Academic Publications

printer-friendly version

60 Years of portfolio optimization: Practical challenges and current trends

Author(s) :
Petter N. Kolm, Reha Tutuncu, Frank J. Fabozzi
European Journal of Operational Research, Volume 234, Issue 2, pp356-371, April 2014 The concepts of portfolio optimization and diversification...

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

Author(s) :
Victor DeMiguel, Francisco J. Nogales, Raman Uppal
Review of Financial Studies, Volume 27, Issue 2, February 2014, pp1-43 We study whether investors can exploit serial dependence in stock returns...

Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View

Author(s) :
Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi
Communications in Statistics - Simulation and Computation Volume 46, 2017 - Issue 1 We study the one-dimensional Ornstein–Uhlenbeck (OU...

Multivariate Stable Distributions and Generating Densities

Author(s) :
Hassan Fallahgoul, S.M. Hashemiparast, Frank J. Fabozzi, Young Shin Kim
Applied Mathematics Letters, Volume 26, Issue 3, March 2013, Pages 324-329 The probability density function of multivariate stable...

Commercial Real Estate Risk Management with Derivatives

Author(s) :
Frank J. Fabozzi, Silvia Stanescu, Radu Tunaru
Journal of Portfolio Management, Volume 39, Number 5, pp. 111-119 Helping managers to gauge the interaction between commercial property prices and...

Option pricing with time-changed Levy processes

Author(s) :
Sven Klingler, Young Shin Kim, Svetlozar Rachev, Frank J. Fabozzi
Applied Economics, Volume 23, Issue 15, pp1231-123 In this article, we introduce two new six-parameter processes based on time-changing tempered...

Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets

Author(s) :
Bali, T.G., Cakici, N., Fabozzi, F.J.
Journal of Portfolio Management, Volume 39, No. 2, pp-101-115, Winter 2013.

Portfolio Selection Problems Consistent with a Given Preference Ordering

Author(s) :
Sergio Ortobelli Lozza, Haim Shalit, Frank J. Fabozzi
International Journal of Theoretical and Applied Finance, Volume 16, Issue 5, August 2013 This paper theoretically and empirically investigates...

The new issues puzzle: evidence from non-US firms

Author(s) :
Turan G. Bali, Nusret Cakici, Frank J. Fabozzi
Applied Economics Letters, Volume 20, Issue 17, pp1586-1591 For non-US stocks of firms in the G7 countries, we empirically test the new issues...

Market overreaction and underreaction: tests of the directional and magnitude effects

Author(s) :
Frank J. Fabozzi, Chun-Yip Fung, Kin Lam, Wing-Keung Wong
Applied Economics, Volume 23, Issue 18, pp1469-1482 We investigate whether the US equity market exhibits underreaction or overreaction. More...

Optimal corporate strategy under uncertainty

Author(s) :
Andrew Chen, Frank J. Fabozzi, Dashan Huang
Applied Economics, Volume 45, Issue 20, 2013 Within a dynamic setting, optimal corporate strategy management for a multi-division corporation...

Size, value, and momentum in emerging market stock returns

Author(s) :
Nusret Cakici, Frank J. Fabozzi, Sinan Tan
Emerging Markets Review, Volume 16, pp46-65, September 2013 In this paper, we examine value and momentum effects in 18 emerging stock markets....

Composition of robust equity portfolios

Author(s) :
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
Finance Research Letters, Volume 10, Issue 2, pp72-81, June 2013 Robust portfolios resolve the sensitivity issue identified as a concern in...

Factor uniqueness in the S&P 500 universe: Can proprietary factors exist?

Author(s) :
Sergio M. Focardi, Frank J. Fabozzi
International Journal of Theoretical and Applied Finance, Volume 16, Issue 04, June 2013 In this paper, we analyze factor uniqueness in the S&...

What do robust equity portfolio models really do?

Author(s) :
Woo Chang Kim, Jang Ho Kim, So Hyoung Ahn, Frank J. Fabozzi
Annals of Operations Research, Volume 205, Issue 1, pp141-168, May 2013 Most of previous work on robust equity portfolio optimization has focused...

Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

Author(s) :
Beck, A., Young Shin, A.K., Rachev, S., Feindt, M., Fabozzi, F.
Studies in Nonlinear Dynamics and Econometrics, Volume 17, Issue 2, pp167-177, April 2013 In this paper, we examine the S&P 500 index log-...

Computational aspects of portfolio risk estimation in volatile markets: a survey

Author(s) :
Fabozzi, F.J., Stoyanov, S.V., Svetlozar R.T.
Studies in Nonlinear Dynamics & Econometrics, Volume 17, Issue 1, February 2013 Portfolio risk estimation requires appropriate modeling of fat...

A Binomial-Tree Model for Convertible Bond Pricing

Author(s) :
Krasimir Milanov, Ognyan Kounchev, Frank J. Fabozzi, Young Shin Kim, Svetlozar T. Rachev
The Journal of Fixed Income Winter 2013, 22(3) 79 - 94 In this article, we derive a binary tree–based model for convertible bond valuation subject...

A Pricing Framework for Real Estate Derivatives

Author(s) :
Frank J. Fabozzi, Radu Tunaru, Robert Shiller
European Financial Management, Volume18, Issue5 November 2012 Pages 762-789 New methods are developed here for pricing the main real...

A New Method for Generating Approximation Algorithms for Financial Mathematics Applications

Author(s) :
Frank J. Fabozzi, Arturo Leccadito, Radu S. Tunaru
Quantitative Finance Volume 12, 2012 - Issue 10 This paper describes a new technique that can be used in financial mathematics for a...