Academic Publications

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A Three-Factor Model for Mortality Modeling

Author(s) :
Vincenzo Russo, Rosella Giacometti, Svetlozar Rachev, Frank J. Fabozzi
North American Actuarial Journal, Volume 19, Issue 2, pp129-141, 2015 In this article, the authors propose a three-factor model for mortality...

Multiperiod conditional valuation of barrier options with incomplete information

Author(s) :
Stoyan Valchev, Radu Tunaru, Frank J. Fabozzi
Quantitative Finance, Volume 15, Issue 7, pp1093-1102, 2015 In this paper, we investigate the role of reduced available information on the...

Focusing on the worst state for robust investing

Author(s) :
Woo Chang Kim, Jang Ho Kim, John M. Mulvey, Frank J. Fabozzi
International Review of Financial Analysis, Volume 39, pp19-31, May 2015 Despite its shortcomings, the Markowitz model remains the norm for asset...

Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

Author(s) :
Yifan Yang, Frank J. Fabozzi, Michele Leonardo Bianchi
Journal of Financial Engineering, Volume 2, Issue 1, March 2015 Basel III requires banks to include a credit value adjustment (CVA) into capital...

Measuring and explaining pension system risk

Author(s) :
Frank J. Fabozzi
Journal of Pension Economics and Finance, Volume 14, Special Issue 2, pp161-171, April 2015 We discuss pension system risk in the USA, focusing on...

Towards Smart Equity Factor Indices: Harvesting Risk Premia Without Taking Unrewarded Risks

Author(s) :
Noel Amenc, Felix Goltz, Ashish Lodh, Lionel Martellini
Journal of Portfolio Management, Volume 40, No. 4, pp106-122 This article argues that current smart-beta investment approaches provide only a...

Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe

Author(s) :
Noel Amenc, Felix Goltz, Abraham Lioui
Financial Analysts Journal, May/June 2011, Volume 67, Issue 3 Responses to a survey of investment management practitioners in Europe show that...

Risk Allocation: A New Investment Paradigm?

Author(s) :
Noel Amenc, Lionel Martellini
Journal of Portfolio Management, Winter 2014, Volume 40, Issue 2, pp1-4 Risk allocation has gained popularity among sophisticated investors,...

Estimation Risk versus Optimality Risk: An Ex-Ante Efficiency Analysis of Alternative Equity Portfolio Diversification Strategies

Author(s) :
Lionel Martellini, Vincent Milhau, Andrea Tarelli
Bankers, Markets & Investors, September-October 2014, Issue 132, pp26-42 Implementing portfolio optimization techniques is a challenging task...

Portfolio selection in the presence of systemic risk

Author(s) :
Almira Biglova, Sergio Ortobelli, Frank J. Fabozzi
Journal of Asset Management, October 2014, Volume 15, Issue 5, pp285-299 In this article we study the portfolio selection problem in the presence...

Can We Predict Stock Market Crashes?

Author(s) :
Sergio M. Focardi, Frank J. Fabozzi
Journal of Portfolio Management, 2014, Volume 40, Issue 5, pp183-195. In this article, the authors suggest how to think about a new framework for...

Smooth monotone covariance for elliptical distributions and applications in finance

Author(s) :
Xiaoping Zhou, Dmitry Malioutov, Frank J. Fabozzi, Svetlozar T. Rachev
Quantitative Finance, Volume 14, Issue 9 Sample covariance is known to be a poor estimate when the data are scarce compared with the dimension. To...

Deciphering robust portfolios

Author(s) :
Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi
Journal of Banking and Finance, Volume 45, August 2014, pp1-8 Robust portfolio optimization has been developed to resolve the high sensitivity to...

Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns

Author(s) :
Naoshi Tsuschida, Rosella Giacometti, Frank J. Fabozzi, Young Shin Kim, Robert J. Frey
Journal of Fixed Income, Volume 24, No. 1, Summer 2014, pp75-87 In this article, we analyze the distribution of returns on seven major Eurozone...

Analytical-Numeric Formulas for the Probability Density Function of Multivariate Stable and Geo-Stable Distributions

Author(s) :
Hassan Fallahgoul, S. M. Hashemiparast, Frank J. Fabozzi, L. Klebanov
Journal of Statistical Theory and Practice, Volume 8, Issue 2, 2014 The main problem in applying the multivariate stable and geo-stable...

Recent Developments in Robust Portfolios with a Worst-Case Approach

Author(s) :
Mr Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
Journal of Optimization and Applications, Volume 161, Issue 1, April 2014, pp103-121 Robust models have a major role in portfolio optimization for...

Recent Trends in Equity Portfolio Construction Analytics

Author(s) :
Dessislava A. Pachamanova, Frank J. Fabozzi
Journal of Portfolio Management, Volume 40, No. 3, Spring 2014, pp137-151 Portfolio analytics is critical for identifying investment opportunities...

Bayesian estimation of truncated data with applications to operational risk measurement

Author(s) :
Xiaoping Zhou, Rosella Giacometti, Frank J. Fabozzi, Ann H. Tucker
Quantitative Finance, Volume 14, Issue 5, 2014, pp853-888 Data insufficiency and reporting threshold are two main issues in operational risk...

Analyzing and Decomposing the Sources of Added-Value of Corporate Bonds within Institutional Investors Portfolios

Author(s) :
Lionel Martellini, Vincent Milhau
Bankers, Markets & Investors, Special Issue ERD 2014, pp5-16, March 2014 This paper provides a formal analysis of the benefits of corporate...

Robust portfolios that do not tilt factor exposure

Author(s) :
Woo Chang Kim, Min Jeong Kim, Jang Ho Kim, Frank J. Fabozzi
European Journal of Operational Research, Volume 234, Issue 2, pp411-421, April 2014 Robust portfolios reduce the uncertainty in portfolio...