Details about Frank J. Fabozzi

E-mail:
Homepage:	http://www.frankfabozzi.com
Workplace:	Département Comptabilité, Droit, Finance et Économie (Department of Accounting, Law, Finance and Economics), Groupe EDHEC (École de Hautes Études Commerciales du Nord) (EDHEC Business School), (more information at EDIRC) EDHEC-Risk, Groupe EDHEC (École de Hautes Études Commerciales du Nord) (EDHEC Business School), (more information at EDIRC) Groupe EDHEC (École de Hautes Études Commerciales du Nord) (EDHEC Business School), (more information at EDIRC)

Access statistics for papers by Frank J. Fabozzi.

Last updated 2019-08-06. Update your information in the RePEc Author Service.

Short-id: pfa323

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Working Papers

2020

1. Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
   Papers, arXiv.org View citations (1)
2. Option Pricing with Greed and Fear Factor: The Rational Finance Approach
   Papers, arXiv.org View citations (2)

2019

3. A New Set of Financial Instruments
   Papers, arXiv.org View citations (3)
4. Multiple Subordinated Modeling of Asset Returns
   Papers, arXiv.org View citations (6)

2017

5. Another Look at the Ho-Lee Bond Option Pricing Model
   Papers, arXiv.org
6. Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing
   Papers, arXiv.org
7. Enhancing Binomial and Trinomial Equity Option Pricing Models
   Papers, arXiv.org
   See also Journal Article Enhancing binomial and trinomial equity option pricing models, Finance Research Letters, Elsevier (2019) View citations (11) (2019)
8. Option pricing for Informed Traders
   Papers, arXiv.org
9. Pricing derivatives in Hermite markets
   Papers, arXiv.org
   Also in Papers, arXiv.org (2016)

2016

10. Financial market with no riskless (safe) asset
    Papers, arXiv.org
    See also Journal Article FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2017) View citations (9) (2017)
11. Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
    Papers, arXiv.org View citations (16)
    See also Journal Article Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion, Economics Letters, Elsevier (2016) View citations (16) (2016)

2015

12. The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (2)

2014

13. Calibrating the Italian smile with time-varying volatility and heavy-tailed models
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
    See also Journal Article Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models, Computational Economics, Springer (2018) View citations (2) (2018)

2013

14. Technical Review Panel for the Pension Insurance Modeling System (PIMS)
    Working Papers, University of Michigan, Michigan Retirement Research Center View citations (1)
15. Tempered stable Ornstein-Uhlenbeck processes: a practical view
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (2)

2012

16. Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (36)
    See also Journal Article Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model, Annals of Operations Research, Springer (2012) View citations (36) (2012)
17. Option pricing with regime switching tempered stable processes
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management

2011

18. A profit model for spread trading with an application to energy futures
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (4)
19. CVaR sensitivity with respect to tail thickness
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (5)
    See also Journal Article CVaR sensitivity with respect to tail thickness, Journal of Banking & Finance, Elsevier (2013) View citations (13) (2013)
20. Fat-tailed models for risk estimation
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (26)
21. Tempered infinitely divisible distributions and processes
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (14)
22. Tempered stable and tempered infinitely divisible GARCH models
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (7)
    See also Journal Article Tempered stable and tempered infinitely divisible GARCH models, Journal of Banking & Finance, Elsevier (2010) View citations (39) (2010)

2010

23. Analysis of the intraday effects of economic releases on the currency market
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management
    See also Journal Article Analysis of the intraday effects of economic releases on the currency market, Journal of International Money and Finance, Elsevier (2011) View citations (15) (2011)
24. Bayesian inference for hedge funds with stable distribution of returns
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management View citations (4)
25. Time series analysis for financial market meltdowns
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management
    See also Journal Article Time series analysis for financial market meltdowns, Journal of Banking & Finance, Elsevier (2011) View citations (38) (2011)

