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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.

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.

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.

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.

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.

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.

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.

Practical Commodity Futures Trading Principles

Author(s) :

Hilary Till

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.

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.

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.

Risk Allocation: A New Investment Paradigm?

Author(s) :

Noel Amenc, Lionel Martellini

Journal of Portfolio Management, Winter 2014, Volume 40, Issue 2, pp1-4.

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.

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...

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.

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.

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.

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.

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.

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.

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About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.

About EDHEC-Risk Climate Impact Institute

Marking the priority assigned by the School to sustainability issues and building on its research programmes exploring the relationships between climate change and finance, EDHEC-Risk Institute became EDHEC-Risk Climate Impact Institute in October 2022. The Institute's mission is to help private and public decision-makers manage climate-related financial risks and make the best use of the financial tools available to transition to low-emission and climate-resilient economies. The Institute’s research programmes explore the relationships between climate change and finance and our key ambition is to become a leading academic reference point for long-term investors, helping them to manage the asset-pricing implications of climate change as well as mitigation and adaptation efforts.