fund

61.

Why IRA and Keogh Plans Should Avoid Growth Stocks

The Journal of Financial Research, Vol. 8, No. 3, pp. 203-215, Fall 1985
Number of pages: 13 Posted: 19 Feb 2008 Last Revised: 08 Oct 2013
Uzi Yaari and Frank J. Fabozzi
Rutgers University and Johns Hopkins University - Carey Business School
Downloads 61 (702,560)

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investment for retirement, pansion plan, tax-sheltered stock portfolio, growth vs. income stocks

62.

Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets

Number of pages: 19 Posted: 04 Nov 2024 Last Revised: 05 Nov 2024
Ayush Jha, Abootaleb Shirvani, Svetlozar T. Rachev and Frank J. Fabozzi
Texas Tech University, Kean University, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 56 (730,881)

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Asset Pricing, Volatility, Long Memory, Uncertainty Shocks, Financial Market Modeling

63.

Competitiveness as a Market Driver: Exploring Its Ripple Effects on Stock Market Outcomes

Number of pages: 25 Posted: 13 Feb 2024 Last Revised: 04 Mar 2024
Yosef Bonaparte and Frank J. Fabozzi
University of Colorado at Denver - Department of Finance and Johns Hopkins University - Carey Business School
Downloads 49 (774,954)

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portfolio choice of entrepreneurs, stock market participation, entrepreneurs and hedging

64.

Causal Models for Business, Economic, And Social Engineering

Number of pages: 17 Posted: 11 Sep 2024
Sergio Focardi, Marie-Victoire Chopin and Frank J. Fabozzi
University of Genoa, Sorbonne-Université and Johns Hopkins University - Carey Business School
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causal models, paradigm shift, structural equation models, intervention, business engineering, self-organizing and guiding system changes

65.

Risk Retention in the European Securitization Market: Skimmed by the Skin-in-The-Game Methods?

Number of pages: 48 Posted: 06 Dec 2024
Vivian van Breemen, Claudia Schwarz, Dennis Vink and Frank J. Fabozzi
De Nederlandsche Bank, affiliation not provided to SSRN, Nyenrode Business University and Johns Hopkins University - Carey Business School
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risk retention rule, primary issuance spread, credit ratings

66.

Interpretable Machine Learning for Creditor Recovery Rates

Posted: 29 Aug 2022 Last Revised: 06 Feb 2024
Abdolreza Nazemi and Frank J. Fabozzi
Karlsruhe Institute of Technology and Johns Hopkins University - Carey Business School

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Interpretable machine learning, risk management, recovery rate, corporate bonds

67.

Volatility Wisdom of Social Media Crowds

The Journal of Portfolio Management, Winter 2017, 43 (2) 136-151; DOI:10.3905/jpm.2017.43.2.136
Posted: 10 Jul 2020
Ahmet K Karagozoglu and Frank J. Fabozzi
Hofstra University, Zarb School of Business and Johns Hopkins University - Carey Business School

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investor sentiment, VIX, volatility

68.

Effects of Short-Sale Constraints and Information Asymmetry on Index Futures Trading

Review of Finance, Volume 21, Issue 5, August 2017, Pages 1975–2005, Doi.org/10.1093/rof/rfw020
Posted: 09 Jul 2020
Frank J. Fabozzi, Ahmet K Karagozoglu and Na Wang
Johns Hopkins University - Carey Business School, Hofstra University, Zarb School of Business and Hofstra University - Frank G. Zarb School of Business

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short-sale constraints, stock index futures; investor optimism

69.

Academic, Practitioner, and Investor Perspectives on Factor Investing

The Journal of Portfolio Management Quantitative Special Issue 2018, 44 (4) 10-16; DOI/10.3905/jpm.2018.44.4.010
Posted: 27 Jan 2020
Joseph A. Cerniglia and Frank J. Fabozzi
New York University (NYU) - Courant Institute of Mathematical Sciences and Johns Hopkins University - Carey Business School

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Factor Investing, Financial Economics, Quantitative Finance

70.

Best Practices in Research for Quantitative Equity Strategies

The Journal of Portfolio Management Special QES Issue 2016, 42 (5) 135-143; DOI/10.3905/jpm.2016.42.5.135
Posted: 27 Jan 2020
Joseph A. Cerniglia, Frank J. Fabozzi and Petter N. Kolm
New York University (NYU) - Courant Institute of Mathematical Sciences, Johns Hopkins University - Carey Business School and New York University (NYU) - Courant Institute of Mathematical Sciences

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Research methodology, quantitative finance, machine learning, psychology

71.