Journal Articles

2019

1. Does the corporate bond market overvalue bonds of sin companies?
   Finance Research Letters, 2019, 28, (C), 165-170 View citations (5)
2. Effectiveness of developed and emerging market FX options in active currency risk management
   Journal of International Money and Finance, 2019, 96, (C), 130-146
3. Enhancing binomial and trinomial equity option pricing models
   Finance Research Letters, 2019, 28, (C), 185-190 View citations (11)
   See also Working Paper Enhancing Binomial and Trinomial Equity Option Pricing Models, Papers (2017) (2017)
4. Market implied volatilities for defaultable bonds
   Annals of Operations Research, 2019, 275, (2), 669-683
5. Quantile-Based Inference for Tempered Stable Distributions
   Computational Economics, 2019, 53, (1), 51-83 View citations (3)
6. Quanto Option Pricing with Lévy Models
   Computational Economics, 2019, 53, (3), 1279-1308 View citations (5)
7. Sentiment indices and their forecasting ability
   Journal of Forecasting, 2019, 38, (4), 257-276 View citations (3)
8. The Timeline Estimation of Bubbles: The Case of Real Estate
   Real Estate Economics, 2019, 47, (2), 564-594 View citations (11)

2018

9. An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey
   Applied Economics, 2018, 50, (40), 4318-4327 View citations (2)
10. Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
    Computational Economics, 2018, 51, (3), 339-378 View citations (2)
    See also Working Paper Calibrating the Italian smile with time-varying volatility and heavy-tailed models, Temi di discussione (Economic working papers) (2014) View citations (2) (2014)
11. Diversification versus optimality: is there really a diversification puzzle?
    Applied Economics, 2018, 50, (43), 4671-4693 View citations (22)
12. Improving corporate bond recovery rate prediction using multi-factor support vector regressions
    European Journal of Operational Research, 2018, 271, (2), 664-675 View citations (27)
13. Local volatility and the recovery rate of credit default swaps
    Journal of Economic Dynamics and Control, 2018, 92, (C), 1-29 View citations (2)
14. Macroeconomic variable selection for creditor recovery rates
    Journal of Banking & Finance, 2018, 89, (C), 14-25 View citations (35)
15. Recent advancements in robust optimization for investment management
    Annals of Operations Research, 2018, 266, (1), 183-198 View citations (12)
16. Robust equity portfolio performance
    Annals of Operations Research, 2018, 266, (1), 293-312 View citations (11)
17. Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies
    Finance Research Letters, 2018, 25, (C), 196-201 View citations (1)

2017

18. A flexible approach to estimate the equity premium
    Applied Economics, 2017, 49, (59), 5940-5950
19. An improved least squares Monte Carlo valuation method based on heteroscedasticity
    European Journal of Operational Research, 2017, 263, (2), 698-706 View citations (10)
20. Effects of Spot Market Short-Sale Constraints on Index Futures Trading
    Review of Finance, 2017, 21, (5), 1975-2005 View citations (4)
21. Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence
    Journal of Asset Management, 2017, 18, (3), 188-208 View citations (7)
22. Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios
    Applied Economics Letters, 2017, 24, (13), 923-927 View citations (1)
23. Exploring rating shopping for european triple a senior structured finance securities
    Finance Research Letters, 2017, 20, (C), 35-39 View citations (5)
24. Explosive rents: The real estate market dynamics in exuberance
    The Quarterly Review of Economics and Finance, 2017, 66, (C), 100-107 View citations (1)
25. FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (08), 1-24 View citations (9)
    See also Working Paper Financial market with no riskless (safe) asset, Papers (2016) (2016)
26. Fuzzy decision fusion approach for loss-given-default modeling
    European Journal of Operational Research, 2017, 262, (2), 780-791 View citations (31)
27. How fat are the tails of equity market indices?
    International Journal of Finance & Economics, 2017, 22, (3), 181-200 View citations (2)
28. Intensity-based framework for surrender modeling in life insurance
    Insurance: Mathematics and Economics, 2017, 72, (C), 189-196 View citations (6)
29. Penalizing variances for higher dependency on factors
    Quantitative Finance, 2017, 17, (4), 479-489
30. Predictability dynamics of emerging sovereign CDS markets
    Economics Letters, 2017, 161, (C), 5-9 View citations (10)
31. Skillful hiding: evaluating hedge fund managers’ performance based on what they hide
    Applied Economics, 2017, 49, (7), 664-676

