Frank J. Fabozzi

EDHEC Business School

Professor of Finance

France

SCHOLARLY PAPERS

64

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CITATIONS
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93

Scholarly Papers (64)

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
EDHEC Business School and Indian Institute of Management (IIM), Kolkata
Downloads 8,533 (526)
Citation 6

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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 J. Lucas, Laurie S. Goodman and Frank J. Fabozzi
UBS - CDO Research, The Urban Institute - Housing Finance Policy Center and EDHEC Business School
Downloads 8,342 (545)
Citation 5

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Credit Risk, Capital Markets, Collateralized Debt, Liquidity Assets

3.

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 EDHEC Business School
Downloads 1,391 (12,059)

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

4.

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

EFMA 2004 Basel Meetings Paper
Number of pages: 45 Posted: 14 May 2004
Indiana University Northwest - School of Business & Economics, Concordia University, Quebec - Department of Finance, EDHEC Business School and Concordia University
Downloads 1,104 (17,220)
Citation 10

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5.

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 EDHEC Business School
Downloads 815 (26,964)

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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
EDHEC Business School, Yale University - Cowles Foundation and University of Kent, Canterbury - Kent Business School
Downloads 597 (40,441)
Citation 3

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real-estate markets, property derivatives, balance guaranteed swaps

Property Derivatives for Managing European Real-Estate Risk

European Financial Management, Vol. 16, Issue 1, pp. 8-26, January 2010
Number of pages: 19 Posted: 28 Dec 2009
Frank J. Fabozzi, Robert J. Shiller and Radu Tunaru
EDHEC Business School, Yale University - Cowles Foundation and University of Kent, Canterbury - Kent Business School
Downloads 3 (613,005)
Citation 3
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7.

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, EDHEC Business School and Fordham University - Gabelli School of Business
Downloads 529 (47,911)
Citation 1

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8.

A Discretionary Wealth Approach to Investment Policy

Yale ICF Working Paper No. 09-03
Number of pages: 43 Posted: 11 Mar 2009
Jarrod Wilcox and Frank J. Fabozzi
Wilcox Investment, Inc. and EDHEC Business School
Downloads 469 (55,803)
Citation 1

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

9.

What Difference Do New Factor Models Make in Portfolio Allocation?

Number of pages: 54 Posted: 22 Mar 2016 Last Revised: 22 Sep 2016
Frank J. Fabozzi, Dashan Huang and Jiexun Wang
EDHEC Business School, Singapore Management University - Lee Kong Chian School of Business and Independent
Downloads 466 (56,280)

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

10.

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 EDHEC Business School
Downloads 446 (59,389)
Citation 2

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

11.

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 and Frank J. Fabozzi
AQR Capital Management, LLC and EDHEC Business School
Downloads 346 (80,198)

Abstract:

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

12.

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
EDHEC Business School, The Intertek Group and CFA Institute Research Foundation
Downloads 334 (83,569)

Abstract:

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market crash, finance, theory, teaching finance

13.

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

Number of pages: 11 Posted: 18 Mar 2012
Karlsruhe Institute of Technology, University of Karlsruhe, Texas Tech University and EDHEC Business School
Downloads 319 (87,945)

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

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
Stony Brook University, Texas Tech University and EDHEC Business School
Downloads 281 (101,145)
Citation 3

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

15.

Computing VAR and AVaR in Infinitely Divisible Distributions

Yale ICF Working Paper No. 09-07
Number of pages: 37 Posted: 08 May 2009
University of Karlsruhe, Texas Tech University, Bank of Italy and EDHEC Business School
Downloads 268 (106,239)
Citation 1

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

16.

Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies

Journal of Alternative Investments, Vol. 11, No. 3, 2009
Number of pages: 28 Posted: 03 Oct 2011
Frank J. Fabozzi, Jinlin Liu and Lorne N. Switzer
EDHEC Business School, Concordia University, Quebec - John Molson School of Business and Concordia University, Quebec - Department of Finance
Downloads 265 (107,912)
Citation 2

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convertible arbitrage, market efficiency, law of one price

17.

