An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks. - Svetlozar T. Rachev; Stoyan V. Stoyanov; Almira Biglova; Frank J. Fabozzi (Data Analysis and Decision Support, 2005)

An Improved CAViaR Model for Oil Price Risk. - Dashan Huang; Baimin Yu; Lean Yu; Frank J. Fabozzi; Masao Fukushima (International Conference on Computational Science (3), 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)

Robust portfolio selection with uncertain exit time using worst-case VaR strategy. - Dashan Huang; Frank J. Fabozzi; Masao Fukushima (Oper. Res. Lett., 2007)

OR PRACTICE - Assisting Defined-Benefit Pension Plans. - John M. Mulvey; Koray D. Simsek; Zhuojuan Zhang; Frank J. Fabozzi; William R. Pauling (Oper. Res., 2008)

Black swans and white eagles: on mathematics and finance. - Sergio Focardi; Frank J. Fabozzi (Math. Methods Oper. Res., 2009)

Introduction to special issue: studies in mathematical and empirical finance. - Svetlozar T. Rachev; Frank J. Fabozzi (Math. Methods Oper. Res., 2009)

Robust portfolios: contributions from operations research and finance. - Frank J. Fabozzi; Dashan Huang; Guofu Zhou (Ann. 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)

Portfolio selection under distributional uncertainty: A relative robust CVaR approach. - Dashan Huang; Shushang Zhu; Frank J. Fabozzi; Masao Fukushima (Eur. J. Oper. Res., 2010)

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)

What do robust equity portfolio models really do? - Woo Chang Kim; Jang Ho Kim; So Hyoung Ahn; Frank J. Fabozzi (Ann. Oper. Res., 2013)

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. - Stoyan V. Stoyanov; Svetlozar T. Rachev; Frank J. Fabozzi (Ann. Oper. Res., 2013)

Multivariate stable distributions and generating densities. - Hassan Fallahgoul; S. M. Hashemiparast; Frank J. Fabozzi; Young Shin Kim (Appl. Math. Lett., 2013)

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)

60 Years of portfolio optimization: Practical challenges and current trends. - Petter N. Kolm; Reha H. Tütüncü; Frank J. Fabozzi (Eur. J. Oper. Res., 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)

Recent Developments in Robust Portfolios with a Worst-Case Approach. - Jang Ho Kim; Woo Chang Kim; Frank J. Fabozzi (J. Optim. Theory Appl., 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)

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)

Tempered stable Ornstein- Uhlenbeck processes: A practical view. - Michele Leonardo Bianchi; Svetlozar T. Rachev; Frank J. Fabozzi (Commun. Stat. Simul. Comput., 2017)

An improved least squares Monte Carlo valuation method based on heteroscedasticity. - Frank J. Fabozzi; Tommaso Paletta; Radu Tunaru (Eur. J. Oper. Res., 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)

Recent advancements in robust optimization for investment management. - Jang Ho Kim; Woo Chang Kim; Frank J. Fabozzi (Ann. Oper. Res., 2018)

Robust equity portfolio performance. - Jang Ho Kim; Woo Chang Kim; Do-Gyun Kwon; Frank J. Fabozzi (Ann. Oper. Res., 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)

Market implied volatilities for defaultable bonds. - Vincenzo Russo; Rosella Giacometti; Frank J. Fabozzi (Ann. Oper. Res., 2019)

A New Set of Financial Instruments. - Abootaleb Shirvani; Stoyan V. Stoyanov; Svetlozar T. Rachev; Frank J. Fabozzi (Frontiers Appl. Math. Stat., 2020)

Sparse factor model based on trend filtering. - Jang Ho Kim; Woo Chang Kim; Frank J. Fabozzi (Ann. Oper. Res., 2021)

Statistical arbitrage in jump-diffusion models with compound Poisson processes. - Erdinc Akyildirim; Frank J. Fabozzi; Ahmet Göncü; Ahmet Sensoy (Ann. 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)

Intertemporal defaulted bond recoveries prediction via machine learning. - Abdolreza Nazemi; Friedrich Baumann; Frank J. Fabozzi (Eur. J. Oper. Res., 2022)

Identifying household finance heterogeneity via deep clustering. - Yoontae Hwang; Yongjae Lee; Frank J. Fabozzi (Ann. Oper. Res., 2023)

Extending the Merton model with applications to credit value adjustment. - Erdinc Akyildirim; Alper A. Hekimoglu; Ahmet Sensoy; Frank J. Fabozzi (Ann. Oper. Res., 2023)

Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints. - Ameet Kumar Banerjee; H. K. Pradhan; Ahmet Sensoy; Frank J. Fabozzi; Biplab Mahapatra (Ann. Oper. Res., 2024)

Portfolio optimization with relative tail risk. - Young Shin Kim; Frank J. Fabozzi (Ann. Oper. Res., 2024)

Enhancing mean-variance portfolio optimization through GANs-based anomaly detection. - Jang Ho Kim; Seyoung Kim; Yongjae Lee; Woo Chang Kim; Frank J. Fabozzi (Ann. Oper. Res., 2025)

Enhancing Markowitz's portfolio selection paradigm with machine learning. - Marcos López de Prado; Joseph Simonian; Francesco A. Fabozzi; Frank J. Fabozzi (Ann. Oper. Res., 2025)