Academic Publications

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Elliptical tempered stable distribution

Author(s) :
Hassan A. Fallahgoul, Young S. Kim, Frank J. Fabozzi
Quantitative Finance, Volume 16, Issue 7, May 2016 Elliptical distributions are useful for modelling multivariate data, multivariate normal and...

Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques

Author(s) :
Mohan Subbiah, Franck J. Fabozzi
International Review of Financial Analysis, Volume 45, May 2016, pp189-201 We propose a model for constructing Asian funds of hedge funds. We...

Equity style allocation: A nonparametric approach

Author(s) :
Mohan Subbiah, Frank J. Fabozzi
Journal of Asset Management, Volume 17 In this article we provide a framework to assist with style allocation in Asian equity funds. We implement...

Pricing Coupon Bond Options and Swaptions under the One-Factor Hull-White Model

Author(s) :
Vincenzo Russo, Frank J. Fabozzi
Journal of Fixed Income, Volume 25, No. 4, Spring 2016, pp76-82 In this article, the authors propose an alternative approach for pricing bond...

A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance

Author(s) :
Sergio M. Focardi, Frank J. Fabozzi, Ivan K. Mitov
Journal of Banking & Finance, Volume 65, April 2016, pp134-155 Statistical arbitrage strategies are typically based on models of returns...

Counterparty Risk Minimization by the Optimal Netting of OTC Derivative Trades

Author(s) :
Dominic O'Kane
The Journal of Derivatives, Winter 2016, Vol. 24, No. 2: pp. 48-65 The OTC derivatives market has always suffered from the fact that there are...

Diversified or Concentrated Factor Tilts?

Author(s) :
Noel Amenc, Frederic Ducoulombier, Felix Goltz, Ashish Lodh, Sivagaminathan Sivasubramanian
The Journal of Portfolio Management, Winter 2016, Vol. 42, No. 2, pp64-76 The authors compare two approaches to single-factor index design:...

A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling

Author(s) :
Vincenzo Russo, Frank J. Fabozzi
Journal of Fixed Income, Volume 25, No 3, pp36-45, Winter 2016. In this article, the authors propose a one-factor shifted squared Gaussian model...

Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach

Author(s) :
Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov, Barry Schachter
The Journal of Derivatives Summer 2015, 22 (4) 10 - 25 The stress test has become an increasingly important risk assessment and management tool....

Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
The Journal of Fixed Income Winter 2015, 24 (3) 5 - 29 In the absence of inflation-linked bonds or inflation swaps, no perfect hedging strategy...

Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations

Author(s) :
Jimmie Goode, Young Shin Kim, Frank J. Fabozzi
Applied Economics, Volume 47, Issue 48, September 2015. We compare the backtesting performance of ARMA-GARCH models with the most common types of...

Stochastic Alpha-Beta-Rho Hedging for Foreign Exchange Options: Is It Worth the Effort?

Author(s) :
Yifan Yang, Frank J. Fabozzi, Michele Leonardo Bianchi
Journal of Derivatives, Volume 23 (2), pp76-89, Winter 2015 This article applies the stochastic alpha-beta-rho (SABR) model to the foreign...

In search of Cash-Flow Pricing

Author(s) :
Frank J. Fabozzi, K. C. Chen, K. C. Ma, Jessica West
Journal of Financial Research, Volume 38, Issue 4, pp511-527, Winter 2015 There are varying views on the relative importance of cash flow versus...

Mass Customization in Life-Cycle Investing Strategies with Income Risk

Author(s) :
Romain Deguest, Lionel Martellini, Vincent Milhau
Bankers, Markets & Investors, No.139, November-December 2015 Formal intertemporal portfolio selection models show that the utilitymaximizing...

Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads

Author(s) :
Michele Leonardo Bianchi, Frank J. Fabozzi
Computational Economics, Volume 46, Issue 2, pp243-273, August 2015 Most important financial models assume randomness is explained through a...

New Horizons and Familiar Landscapes: New Capital Sources Confront Shifting Real Estate Fundamentals

Author(s) :
Jim Clayton, Frank J. Fabozzi, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp11-20 Real estate has continued to evolve as an asset...

The Post-Crisis CMBS Market: Will Regulations Prevent Another Market Meltdown?

Author(s) :
Frank J. Fabozzi, Joe McBride, Manus Clancy
The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp118-125 In this article, the authors discuss the...

Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Journal of Alternative Investments, Volume 18, Issue 1, Summer 2015, 48-64 Risk parity portfolios are traditionally constructed by choosing...

The Case for Long-Short Commodity Investing

Author(s) :
Joelle Miffre, Adrian Fernandez-Perez
Journal of Alternative Investments, Volume 18, Issue 1, pp92-104, Summer 2015. The article presents strong evidence in favor of long-short (as...

Economics: An Empirical Science Capable of Forecasting Economic Events?

Author(s) :
Sergio M. Focardi, Frank J. Fabozzi
Journal of Portfolio Management, Volume 41, Issue 4, pp145-151, Summer 2015. In the aftermath of the 2007–2009 financial crisis, mainstream...