Academic Publications

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Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions

Author(s) :
Lionel Martellini, Vincent Milhau
The Journal of Portfolio Management, Vol. 44, Issue 2, Multi-Asset Special Issue 2018  Multi-asset investment solutions have become...

The Impact of Market Conditions on Bond Fund Managers

Author(s) :
Harsh Parikh, Frank J. Fabozzi
The Journal of Fixed Income,  Winter 2018, 27 (3) 6-22 We examine the impact on relative success of bond fund managers under different market...

An improved least squares Monte Carlo valuation method based on heteroscedasticity

Author(s) :
Frank J.Fabozzi, Tommaso Paletta, Radu Tunaru
European Journal of Operational Research, Volume 263, Issue 2, 1 December 2017, Pages 698-706 Longstaff–Schwartz’s least squares Monte Carlo...

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

Author(s) :
David Blitz, Frank J. Fabozzi
The Journal of Portfolio Management, Vol. 44, Issue 1, Fall 2017  Various studies report that investing in “sin stocks”—firms that make money...

Fuzzy Decision Fusion Approach for Loss-Given-Default Modeling

Author(s) :
Abdolreza Nazemi, Farnoosh Fatemi Pour, Konstantin Heidenreich, Frank J. Fabozzi
European Journal of Operational Research, Volume 262, Issue 2, 16 October 2017, Pages 780-791 In this paper, fuzzy decision fusion techniques are...

Effects of Spot Market Short-Sale Constraints on Index Futures Trading

Author(s) :
Frank J. Fabozzi, Ahmet K. Karagozoglu, Na Wang
Review of Finance Volume 21, Issue 5, 1 August 2017, Pages 1975-2005 The authors analyze the effects of spot market short-sale constraints on...

Commercial Real Estate Derivatives: The End or the Beginning?

Author(s) :
Radu Tunaru, Frank J. Fabozzi
The Journal of Portfolio Management, Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 179-186, September 2017 In this article, the authors...

The Expansion of Real Estate

Author(s) :
Jim Clayron, Frank J. Fabozzi, S. Michael Giliberto, Jacques Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
The Journal of Portfolio Management, Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 11-22, September 2017 The definition of commercial real...

A flexible approach to estimate the equity premium

Author(s) :
Yosef Bonaparte, Frank J. Fabozzi
Applied Economics, Volume 49, 2017 - Issue 59 In this article, we estimate the risk aversion for households accounting for their lifetime...

How fat are the tails of equity market indices?

Author(s) :
Stoyan Stoyanov, Lixia Loh, Frank J. Fabozzi
International Journal of Finance & Economics Volume 22, Issue 3, July 2017 - pp 181-200 Using a generalized autoregressive conditional...

The Value of Convexity: A Theoretical and Empirical Investigation

Author(s) :
Riccardo Rebonato, Vladislav Putyatin
Quantitative Finance, Volume 18, 2018 - Issue 1 We explore from a theoretical and an empirical perspective the value of convexity in the US...

Calibrating short interest rate models in negative rate environments

Author(s) :
Frank J. Fabozzi, Vincenzo Russo
The Journal of Derivatives Summer 2017, 24 (4) 80 - 92 In this paper, different calibration approaches for short-term interest rate models are...

Who Are the Value and Growth Investors?

Author(s) :
Sebastien Betermier, Laurent E. Calvet, Paolo Sodini
Journal of Finance, Volume 72, Issue 1, February 2017, pp5-46. This paper investigates value and growth investing in a large administrative panel...

Skillful hiding: evaluating hedge fund managers's performance based on what they hide

Author(s) :
Rama Malladi, Frank J. Fabozzi
Applied Economics, Volume 49, 2017 - Issue 7, February 2017 Mandatory disclosure of hedge fund portfolios has been a hotly debated topic. This...

Equal-Weighted Strategy: Why it Outperforms Value-Weighted Strategies? Theory and Evidence

Author(s) :
Rama Malladi, Frank J. Fabozzi
Journal of Asset Management, May 2017, Volume 18, Issue 3, pp 188-208

CDS Implied Credit Ratings

Author(s) :
Jeroen Jansen, Frank J. Fabozzi
The Journal of Fixed Income, Spring 2017, Vol. 26, No. 4: pp. 25-52 Rating agencies cluster companies in rating categories to signal their...

Robust Factor-Based Investing

Author(s) :
Jang HoKim, Woo Chang Kim, Frank J. Fabozzi
The Journal of Portfolio Management, Special Issue 2017, Vol. 43, No. 5: pp. 157-164, March 2017 In quantitative portfolio management, combining...

Penalizing variances for higher dependency on factors

Author(s) :
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi, PhD
Quantitative Finance, March 2017 Constructing equity portfolios to control for stock market volatility and unforeseen portfolio losses is critical...

Volatility Wisdom of Social Media Crowds

Author(s) :
Ahmet K. Karagozoglu, Frank J. Fabozzi
The Journal of Portfolio Management, Winter 2017, Vol. 43, No. 2: pp. 136-151 In this article, the authors provide new evidence on the usefulness...

Predictability dynamics of emerging sovereign CDS markets

Author(s) :
Ahmet Sensoy, Frank J. Fabozzi, Veysel Eralsan
Economics Letters, Volume 161, December 2017, Pages 5-9 We compare the time-varying weak-form efficiency of Credit Default Swap (CDS)...

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