Crowdsourced Investment Research through Tournaments

Journal of Financial Data Science, Vol. 2, No. 1, 2020, https://jfds.pm-research.com/content/2/1/86
Posted: 25 Sep 2019 Last Revised: 24 May 2020
Marcos Lopez de Prado, Marcos Lopez de Prado and Frank J. Fabozzi
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Johns Hopkins University - Carey Business School

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tournaments, backtests, data abstraction, investment strategies forecasting, overfitting

72.

Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies

Journal of Alternative Investments, Vol. 11, No. 3, 2009, https://doi.org/10.3905/JAI.2009.11.3.037
Posted: 22 May 2019
Frank J. Fabozzi, Jinlin Liu and Lorne Switzer
Johns Hopkins University - Carey Business School, Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec

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convertible arbitrage, market efficiency, law of one price

73.

A Discretionary Wealth Approach to Investment Policy

Yale ICF Working Paper No. 09-03, https://doi.org/10.3905/JPM.2009.36.1.046
Posted: 21 May 2019
Jarrod Wilcox and Frank J. Fabozzi
Wilcox Investment, Inc. and Johns Hopkins University - Carey Business School

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investment policy, discretionary wealth, Markowitz optimization, higher moments, implied leverage, Bayesian investing, robust optimization

74.

Intertemporal Defaulted Bond Recoveries Prediction Via Machine Learning

European Journal of Operational Research, 297(3), 1162-1177.
Posted: 05 Dec 2018 Last Revised: 08 Feb 2024
Abdolreza Nazemi, Friedrich Baumann and Frank J. Fabozzi
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology and Johns Hopkins University - Carey Business School

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Finance, Risk management, Recovery rates, Machine learning, News-based analysis, Power expectation propagation

75.

Order from Chaos: How Data Science is Revolutionizing Investment Practice

Journalof Portfolio Management, Forthcoming
Posted: 10 Sep 2018 Last Revised: 12 Sep 2018
Joseph Simonian, Marcos Lopez de Prado, Marcos Lopez de Prado and Frank J. Fabozzi
Natixis Investment Managers, L.P., Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Johns Hopkins University - Carey Business School

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Econometrics, machine learning, data science

76.

Being Honest in Backtest Reporting: A Template for Disclosing Multiple Tests

Journalof Portfolio Management, Forthcoming
Posted: 17 Aug 2018 Last Revised: 04 Sep 2018
Frank J. Fabozzi, Marcos Lopez de Prado and Marcos Lopez de Prado
Johns Hopkins University - Carey Business School and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority

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selection bias, multiple testing, false positive, machine learning, clustering

77.

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

Journal of Portfolio Management, Vol. 44, No. 1, 2017
Posted: 10 Aug 2017
David Blitz and Frank J. Fabozzi
Robeco Quantitative Investments and Johns Hopkins University - Carey Business School

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sin stocks, vice, quality, profitability, investment, asset pricing, 5-factor model

78.

On the Estimation of the SABR Model's Beta Parameter: The Role of Hedging in Determining the Beta Parameter

Journal of Derivatives, Vol. 24, No. 1, 2016
Posted: 02 May 2017 Last Revised: 01 Jun 2017
Mengfei Zhang and Frank J. Fabozzi
Bloomberg L.P. and Johns Hopkins University - Carey Business School

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interest-rate model, SABR model, fixed-beta calibration method, hedging error, beta estimation, volatility cube, backbone, volatility smile

79.

Online Appendix to: Quanto Option Pricing with Lévy Models

Posted: 10 Jul 2016 Last Revised: 02 Apr 2018
Hasan Fallahgoul, Hasan Fallahgoul, Young Shin Kim, Frank J. Fabozzi and Jiho Park
Monash UniversityMonash University, College of Business, Stony Brook University, Johns Hopkins University - Carey Business School and State University of New York, SUNY at Stony Brook University, College of Business

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Quanto option pricing, L'evy process, stable and tempered stable process, subordinator

80.

Quanto Option Pricing with Lévy Models

Posted: 20 Jun 2016 Last Revised: 02 Apr 2018
Hasan Fallahgoul, Hasan Fallahgoul, Young Shin Kim, Frank J. Fabozzi and Jiho Park
Monash UniversityMonash University, College of Business, Stony Brook University, Johns Hopkins University - Carey Business School and State University of New York, SUNY at Stony Brook University, College of Business

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Quanto option pricing, L'evy process, stable and tempered stable process, subordinator

81.

The Information Content of Three Credit Ratings: The Case of European Residential Mortgage-Backed Securities

The European Journal of Finance, Vol. 21, Issue 3, pp. 172-194, 2015.
Posted: 17 Jul 2014 Last Revised: 23 May 2015
Dennis Vink and Frank J. Fabozzi
Nyenrode Business University and Johns Hopkins University - Carey Business School

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residential mortgage-backed securities, credit rating; credit rating agency

82.

