Academic Publications

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Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Author(s) :
Nick Baltas, Bernd Scherer
The Journal of Portfolio Management Multi-Asset Special Issue 2019, 45 (2) 93-104 In this article, the authors attempt to get...

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Author(s) :
Harjoat Bhamra, Raman Uppal
American Economic Review VOL. 109, NO. 3, MARCH 2019 (pp. 1116-54) Households with familiarity biases tilt their portfolios toward a few...

The Three-Factor Hedging Strategy for Mortgage Pass-Through Securities: Empirical Evidence

Author(s) :
Emory E. Ruscus, Frank J. Fabozzi, Glenn Schultz
The Journal of Fixed Income, Winter 2019, Vol. 28 N° 3 pp. 55 - 67 The mortgage pass-through securities sector of the investment-grade bond market...

Quantile-Based Inference for Tempered Stable Distributions

Author(s) :
Hasan A. Fallahgoul, David Veredas, Frank J. Fabozzi
Computational Economics, January 2019, Volume 53, Issue 1, pp 51–83 We introduce a simple, fast, and accurate way for the estimation of...

Predicting Returns in US Treasuries: Do Tents Matter?

Author(s) :
Riccardo Rebonato
International Journal of Theoretical and Applied Finance, Vol. 21, No. 07 We look at the economic significance and at the robustness of the new-...

Bond Pricing and Yield Curve Modeling: A Structural Approach

Author(s) :
Riccardo Rebonato
In this book, Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine...

A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems

Author(s) :
Romain Deguest, Lionel Martellini, Vincent Milhau
Management Science, Volume 64, Issue 9, September 2018, Pages 3971-4470 In a continuous-time portfolio selection model with N risky...

Recent advancements in robust optimization for investment management

Author(s) :
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
Annals of Operations Research, July 2018, Volume 266, Issue 1–2, pp 183–198

Another Look at the Ho–Lee Bond Option Pricing Model

Author(s) :
Young Shin Kim, Stoyan Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
The Journal of Derivatives, Vol. 25, Issue 4, Summer 2018, pp48-53 Bond option pricing models come in two forms: equilibrium models and arbitrage-...

Bond Portfolio Optimization in the Presence of Duration Constraints

Author(s) :
Romain Deguest, Frank J. Fabozzi, Lionel Martellini, Vincent Milhau
The Journal of Fixed Income, Summer 2018 (1) 6 - 26 Although there exists an abundant literature on the benefits and limits of scientific...

Local volatility and the recovery rate of credit default swaps

Author(s) :
Jeroen Jansen, Sanjiv R. Das, Frank J. Fabozzi
Journal of Economic Dynamics and Control, Volume 92, July 2018, Pages 1-29 Credit default swap (CDS) spreads can only be decomposed into the...

Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies

Author(s) :
Jinal Patel, Vincenzo Russo, Frank J. Fabozzi
Finance Research Letters, Volume 25, June 2018, Pages 196-201 Negative rates directly impact the pricing and quoting of debt instruments, both...

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Author(s) :
Laurent Calvet, Adlai J. Fisher, Liuren Wu
Journal of Financial and Quantitative Analysis, Volume 53, Issue 2, April 2018 , pp. 937-963 This paper specifies term structure dynamics by...

Macroeconomic variable selection for creditor recovery rates

Author(s) :
Abdolreza Nazemi, Frank J. Fabozzi
Journal of Banking & Finance, Volume 89, April 2018, Pages 14-25 We study the relationship between U.S. corporate bond recovery rates and...

Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Journal of Corporate Finance, Volume 49, April 2018, Pages 141-167 This paper provides a joint quantitative analysis of capital ...

A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance

Author(s) :
Riccardo Rebonato, Chu Ming Ng
Journal of Derivatives, Vol. 25, Issue 3, Spring 2018  The empirical, or “P” distribution determines profits and losses from market price...

Academic, Practitioner, and Investor Perspectives on Factor Investing

Author(s) :
Joseph Cerniglia, Frank J. Fabozzi
The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018  In this article, the authors discuss the current...

Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies

Author(s) :
Noël Amenc, Felix Goltz, Ashish Lodh
The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018  The authors argue that more attention should be paid...

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

Author(s) :
Michele Leonardo Bianchi, Frank J. Fabozzi, Svetlozar T. Rachev
Computational Economics Volume 51, pages 339–378, (2018) In this article, the authors consider several time-varying volatility and/...

The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction

Author(s) :
Nikolaos Tessaromatis
Quantitative Finance, Volume 18, 2018 - Issue 3 The recent financial crisis sparked a debate on the usefulness of the neoclassical economic...