Access Statistics for Frank J. Fabozzi

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Discretionary Wealth Approach to Investment Policy 0 0 1 24 0 2 8 112
A New Set of Financial Instruments 0 0 2 7 0 0 10 31
A profit model for spread trading with an application to energy futures 0 2 10 283 2 12 43 740
Analysis of the intraday effects of economic releases on the currency market 0 0 0 63 0 1 4 157
Another Look at the Ho-Lee Bond Option Pricing Model 0 0 0 5 1 2 7 18
Bayesian inference for hedge funds with stable distribution of returns 0 0 1 66 0 0 5 155
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 1 6 18 48 2 14 50 117
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing 0 1 3 40 1 3 12 50
CVaR sensitivity with respect to tail thickness 0 0 0 47 0 0 3 111
Calibrating the Italian smile with time-varying volatility and heavy-tailed models 0 0 0 28 1 3 9 78
Collateralized Debt Obligations and Credit Risk Transfer 1 2 10 117 14 45 119 531
Computing VAR and AVaR in Infinitely Divisible Distributions 1 1 4 25 2 5 21 140
Enhancing Binomial and Trinomial Equity Option Pricing Models 0 0 2 4 1 1 6 15
Fat-tailed models for risk estimation 0 1 2 101 0 3 12 145
Financial market with no riskless (safe) asset 0 0 1 17 0 1 4 21
How do Conflicting Theories about Financial Markets Coexist? 0 0 1 16 0 0 7 85
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 0 0 1 89 1 1 11 263
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion 0 1 3 7 0 2 16 32
Multiple Subordinated Modeling of Asset Returns 0 0 4 4 0 1 16 25
Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings 0 0 1 65 0 0 5 203
Option Pricing with Greed and Fear Factor: The Rational Finance Approach 0 1 4 18 0 5 15 27
Option pricing for Informed Traders 0 0 2 3 0 0 8 20
Option pricing with regime switching tempered stable processes 0 0 1 9 0 0 8 39
Pricing Derivatives in Hermite Markets 0 0 1 3 0 0 6 18
Pricing derivatives in Hermite markets 0 0 1 3 0 0 2 12
Property Derivatives for Managing European Real-Estate Risk 0 1 3 55 0 1 11 171
Securitization: The Tool of Financial Transformation 0 1 6 122 2 6 19 274
Technical Review Panel for the Pension Insurance Modeling System (PIMS) 0 0 0 13 0 0 3 63
Tempered infinitely divisible distributions and processes 0 0 3 25 0 1 9 146
Tempered stable Ornstein-Uhlenbeck processes: a practical view 0 0 7 60 2 4 18 171
Tempered stable and tempered infinitely divisible GARCH models 0 0 3 54 2 2 12 167
The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads 1 2 7 46 2 5 27 133
Time series analysis for financial market meltdowns 0 0 1 125 0 2 16 234
Total Working Papers 4 19 103 1,592 33 122 522 4,504


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
60 Years of portfolio optimization: Practical challenges and current trends 6 33 145 755 11 60 272 1,440
A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions 1 1 1 46 1 1 2 114
A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit 0 4 5 11 0 11 21 32
A Pricing Framework for Real Estate Derivatives 0 0 11 20 0 4 25 41
A Three-Factor Model for Mortality Modeling 0 0 0 0 1 1 4 5
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates 0 0 2 13 0 2 10 67
A flexible approach to estimate the equity premium 0 0 0 1 0 1 4 13
A methodology for index tracking based on time-series clustering 1 3 7 50 1 5 21 128
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence 0 0 0 84 0 0 6 191
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance 0 11 34 374 5 26 100 905
A new method for generating approximation algorithms for financial mathematics applications 0 0 0 3 0 0 0 22
A note on the association between systematic risk and common stock and bond rating classifications 0 0 0 28 0 0 0 111
A risk-based evaluation of the free-trader option 0 0 0 26 0 1 1 60
AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES 1 1 3 4 2 3 11 19
An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors 0 0 1 96 0 0 2 210
An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey 0 0 0 0 0 0 6 14
An empirical analysis of the CDX index and its tranches 0 0 1 60 0 1 2 164
An empirical examination of the return distribution characteristics of agency mortgage pass-through securities 0 0 1 32 1 1 2 151
An improved least squares Monte Carlo valuation method based on heteroscedasticity 0 0 5 23 1 4 18 67
An improved method for pricing and hedging long dated American options 0 0 0 7 1 3 5 33