Determinants of Primary Market Spreads on U.K. Residential Mortgage-Backed Securities and the Implications for Investor Reliance on Credit Ratings

The Journal of Fixed Income, Vol. 21, 2012, pp. 7-14
Posted: 05 Oct 2012 Last Revised: 08 Oct 2012
Frank J. Fabozzi and Dennis Vink
Johns Hopkins University - Carey Business School and Nyenrode Business University

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Residential mortgage-backed securities, Conforming mortgage-backed securities, Nonconforming mortgage-backed securities, Credit ratings, Securitization, Subprime mortgage crisis, Over-reliance hypothesis

83.

Bayesian Inference for Hedge Funds with Stable Distribution of Returns

RETHINKING RISK MEASURING AND REPORTING, Vol. 2, Klaus Bocker, ed., Risk Books, 2010
Posted: 02 Jun 2011
Biliana Güner, Svetlozar Rachev, Daniel Edelman and Frank J. Fabozzi
Ozyegin University, Texas Tech University, Independent and Johns Hopkins University - Carey Business School

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Bayesian methods, hedge fund risk, value-at-risk, MCMC, stable distributions

84.

Fat-Tailed Models for Risk Estimation

Journal of Portfolio Management, Vol. 37, No. 2, 2011
Posted: 26 Feb 2011
Stoyan V. Stoyanov, Svetlozar Rachev, Boryana Racheva-Iotova and Frank J. Fabozzi
Charles Schwab, Texas Tech University, affiliation not provided to SSRN and Johns Hopkins University - Carey Business School

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Fat-Tailed Distributions, Tempered Stable Distributions, Extreme Value Theory, Student's T Distribution, Risk Measurement

85.

Desirable Properties of an Ideal Risk Measure in Portfolio Theory

International Journal of Theoretical and Applied Finance, Vol. 11, No. 1, pp. 19-54 , 2008
Posted: 25 Apr 2010
Svetlozar Rachev, Sergio Ortobelli Lozza, Stoyan Stoyanov and Frank J. Fabozzi
Texas Tech University, University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA), affiliation not provided to SSRN and Johns Hopkins University - Carey Business School

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Risk aversion, portfolio choice, investment risk, reward measure, diversification

86.

Barrier Option Pricing by Branching Processes

International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1055-1073, 2009
Posted: 21 Apr 2010
Georgi K. Mitov, Svetlozar Rachev, Young Shin Kim and Frank J. Fabozzi
Bulgarian Academy of Science, Texas Tech University, University of Karlsruhe and Johns Hopkins University - Carey Business School

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Barrier option, up-and-out call option, Bienayme-Galton-Watson branching process, branching process in a random environment

87.

Taxation of Capital Gains with Deferred Realization

National Tax Journal, Vol. 42, No. 4, pp. 475-485, December 1989
Posted: 31 Jan 2008 Last Revised: 16 Mar 2008
Christopher Coyne, Frank J. Fabozzi and Uzi Yaari
Saint Joseph's University, Johns Hopkins University - Carey Business School and Rutgers University

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growth stocks, shareholder effective capital gains tax, capital gains tax deferment, cost of capital, share valuation, payout policy

88.

Sector, Style, Region: Explaining Stock Allocation Performance

Financial Analysts Journal, Vol. 63, No. 3, pp. 59-70, 2007
Posted: 11 Jun 2007
Raman Vardharaj and Frank J. Fabozzi
RS Investments and Johns Hopkins University - Carey Business School

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Portfolio Management: Asset Allocation, Equity Strategies

89.

The Structured Finance Market: An Investor's Perspective

Posted: 24 Jun 2005
Frank J. Fabozzi
Johns Hopkins University - Carey Business School

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Debt investments, asset-backed securities (including mortgage-backed securities), bonds with embedded options, credit analysis, derivative instruments, debt derivatives

Other Papers (2)

Total Downloads: 197
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1.

On Stability of Operational Risk Estimates by LDA: From Causes to Approaches

Number of pages: 50 Posted: 30 Aug 2014 Last Revised: 21 Feb 2017
Xiaoping Zhou, Antonina Durfee and Frank J. Fabozzi
Citizens Financial Group, Citizens Financial Group and Johns Hopkins University - Carey Business School
Downloads 197 (172,347)

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operational risk, capital modeling, stability of estimates, robust estimation, right-truncated distributions, bias corrected capital estimators, maximum likelihood estimation, quantile-distance estimators

2.

The Timeline Estimation of Bubbles: The Case of Real Estate

Real Estate Economics, Forthcoming
Posted: 07 Mar 2018 Last Revised: 16 Jun 2018
Frank J. Fabozzi and Keli Xiao
Johns Hopkins University - Carey Business School and College of Business, Stony Brook University

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real estate bubbles, housing market, explosive behavior, subprime crisis