2016

32. A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
    Journal of Banking & Finance, 2016, 65, (C), 134-155 View citations (16)
33. An improved method for pricing and hedging long dated American options
    European Journal of Operational Research, 2016, 254, (2), 656-666 View citations (8)
34. Elliptical tempered stable distribution
    Quantitative Finance, 2016, 16, (7), 1069-1087 View citations (3)
35. Equity style allocation: A nonparametric approach
    Journal of Asset Management, 2016, 17, (3), 141-164
36. Factor decomposition of the Eurozone sovereign CDS spreads
    Journal of International Money and Finance, 2016, 65, (C), 1-23 View citations (27)
37. Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques
    International Review of Financial Analysis, 2016, 45, (C), 189-201
38. Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion
    Economics Letters, 2016, 145, (C), 225-229 View citations (16)
    See also Working Paper Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion, Papers (2016) View citations (16) (2016)
39. On stability of operational risk estimates by LDA: From causes to approaches
    Journal of Banking & Finance, 2016, 68, (C), 266-278 View citations (6)
40. Portfolio selection with conservative short-selling
    Finance Research Letters, 2016, 18, (C), 363-369 View citations (6)
41. RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (04), 1-28 View citations (12)
42. Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction
    International Review of Financial Analysis, 2016, 48, (C), 272-281 View citations (29)

2015

43. A Three-Factor Model for Mortality Modeling
    North American Actuarial Journal, 2015, 19, (2), 129-141 View citations (2)
44. Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
    Journal of Financial Engineering (JFE), 2015, 02, (01), 1-31 View citations (1)
45. Focusing on the worst state for robust investing
    International Review of Financial Analysis, 2015, 39, (C), 19-31 View citations (8)
46. Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads
    Computational Economics, 2015, 46, (2), 243-273 View citations (7)
47. Measuring and explaining pension system risk*
    Journal of Pension Economics and Finance, 2015, 14, (2), 161-171 View citations (1)
48. Multiperiod conditional valuation of barrier options with incomplete information
    Quantitative Finance, 2015, 15, (7), 1093-1102
49. The information content of three credit ratings: the case of European residential mortgage-backed securities
    The European Journal of Finance, 2015, 21, (3), 172-194 View citations (10)

2014

50. 60 Years of portfolio optimization: Practical challenges and current trends
    European Journal of Operational Research, 2014, 234, (2), 356-371 View citations (185)
51. Bayesian estimation of truncated data with applications to operational risk measurement
    Quantitative Finance, 2014, 14, (5), 863-888 View citations (4)
52. Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
    Economics Letters, 2014, 122, (2), 154-158 View citations (22)
53. Deciphering robust portfolios
    Journal of Banking & Finance, 2014, 45, (C), 1-8 View citations (11)
54. Discussion of ‘on simulation and properties of the stable law’ by Devroye and James
    Statistical Methods & Applications, 2014, 23, (3), 353-357
55. Extracting market information from equity options with exponential Lévy processes
    Journal of Economic Dynamics and Control, 2014, 38, (C), 125-141 View citations (6)
56. Option pricing under stochastic volatility and tempered stable Lévy jumps
    International Review of Financial Analysis, 2014, 31, (C), 101-108 View citations (18)
57. Recent Developments in Robust Portfolios with a Worst-Case Approach
    Journal of Optimization Theory and Applications, 2014, 161, (1), 103-121 View citations (36)
58. Robust portfolios that do not tilt factor exposure
    European Journal of Operational Research, 2014, 234, (2), 411-421 View citations (14)
59. Smooth monotone covariance for elliptical distributions and applications in finance
    Quantitative Finance, 2014, 14, (9), 1555-1571 View citations (1)

