Frank J. Fabozzi

According to our database, Frank J. Fabozzi authored at least 34 papers between 2005 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Extending the Merton model with applications to credit value adjustment.

Erdinc Akyildirim, Alper A. Hekimoglu, Ahmet Sensoy, Frank J. Fabozzi

Ann. Oper. Res., July, 2023

Identifying household finance heterogeneity via deep clustering.

Yoontae Hwang, Yongjae Lee, Frank J. Fabozzi

Ann. Oper. Res., June, 2023

2022

Intertemporal defaulted bond recoveries prediction via machine learning.

Abdolreza Nazemi, Friedrich Baumann, Frank J. Fabozzi

Eur. J. Oper. Res., 2022

Goal-based investing based on multi-stage robust portfolio optimization.

Jang Ho Kim, Yongjae Lee, Woo Chang Kim, Frank J. Fabozzi

Ann. Oper. Res., 2022

Statistical arbitrage in jump-diffusion models with compound Poisson processes.

Erdinc Akyildirim, Frank J. Fabozzi, Ahmet Göncü, Ahmet Sensoy

Ann. Oper. Res., 2022

2021

Sparse factor model based on trend filtering.

Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi

Ann. Oper. Res., 2021

2020

A New Set of Financial Instruments.

Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

Frontiers Appl. Math. Stat., 2020

2019

Market implied volatilities for defaultable bonds.

Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi

Ann. Oper. Res., 2019

2018

Improving corporate bond recovery rate prediction using multi-factor support vector regressions.

Abdolreza Nazemi, Konstantin Heidenreich, Frank J. Fabozzi

Eur. J. Oper. Res., 2018

Robust equity portfolio performance.

Jang Ho Kim, Woo Chang Kim, Do-Gyun Kwon, Frank J. Fabozzi

Ann. Oper. Res., 2018

Recent advancements in robust optimization for investment management.

Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi

Ann. Oper. Res., 2018

2017

Fuzzy decision fusion approach for loss-given-default modeling.

Abdolreza Nazemi, Farnoosh Fatemi Pour, Konstantin Heidenreich, Frank J. Fabozzi

Eur. J. Oper. Res., 2017

An improved least squares Monte Carlo valuation method based on heteroscedasticity.

Frank J. Fabozzi, Tommaso Paletta, Radu Tunaru

Eur. J. Oper. Res., 2017

Tempered stable Ornstein- Uhlenbeck processes: A practical view.

Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi

Commun. Stat. Simul. Comput., 2017

2016

An improved method for pricing and hedging long dated American options.

Frank J. Fabozzi, Tommaso Paletta, Silvia Stanescu, Radu Tunaru

Eur. J. Oper. Res., 2016

2014

Discussion of 'on simulation and properties of the stable law' by Devroye and James.

Michele Leonardo Bianchi, Frank J. Fabozzi

Stat. Methods Appl., 2014

Recent Developments in Robust Portfolios with a Worst-Case Approach.

Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi

J. Optim. Theory Appl., 2014

Preface to the Special Issue: 60 years following Harry Markowitz's contributions in portfolio theory and operations research.

Constantin Zopounidis, Michael Doumpos, Frank J. Fabozzi

Eur. J. Oper. Res., 2014

60 Years of portfolio optimization: Practical challenges and current trends.

Petter N. Kolm, Reha H. Tütüncü, Frank J. Fabozzi

Eur. J. Oper. Res., 2014

Robust portfolios that do not tilt factor exposure.

Woo Chang Kim, Min Jeong Kim, Jang Ho Kim, Frank J. Fabozzi

Eur. J. Oper. Res., 2014

2013

Multivariate stable distributions and generating densities.

Hassan Fallahgoul, S. M. Hashemiparast, Frank J. Fabozzi, Young Shin Kim

Appl. Math. Lett., 2013

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics.

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

Ann. Oper. Res., 2013

What do robust equity portfolio models really do?

Woo Chang Kim, Jang Ho Kim, So Hyoung Ahn, Frank J. Fabozzi

Ann. Oper. Res., 2013

2012

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.

Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca

Ann. Oper. Res., 2012

2010

Portfolio selection under distributional uncertainty: A relative robust CVaR approach.

Dashan Huang, Shushang Zhu, Frank J. Fabozzi, Masao Fukushima

Eur. J. Oper. Res., 2010

Stochastic models for risk estimation in volatile markets: a survey.

Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlozar T. Rachev, Frank J. Fabozzi

Ann. Oper. Res., 2010

Robust portfolios: contributions from operations research and finance.

Frank J. Fabozzi, Dashan Huang, Guofu Zhou

Ann. Oper. Res., 2010

2009

Introduction to special issue: studies in mathematical and empirical finance.

Svetlozar T. Rachev, Frank J. Fabozzi

Math. Methods Oper. Res., 2009

Black swans and white eagles: on mathematics and finance.

Sergio Focardi, Frank J. Fabozzi

Math. Methods Oper. Res., 2009

2008

OR PRACTICE - Assisting Defined-Benefit Pension Plans.

John M. Mulvey, Koray D. Simsek, Zhuojuan Zhang, Frank J. Fabozzi, William R. Pauling

Oper. Res., 2008

2007

Robust portfolio selection with uncertain exit time using worst-case VaR strategy.

Dashan Huang, Frank J. Fabozzi, Masao Fukushima

Oper. Res. Lett., 2007

An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve.

Dashan Huang, Yoshitaka Kai, Frank J. Fabozzi, Masao Fukushima

Eur. J. Oper. Res., 2007

An Improved CAViaR Model for Oil Price Risk.

Dashan Huang, Baimin Yu, Lean Yu, Frank J. Fabozzi, Masao Fukushima

Proceedings of the Computational Science - ICCS 2007, 7th International Conference, Beijing, China, May 27, 2007

2005

An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks.

Svetlozar T. Rachev, Stoyan V. Stoyanov, Almira Biglova, Frank J. Fabozzi

Proceedings of the Data Analysis and Decision Support, 2005