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve 0 0 0 26 0 0 1 110
Analysis of the intraday effects of economic releases on the currency market 0 0 1 25 0 2 5 124
Approximation of Stable and Geometric Stable Distribution 0 0 2 3 3 3 13 32
Approximation of aggregate and extremal losses within the very heavy tails framework 0 0 0 4 0 0 2 56
Approximation of skewed and leptokurtic return distributions 0 0 3 42 0 0 3 187
BARRIER OPTION PRICING BY BRANCHING PROCESSES 0 0 1 2 0 0 2 8
Balancing energy strategies in electricity portfolio management 0 0 1 56 1 2 12 180
Bayesian estimation of truncated data with applications to operational risk measurement 0 0 2 4 0 0 7 38
Beta as a Random Coefficient 0 0 4 132 0 0 16 285
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty 0 0 1 1 1 2 4 11
Black swans and white eagles: on mathematics and finance 0 0 1 5 1 1 4 18
CAViaR-based forecast for oil price risk 0 2 3 87 1 6 16 246
CVaR sensitivity with respect to tail thickness 0 0 2 13 0 1 8 60
Calibrating affine stochastic mortality models using term assurance premiums 0 0 2 26 2 4 10 105
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models 0 0 0 0 1 2 4 12
Chinese equity market and the efficient frontier 0 1 1 134 0 2 4 440
Composition of robust equity portfolios 0 0 0 15 0 3 6 63
Computational aspects of portfolio risk estimation in volatile markets: a survey 0 0 0 12 0 0 2 54
Construction of probability metrics on classes of investors 0 0 0 14 1 1 4 71
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments 0 0 2 23 1 2 11 107
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY 0 0 0 2 3 3 8 15
Deciphering robust portfolios 0 0 2 15 1 2 8 56
Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns 0 0 0 10 0 1 4 112
Discussion of ‘on simulation and properties of the stable law’ by Devroye and James 0 0 0 6 0 0 4 27
Diversification versus optimality: is there really a diversification puzzle? 0 0 0 3 1 1 9 22
Does the corporate bond market overvalue bonds of sin companies? 0 0 3 5 0 1 27 47
Effective Capital Gains Tax Rates: A Reply 0 0 0 0 0 1 2 7
Effectiveness of developed and emerging market FX options in active currency risk management 0 0 10 13 2 5 55 74
Effects of Spot Market Short-Sale Constraints on Index Futures Trading 0 0 0 1 1 2 10 24
Elliptical tempered stable distribution 0 0 0 2 0 0 1 9
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange 0 0 1 22 0 1 7 190
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data 1 1 7 106 1 3 15 257
Enhancing binomial and trinomial equity option pricing models 0 0 4 5 1 1 14 27
Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence 1 2 10 36 3 14 49 139
Equity Manager Selection and Performance 0 0 0 164 0 0 4 324
Equity style allocation: A nonparametric approach 0 0 3 5 1 2 14 32
Estimating risk-neutral density with parametric models in interest rate markets 0 0 1 42 2 2 10 177
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios 0 1 1 1 0 1 5 12
Exploring rating shopping for european triple a senior structured finance securities 0 0 0 1 1 3 5 33
Exploring the components of credit risk in credit default swaps 1 2 6 273 2 6 24 649
Explosive rents: The real estate market dynamics in exuberance 0 1 2 15 0 2 10 57
Extracting market information from equity options with exponential Lévy processes 0 0 0 19 1 1 4 86
FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? 0 0 0 0 2 2 4 9
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET 0 0 3 7 1 2 10 37
Factor decomposition of the Eurozone sovereign CDS spreads 0 2 3 27 0 5 15 73
Financial market models with Lévy processes and time-varying volatility 2 2 2 133 4 4 6 358
Focusing on the worst state for robust investing 0 0 1 6 0 1 3 53
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration 0 0 0 41 0 1 3 214
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns 0 1 1 30 0 1 2 91
Fuzzy decision fusion approach for loss-given-default modeling 1 2 5 13 1 4 12 51
Generalized Functional Form for Mutual Fund Returns 0 0 0 2 0 0 1 15
Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques 0 0 0 18 1 3 9 69
Holiday Trading in Futures Markets 1 2 8 74 2 6 16 266
Household search choice: theory and evidence 0 0 0 11 0 0 0 97
How do conflicting theories about financial markets coexist? 0 0 0 38 0 0 3 209
How fat are the tails of equity market indices? 0 0 1 5 1 3 7 21
Improving corporate bond recovery rate prediction using multi-factor support vector regressions 1 4 13 26 3 9 37 72
Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model 0 0 1 102 0 0 7 253
Intensity-based framework for surrender modeling in life insurance 0 2 6 19 2 6 16 63
International corporate finance: Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp 0 1 2 88 0 2 4 368
Introduction to special issue: studies in mathematical and empirical finance 0 0 0 0 1 1 2 5
Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads 0 0 0 11 1 1 5 37
Is food consumption a good proxy for nondurable consumption? 0 0 1 10 0 0 3 77
Liability Index Fund: The Liability Beta Portfolio 0 0 0 0 0 3 15 129
Local volatility and the recovery rate of credit default swaps 0 0 0 4 1 2 9 27
Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities 0 0 1 1 1 3 6 11
MCMC-based estimation of Markov Switching ARMA-GARCH models 0 1 3 71 0 2 9 266
METRIZATION OF STOCHASTIC DOMINANCE RULES 0 0 0 1 0 0 3 8
Macroeconomic news effects on conditional volatilities in the bond and stock markets 0 0 0 93 0 1 2 265
Macroeconomic variable selection for creditor recovery rates 1 1 9 25 3 6 37 118
Market experience with modeling for defined-benefit pension funds: evidence from four countries 0 0 0 77 0 0 2 168
Market implied volatilities for defaultable bonds 0 0 2 4 0 2 12 21
Market overreaction and underreaction: tests of the directional and magnitude effects 1 2 4 25 2 5 17 82
Mathematical Programming in American Companies: A Sample Survey 0 0 0 0 0 0 0 2
Mathematical programming models to determine civil service salaries 0 1 2 13 0 2 4 40
Measuring and explaining pension system risk* 0 0 1 13 6 7 21 58
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 0 0 0 0 0 0 5 17
Modeling Volatility for the Chinese Equity Markets 0 1 2 42 0 2 7 235
Momentum strategies based on reward-risk stock selection criteria 0 2 14 130 1 5 26 440
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion 0 0 0 3 1 1 5 26
Multi-tail generalized elliptical distributions for asset returns 0 0 0 40 0 0 1 213
Multiperiod conditional valuation of barrier options with incomplete information 0 0 1 1 1 1 3 11
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market 0 1 2 250 0 3 9 661
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination 0 0 1 152 0 2 7 367
Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time 0 0 0 2 0 0 3 26
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS 0 0 0 1 0 0 2 5
OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH 0 0 0 0 0 0 9 13
OR PRACTICE---Assisting Defined-Benefit Pension Plans 0 0 0 2 1 1 2 12
On risk management problems related to a coherence property 0 0 0 4 0 0 3 28
On stability of operational risk estimates by LDA: From causes to approaches 0 0 1 5 1 1 6 42
On the challenges in quantitative equity management 0 0 1 74 0 0 4 165
Optimal Financial Portfolios 0 0 2 71 0 0 7 226
Optimal corporate strategy under uncertainty 0 0 0 17 0 1 2 99
Optimal mortgage refinancing: application of bond valuation tools to household risk management 0 0 0 17 0 0 4 137
Option pricing and hedging under a stochastic volatility Lévy process model 0 0 2 27 0 4 10 102
Option pricing under stochastic volatility and tempered stable Lévy jumps 0 1 7 34 1 2 13 113
Option pricing with time-changed L�vy processes 0 0 1 15 0 1 8 57
Orderings and Probability Functionals Consistent with Preferences 0 0 0 15 1 1 2 57
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS 0 1 1 2 0 1 3 9
Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence 0 0 0 0 0 2 6 165
Penalizing variances for higher dependency on factors 0 0 2 5 1 2 5 12
Portfolio revision under mean-variance and mean-CVaR with transaction costs 0 1 3 30 0 2 8 104
Portfolio selection under distributional uncertainty: A relative robust CVaR approach 0 2 3 60 2 4 11 214
Portfolio selection with conservative short-selling 0 0 1 5 0 2 10 37
Portfolio selection with uncertain exit time: A robust CVaR approach 1 1 1 52 1 4 5 148
Predictability dynamics of emerging sovereign CDS markets 0 0 1 8 1 1 10 50
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions 0 0 0 32 0 0 2 142
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models 0 0 0 66 0 0 3 291
Property Derivatives for Managing European Real†Estate Risk 0 1 1 1 0 1 2 3
Quantile-Based Inference for Tempered Stable Distributions 1 1 3 4 1 3 12 22
Quanto Option Pricing with Lévy Models 1 2 4 6 2 4 24 32
RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL 0 0 0 3 1 3 12 27