2013

60. CVaR sensitivity with respect to tail thickness
    Journal of Banking & Finance, 2013, 37, (3), 977-988 View citations (13)
    See also Working Paper CVaR sensitivity with respect to tail thickness, Working Paper Series in Economics (2011) View citations (5) (2011)
61. Composition of robust equity portfolios
    Finance Research Letters, 2013, 10, (2), 72-81 View citations (17)
62. Computational aspects of portfolio risk estimation in volatile markets: a survey
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (1), 103-120
63. Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (2), 167-177 View citations (6)
64. FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST?
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (04), 1-20
65. Market overreaction and underreaction: tests of the directional and magnitude effects
    Applied Financial Economics, 2013, 23, (18), 1469-1482 View citations (30)
66. Optimal corporate strategy under uncertainty
    Applied Economics, 2013, 45, (20), 2877-2882 View citations (1)
67. Option pricing with time-changed L�vy processes
    Applied Financial Economics, 2013, 23, (15), 1231-1238 View citations (12)
68. PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (05), 1-38 View citations (10)
69. Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
    Annals of Operations Research, 2013, 205, (1), 169-187 View citations (25)
70. Size, value, and momentum in emerging market stock returns
    Emerging Markets Review, 2013, 16, (C), 46-65 View citations (106)
71. The new issues puzzle: evidence from non-US firms
    Applied Economics Letters, 2013, 20, (17), 1586-1591 View citations (1)
72. The role of jump dynamics in the risk–return relationship
    International Review of Financial Analysis, 2013, 29, (C), 212-218 View citations (4)
73. What do robust equity portfolio models really do?
    Annals of Operations Research, 2013, 205, (1), 141-168 View citations (12)

2012

74. A Pricing Framework for Real Estate Derivatives
    European Financial Management, 2012, 18, (5), 762-789 View citations (19)
75. A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
    Insurance: Mathematics and Economics, 2012, 50, (1), 85-93 View citations (7)
76. A new method for generating approximation algorithms for financial mathematics applications
    Quantitative Finance, 2012, 12, (10), 1571-1583
77. Approximation of Stable and Geometric Stable Distribution
    Journal of Statistical and Econometric Methods, 2012, 1, (3), 8 View citations (1)
78. Approximation of skewed and leptokurtic return distributions
    Applied Financial Economics, 2012, 22, (16), 1305-1316 View citations (14)
79. Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities
    European Financial Management, 2012, 18, (4), 515-542 View citations (17)
80. METRIZATION OF STOCHASTIC DOMINANCE RULES
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (02), 1-22 View citations (5)
81. Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
    Annals of Operations Research, 2012, 201, (1), 325-343 View citations (36)
    See also Working Paper Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model, Working Paper Series in Economics (2012) View citations (36) (2012)
82. Option pricing and hedging under a stochastic volatility Lévy process model
    Review of Derivatives Research, 2012, 15, (1), 81-97 View citations (7)
83. Portfolio revision under mean-variance and mean-CVaR with transaction costs
    Review of Quantitative Finance and Accounting, 2012, 39, (4), 509-526 View citations (9)