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
EDHEC Business School, The Intertek Group and CFA Institute Research Foundation
Downloads 162 (171,690)
Citation 2

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global financial crisis, investment, investment management

18.

Research Foundation Year in Review -- 2014

CFA Institute Research Foundation R2015
Number of pages: 84 Posted: 11 Jun 2015
CFA Institute Research Foundation, Environmental Financial Products, LLC, Environmental Financial Products, LLC, Environmental Financial Products, LLC, Environmental Financial Products, LLC, EDHEC 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 155 (178,172)

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

19.

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, EDHEC Business School and Indiana University Northwest
Downloads 138 (195,969)

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20.

Active Loan Trading

Number of pages: 45 Posted: 07 Jul 2017 Last Revised: 21 Feb 2018
EDHEC Business School, BI Norwegian Business School, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 133 (201,816)

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

21.

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
Citizens Financial Group, University of Bergamo, EDHEC Business School and State University of New York (SUNY) - Department of Applied Mathematics and Statistics
Downloads 133 (201,816)

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

22.

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: 22 Dec 2015
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 130 (205,619)
Citation 18

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Beta, random coefficient, point estimate

23.

Quantile-Based Inference for Tempered Stable Distributions

Number of pages: 25 Posted: 20 Jun 2015 Last Revised: 12 Jul 2016
Hasan Fallahgoul, David Veredas and Frank J. Fabozzi
Monash University, Vlerick Business School and EDHEC Business School
Downloads 127 (209,400)

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

24.

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
University of Pennsylvania - The Wharton School, 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, EDHEC Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 115 (225,514)

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pensions, insurance

25.

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: 03 Apr 2015
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 109 (234,344)
Citation 23

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

26.

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
EDHEC Business School, Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV) and Intertek Group France
Downloads 100 (248,836)

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27.

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 EDHEC Business School
Downloads 100 (248,836)

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

28.

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: 03 Apr 2015
Frank J. Fabozzi and Jack Clark Francis
EDHEC Business School and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 92 (262,873)
Citation 8

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

29.

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
Stony Brook University, Texas Tech University, affiliation not provided to SSRN and EDHEC Business School
Downloads 83 (280,135)

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

30.

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 EDHEC Business School
Downloads 67 (316,561)

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consumption growth, food consumption, separability

31.

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
Bank of Italy, EDHEC Business School and Texas Tech University
Downloads 61 (332,320)

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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

32.

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
Bank of Italy, Texas Tech University and EDHEC Business School
Downloads 58 (340,478)

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

33.

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
Stony Brook University, Texas Tech University and EDHEC Business School
Downloads 55 (349,411)

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

34.

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
EDHEC Business School
Downloads 42 (391,696)

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35.

Smooth Monotone Covariance for Elliptical Distributions and Applications in Finance

Number of pages: 38 Posted: 11 May 2014
Citizens Financial Group, IBM Research, EDHEC Business School and Texas Tech University
Downloads 35 (418,344)

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Smooth monotone covariance, Regularization, Elliptical distributions

36.

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
EDHEC Business School, Ben-Gurion University of the Negev - School of Management and Rutgers University
Downloads 33 (426,376)

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

37.

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
EDHEC Business School, Nyenrode Business University and Nyenrode Business University
Downloads 29 (443,892)

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Credit ratings, regulation, mortgage-backed securities

38.

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
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and EDHEC Business School
Downloads 27 (453,548)

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

39.

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
EDHEC Business School and Rutgers University
Downloads 24 (469,131)

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financial leases, lease valuation, corporate taxation

40.

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, EDHEC Business School and Rutgers University
Downloads 18 (501,808)

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Mergers & Acquisitions, Tax Evasion, Monopolization

41.

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, EDHEC Business School and Rutgers University
Downloads 15 (518,306)

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optimal capital structure, static theory of capital structure

42.

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: 03 Apr 2015
Frank J. Fabozzi, Jack Clark Francis and Cheng-Few Lee
EDHEC Business School, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Rutgers, The State University of New Jersey - New Brunswick/Piscataway
Downloads 14 (523,861)

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Jensen portfolio performance measure, return-generating model

43.