Recent Developments in Robust Portfolios with a Worst-Case Approach 0 0 2 2 0 0 5 10
Recent advancements in robust optimization for investment management 0 2 5 29 3 12 22 76
Refunding efficiency: a generalized approach 0 0 0 51 0 0 6 120
Relative deviation metrics and the problem of strategy replication 0 0 1 13 1 2 6 139
Risk management and dynamic portfolio selection with stable Paretian distributions 0 0 1 31 0 1 8 142
Robust equity portfolio performance 0 0 2 7 2 5 23 50
Robust portfolios that do not tilt factor exposure 0 0 0 14 0 0 1 42
Robust portfolios: contributions from operations research and finance 0 3 3 6 1 4 11 40
Savings selectivity bias, subjective expectations and stock market participation 0 0 1 11 1 1 6 48
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics 0 0 0 6 0 0 7 42
Sentiment indices and their forecasting ability 0 0 2 4 1 2 9 15
Size, value, and momentum in emerging market stock returns 2 2 29 116 10 15 75 417
Skillful hiding: evaluating hedge fund managers’ performance based on what they hide 0 0 0 3 0 3 7 14
Smooth monotone covariance for elliptical distributions and applications in finance 0 0 0 4 0 2 2 21
Stability Tests for Alphas and Betas over Bull and Bear Market Conditions 0 1 4 304 0 1 10 657
Stability of mutual fund systematic risk statistics 0 0 1 39 0 0 2 149
Stable distributions in the Black-Litterman approach to asset allocation 0 0 3 176 1 1 8 424
State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments 0 0 0 20 1 1 4 70
Stochastic models for risk estimation in volatile markets: a survey 0 0 0 0 1 1 2 43
Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering 0 0 1 22 1 1 5 64
Svetlozar, T. Rachev, John S.J. Hsu, B.S. Bagasheva and F.J. Fabozzi, Bayesian Methods in Finance, John Wiley and Sons, USA (2008) ISBN 978-0-471-92083-0 (hardcover), $95, 329 pages 0 0 0 26 0 0 1 108
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY 1 1 1 3 1 1 4 12
Taxation of Capital Gains With Deferred Realization 0 0 1 2 0 4 5 11
Tempered stable and tempered infinitely divisible GARCH models 0 0 2 22 1 1 6 99
The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model 0 0 0 10 1 2 2 39
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation 0 0 1 208 0 2 6 611
The Over-the-Counter Market and New York Stock Exchange Trading Halts 0 0 0 0 0 1 3 397
The Reasonable Effectiveness of Mathematics in Economics 0 0 2 6 0 0 4 14
The Timeline Estimation of Bubbles: The Case of Real Estate 1 1 3 6 2 3 27 47
The information content of three credit ratings: the case of European residential mortgage-backed securities 0 0 0 6 0 0 2 35
The new issues puzzle: evidence from non-US firms 0 0 0 6 0 1 2 25
The role of jump dynamics in the risk–return relationship 0 0 0 6 0 0 2 43
The value, size, and momentum spread during distressed economic periods 1 1 2 103 1 3 7 218
Time series analysis for financial market meltdowns 0 0 0 30 2 4 10 138
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction 0 3 6 47 1 7 19 128
Trends in quantitative equity management: survey results 0 0 1 170 0 1 3 360
Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies 0 2 11 13 1 4 25 37
Valuation of Safe Harbor Tax Benefit Transfer Leases 0 0 0 22 0 0 2 154
WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS 0 1 1 1 0 1 3 10
What do robust equity portfolio models really do? 0 1 1 4 2 4 6 24
Total Journal Articles 27 116 502 6,716 139 436 1,846 21,404


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition 0 0 0 0 13 37 113 403
Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management 2 3 13 17 11 19 52 70
Total Books 2 3 13 17 24 56 165 473


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Portfolio Selection Analysis with Non-Gaussian Models 1 2 5 17 4 5 19 54
Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions 0 3 5 10 1 5 15 31
Extreme Value Theory 1 2 8 19 6 8 32 67
Implied Volatility Smile with Non-Gaussian Processes 0 0 1 3 1 1 8 24
Introduction 0 0 0 0 1 1 2 8
Multivariate Time-Changed Brownian Motion 0 2 4 9 3 7 21 30
Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method 0 0 1 3 1 2 11 23
Random Variables 0 0 0 3 1 1 6 16
Stochastic Processes with Jumps 0 0 1 2 3 3 11 17
Tempered Stable Distributions 0 1 3 4 3 5 14 26
The Class of Stable Distributions 0 0 0 0 1 1 3 9
The Generalized Hyperbolic Distribution 2 2 5 7 4 5 19 24
Total Chapters 4 12 33 77 29 44 161 329


Statistics updated 2021-01-03