2011

84. Analysis of the intraday effects of economic releases on the currency market
    Journal of International Money and Finance, 2011, 30, (4), 692-707 View citations (15)
    See also Working Paper Analysis of the intraday effects of economic releases on the currency market, Working Paper Series in Economics (2010) (2010)
85. Balancing energy strategies in electricity portfolio management
    Energy Economics, 2011, 33, (1), 2-11 View citations (36)
86. Calibrating affine stochastic mortality models using term assurance premiums
    Insurance: Mathematics and Economics, 2011, 49, (1), 53-60 View citations (13)
87. Household search choice: theory and evidence
    Applied Economics, 2011, 43, (26), 3835-3847 View citations (1)
88. Is food consumption a good proxy for nondurable consumption?
    Economics Letters, 2011, 111, (2), 110-112 View citations (1)
89. Liability Index Fund: The Liability Beta Portfolio
    Journal of Financial Transformation, 2011, 33, 29-33
90. MCMC-based estimation of Markov Switching ARMA-GARCH models
    Applied Economics, 2011, 43, (3), 259-271 View citations (28)
91. Savings selectivity bias, subjective expectations and stock market participation
    Applied Financial Economics, 2011, 21, (3), 119-130
92. Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering
    Financial Markets and Portfolio Management, 2011, 25, (4), 477-478 View citations (5)
93. Time series analysis for financial market meltdowns
    Journal of Banking & Finance, 2011, 35, (8), 1879-1891 View citations (38)
    See also Working Paper Time series analysis for financial market meltdowns, Working Paper Series in Economics (2010) (2010)

2010

94. A risk-based evaluation of the free-trader option
    Quantitative Finance, 2010, 10, (3), 235-240 View citations (1)
95. Approximation of aggregate and extremal losses within the very heavy tails framework
    Quantitative Finance, 2010, 10, (10), 1153-1162
96. Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (2), 26 View citations (4)
97. Portfolio selection under distributional uncertainty: A relative robust CVaR approach
    European Journal of Operational Research, 2010, 203, (1), 185-194 View citations (64)
98. Property Derivatives for Managing European Real†Estate Risk
    European Financial Management, 2010, 16, (1), 8-26 View citations (5)
99. Risk management and dynamic portfolio selection with stable Paretian distributions
    Journal of Empirical Finance, 2010, 17, (2), 195-211 View citations (8)
100. Robust portfolios: contributions from operations research and finance
     Annals of Operations Research, 2010, 176, (1), 191-220 View citations (117)
101. Stochastic models for risk estimation in volatile markets: a survey
     Annals of Operations Research, 2010, 176, (1), 293-309 View citations (15)
102. Tempered stable and tempered infinitely divisible GARCH models
     Journal of Banking & Finance, 2010, 34, (9), 2096-2109 View citations (39)
     See also Working Paper Tempered stable and tempered infinitely divisible GARCH models, Working Paper Series in Economics (2011) View citations (7) (2011)
103. The Reasonable Effectiveness of Mathematics in Economics
     The American Economist, 2010, 55, (1), 19-30

2009

104. A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions
     European Financial Management, 2009, 15, (2), 340-361 View citations (9)
105. A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
     Empirical Economics, 2009, 36, (1), 201-229 View citations (30)
106. An empirical analysis of the CDX index and its tranches
     Applied Economics Letters, 2009, 16, (14), 1425-1431 View citations (2)
107. BARRIER OPTION PRICING BY BRANCHING PROCESSES
     International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (07), 1055-1073 View citations (2)
108. Black swans and white eagles: on mathematics and finance
     Mathematical Methods of Operations Research, 2009, 69, (3), 379-394 View citations (1)
109. CAViaR-based forecast for oil price risk
     Energy Economics, 2009, 31, (4), 511-518 View citations (22)
110. Construction of probability metrics on classes of investors
     Economics Letters, 2009, 103, (1), 45-48
111. Estimating risk-neutral density with parametric models in interest rate markets
     Quantitative Finance, 2009, 9, (1), 55-70 View citations (9)
112. Introduction to special issue: studies in mathematical and empirical finance
     Mathematical Methods of Operations Research, 2009, 69, (3), 375-377
113. Multi-tail generalized elliptical distributions for asset returns
     Econometrics Journal, 2009, 12, (2), 272-291 View citations (7)
114. Orderings and Probability Functionals Consistent with Preferences
     Applied Mathematical Finance, 2009, 16, (1), 81-102 View citations (9)
115. Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
     Applied Financial Economics, 2009, 19, (17), 1401-1416
116. Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
     Journal of Empirical Finance, 2009, 16, (2), 201-215 View citations (6)
117. 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
     International Journal of Forecasting, 2009, 25, (3), 632-634 View citations (1)