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
EDHEC Business School, Temple University and Rutgers University
Downloads 9 (551,514)
Citation 1

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tax-sheltered equity portfolio, tax-sheltered diversification, open-end investment fund

44.

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 EDHEC Business School
Downloads 5 (573,300)
Citation 1

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

45.

A Pricing Framework for Real Estate Derivatives

European Financial Management, Vol. 18, Issue 5, pp. 762-789, 2012
Number of pages: 28 Posted: 20 Oct 2012
Frank J. Fabozzi, Robert J. Shiller and Radu Tunaru
EDHEC Business School, Yale University - Cowles Foundation and University of Kent, Canterbury - Kent Business School
Downloads 3 (585,280)
Citation 2
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derivatives pricing, real estate indices, incomplete markets, market price of risk, serial correlation

46.

Looking Beyond Credit Ratings: Factors Investors Consider in Pricing European Asset‐Backed Securities

European Financial Management, Vol. 18, Issue 4, pp. 515-542, 2012
Number of pages: 28 Posted: 23 Aug 2012
Frank J. Fabozzi and Dennis Vink
EDHEC Business School and Nyenrode Business University
Downloads 2 (593,925)
Citation 3
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asset‐backed securities (ABS), credit ratings, collateral, default risk, securitisation, over‐reliance

47.

A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions

European Financial Management, Vol. 15, Issue 2, pp. 340-361, March 2009
Number of pages: 22 Posted: 27 Apr 2009
Wei Sun, Svetlozar Rachev and Frank J. Fabozzi
affiliation not provided to SSRN, Texas Tech University and EDHEC Business School
Downloads 2 (593,925)
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48.

Multi-Tail Generalized Elliptical Distributions for Asset Returns

Econometrics Journal, Vol. 12, Issue 2, pp. 272-291, July 2009
Number of pages: 20 Posted: 08 Oct 2009
University of Karlsruhe, Texas Tech University, affiliation not provided to SSRN, EDHEC Business School and Bank of Italy
Downloads 1 (605,289)
Citation 1
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49.

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 and Frank J. Fabozzi
Natixis Investment Managers, L.P., AQR Capital Management, LLC and EDHEC Business School

Abstract:

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Econometrics, machine learning, data science

50.

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 and Marcos Lopez de Prado
EDHEC Business School and AQR Capital Management, LLC

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

51.

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 Asset Management - Quantitative Strategies and EDHEC Business School

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

52.

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 EDHEC Business School

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

53.

Online Appendix to: Quanto Option Pricing with Lévy Models

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

Abstract:

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

54.

Quanto Option Pricing with Lévy Models

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

Abstract:

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

55.

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 EDHEC Business School

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

56.

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
EDHEC 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

57.

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
Ozyegin University, Texas Tech University, Independent and EDHEC Business School

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

58.

Fat-Tailed Models for Risk Estimation

Journal of Portfolio Management, Vol. 37, No. 2, 2011
Posted: 26 Feb 2011
Stony Brook University, Texas Tech University, affiliation not provided to SSRN and EDHEC Business School

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

59.

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
Texas Tech University, University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA), affiliation not provided to SSRN and EDHEC Business School

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

60.

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
Bulgarian Academy of Science, Texas Tech University, University of Karlsruhe and EDHEC Business School

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

61.

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, EDHEC 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

62.

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 EDHEC Business School

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Portfolio Management: Asset Allocation, Equity Strategies

63.

The Structured Finance Market: An Investor's Perspective

Financial Analysts Journal, Vol. 61, No. 3, pp. 27-39, May/June 2005
Posted: 24 Jun 2005
Frank J. Fabozzi
EDHEC 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

64.

Intertemporal Defaulted Bond Recoveries Prediction Via Machine Learning

Karlsruhe Institute of Technology, Karlsruhe Institute of Technology and EDHEC Business School

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credit risk, recovery rates, machine learning, news-based analysis, high-dimensional

Other Papers (1)

Total Downloads: 143    Citations: 0
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 EDHEC Business School
Downloads 143 (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