2008

118. An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors
     Journal of Financial and Quantitative Analysis, 2008, 43, (1), 123-160 View citations (28)
119. DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
     International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (01), 19-54 View citations (33)
120. Financial market models with Lévy processes and time-varying volatility
     Journal of Banking & Finance, 2008, 32, (7), 1363-1378 View citations (48)
121. Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
     Annals of Finance, 2008, 4, (2), 217-241 View citations (14)
122. Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
     Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (2), 37 View citations (24)
123. OR PRACTICE---Assisting Defined-Benefit Pension Plans
     Operations Research, 2008, 56, (5), 1066-1078 View citations (9)
124. On the challenges in quantitative equity management
     Quantitative Finance, 2008, 8, (7), 649-665 View citations (6)
125. Portfolio selection with uncertain exit time: A robust CVaR approach
     Journal of Economic Dynamics and Control, 2008, 32, (2), 594-623 View citations (28)
126. Relative deviation metrics and the problem of strategy replication
     Journal of Banking & Finance, 2008, 32, (2), 199-206 View citations (4)

2007

127. An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
     European Journal of Operational Research, 2007, 177, (2), 1134-1152 View citations (2)
128. Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns
     The European Journal of Finance, 2007, 13, (3), 269-282 View citations (1)
129. Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
     Annals of Economics and Finance, 2007, 8, (1), 21-31 View citations (2)
130. Exploring the components of credit risk in credit default swaps
     Finance Research Letters, 2007, 4, (1), 10-18 View citations (35)
131. Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns
     Journal of Economics and Business, 2007, 59, (6), 575-595 View citations (16)
132. How do conflicting theories about financial markets coexist?
     Journal of Post Keynesian Economics, 2007, 29, (3), 363-391 View citations (1)
133. Momentum strategies based on reward-risk stock selection criteria
     Journal of Banking & Finance, 2007, 31, (8), 2325-2346 View citations (48)
134. ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
     International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (08), 1305-1321 View citations (2)
135. Optimal Financial Portfolios
     Applied Mathematical Finance, 2007, 14, (5), 401-436 View citations (37)
136. Stable distributions in the Black-Litterman approach to asset allocation
     Quantitative Finance, 2007, 7, (4), 423-433 View citations (21)
137. Trends in quantitative equity management: survey results
     Quantitative Finance, 2007, 7, (2), 115-122 View citations (12)

2006

138. An empirical examination of the return distribution characteristics of agency mortgage pass-through securities
     Applied Financial Economics, 2006, 16, (15), 1085-1094 View citations (1)
139. Macroeconomic news effects on conditional volatilities in the bond and stock markets
     Applied Financial Economics, 2006, 16, (5), 377-384 View citations (13)
140. On risk management problems related to a coherence property
     Quantitative Finance, 2006, 6, (1), 75-81 View citations (3)
141. The value, size, and momentum spread during distressed economic periods
     Finance Research Letters, 2006, 3, (4), 244-252 View citations (12)

2005

142. Market experience with modeling for defined-benefit pension funds: evidence from four countries
     Journal of Pension Economics and Finance, 2005, 4, (3), 313-327 View citations (3)
143. THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
     International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (08), 1107-1133 View citations (21)

2004

144. A methodology for index tracking based on time-series clustering
     Quantitative Finance, 2004, 4, (4), 417-425 View citations (18)
145. AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
     International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (08), 949-978 View citations (20)
146. Modeling Volatility for the Chinese Equity Markets
     Annals of Economics and Finance, 2004, 5, (1), 79-92 View citations (11)

2000

147. Equity Manager Selection and Performance
     Review of Quantitative Finance and Accounting, 2000, 15, (1), 81-97 View citations (2)

1996

148. International corporate finance: Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp
     The North American Journal of Economics and Finance, 1996, 7, (2), 233-234

1994

149. Holiday Trading in Futures Markets
     Journal of Finance, 1994, 49, (1), 307-24 View citations (30)

1993

150. The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation
     Journal of Finance, 1993, 48, (3), 1039-55 View citations (70)

1991

151. Effective Capital Gains Tax Rates: A Reply
     National Tax Journal, 1991, 44, (1), 105-07

1989

152. OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH
     Journal of Financial Research, 1989, 12, (2), 129-142
153. Taxation of Capital Gains With Deferred Realization
     National Tax Journal, 1989, 42, (4), 475-85 View citations (4)

1988

154. The Over-the-Counter Market and New York Stock Exchange Trading Halts
     The Financial Review, 1988, 23, (4), 427-37 View citations (6)

1986

155. State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments
     Journal of Financial and Quantitative Analysis, 1986, 21, (4), 427-436 View citations (8)

1985

156. WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS
     Journal of Financial Research, 1985, 8, (3), 203-216 View citations (2)

1983

157. Valuation of Safe Harbor Tax Benefit Transfer Leases
     Journal of Finance, 1983, 38, (2), 595-606

1982

158. A note on the association between systematic risk and common stock and bond rating classifications
     Journal of Economics and Business, 1982, 34, (2), 159-163

1981

159. Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time
     Journal of Financial and Quantitative Analysis, 1981, 16, (3), 323-339 View citations (4)

1980

160. Generalized Functional Form for Mutual Fund Returns
     Journal of Financial and Quantitative Analysis, 1980, 15, (5), 1107-1120 View citations (4)
161. Stability of mutual fund systematic risk statistics
     Journal of Business Research, 1980, 8, (2), 263-275 View citations (4)

1979

162. Mathematical programming models to determine civil service salaries
     European Journal of Operational Research, 1979, 3, (3), 190-198
163. Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination
     Journal of Finance, 1979, 34, (5), 1243-50 View citations (41)
164. The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model
     Journal of Financial and Quantitative Analysis, 1979, 14, (2), 351-360 View citations (9)

1978

165. Beta as a Random Coefficient
     Journal of Financial and Quantitative Analysis, 1978, 13, (1), 101-116 View citations (125)

1977

166. A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit
     The American Economist, 1977, 21, (1), 70-71
167. Stability Tests for Alphas and Betas over Bull and Bear Market Conditions
     Journal of Finance, 1977, 32, (4), 1093-99 View citations (114)

1976

168. Mathematical Programming in American Companies: A Sample Survey
     Interfaces, 1976, 7, (1), 93-98

1972

169. Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence
     Bulletin of Economic Research, 1972, 24, (1), 3-12

Books

2019

1. Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (10)

2015

2. Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition, vol 1
   MIT Press Books, The MIT Press View citations (5)

Edited books

2016

1. The Handbook of Mortgage-Backed Securities, 7th Edition
   OUP Catalogue, Oxford University Press View citations (9)

Chapters

2019

1. A Portfolio Selection Analysis with Non-Gaussian Models
   Chapter 10 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 433-461 View citations (1)
2. Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions
   Chapter 12 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 517-547
3. Extreme Value Theory
   Chapter 9 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 367-430
4. Implied Volatility Smile with Non-Gaussian Processes
   Chapter 11 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 463-516
5. Introduction
   Chapter 1 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 3-21
6. Multivariate Time-Changed Brownian Motion
   Chapter 7 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 277-321
7. Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method
   Chapter 8 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 323-366
8. Random Variables
   Chapter 2 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 23-70
9. Stochastic Processes with Jumps
   Chapter 3 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 71-106
10. Tempered Stable Distributions
    Chapter 6 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 225-275
11. The Class of Stable Distributions
    Chapter 5 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 149-224
12. The Generalized Hyperbolic Distribution
    Chapter 4 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 109-148