Search Results - "Fabozzi, Frank J"

60 Years of portfolio optimization: Practical challenges and current trends by Kolm, Petter N., Tütüncü, Reha, Fabozzi, Frank J.

“…•We review approaches for implementing Markowitz mean–variance analysis in practice.•Review covers inclusion of transaction costs, constraints, sensitivity to…”
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Improving corporate bond recovery rate prediction using multi-factor support vector regressions by Nazemi, Abdolreza, Heidenreich, Konstantin, Fabozzi, Frank J.

“…•Improving recovery rate prediction using multi-factor support vector regressions.•Compare prediction power by adding four types of principal component…”
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Robust portfolios: contributions from operations research and finance by Fabozzi, Frank J., Huang, Dashan, Zhou, Guofu

“…In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio…”
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Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model by Lindquist, W. Brent, Rachev, Svetlozar T., Gnawali, Jagdish, Fabozzi, Frank J.

“…We present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the…”
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Intertemporal defaulted bond recoveries prediction via machine learning by Nazemi, Abdolreza, Baumann, Friedrich, Fabozzi, Frank J.

“…•Compare econometrics and machine learning to predict corporate bond recovery rates.•Evaluate intertemporal performance recovery prediction for a wide range of…”
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Interpretable machine learning for creditor recovery rates by Nazemi, Abdolreza, Fabozzi, Frank J.

“…Machine learning methods have achieved great success in modeling complex patterns in finance such as asset pricing and credit risk that enable them to…”
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Momentum strategies based on reward–risk stock selection criteria by Rachev, Svetlozar, Jašić, Teo, Stoyanov, Stoyan, Fabozzi, Frank J.

“…In this paper, we analyze momentum strategies that are based on reward–risk stock selection criteria in contrast to ordinary momentum strategies based on a…”
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Portfolio optimization with relative tail risk by Kim, Young Shin, Fabozzi, Frank J.

“…This paper proposes analytic forms of portfolio conditional value at risk (CoVaR) and the mean of the portfolio loss conditional on it being in financial…”
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Sin Stocks Revisited: Resolving the Sin Stock Anomaly by Blitz, David, Fabozzi, Frank J.

“…Various studies report that investing in "sin stocks"--firms that make money from human vices such as alcohol, tobacco, gambling, and weapons--has historically…”
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Identifying household finance heterogeneity via deep clustering by Hwang, Yoontae, Lee, Yongjae, Fabozzi, Frank J.

“…Households are becoming increasingly heterogeneous. While previous studies have revealed many important insights (e.g., wealth effect, income effect), they…”
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Editor’s Introduction for 2023 Special Issue on Quantitative Tools for Asset Management by Fabozzi, Frank J.

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Macroeconomic variable selection for creditor recovery rates by Nazemi, Abdolreza, Fabozzi, Frank J.

“…We study the relationship between U.S. corporate bond recovery rates and macroeconomic variables used in the credit risk literature. The least absolute…”
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Editor’s Introduction to the 2023 Special Issue on Performance Analysis by Fabozzi, Frank J.

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Size, value, and momentum in emerging market stock returns by Cakici, Nusret, Fabozzi, Frank J., Tan, Sinan

“…In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong…”
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Editor’s Introduction for the 2023 Special Issue on Multi-Asset Strategies and Asset Allocation by Fabozzi, Frank J.

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Editor’s Introduction for the 2023 Special Issue on Investing in Non-US Financial Markets by Fabozzi, Frank J.

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Editor’s Introduction for 2023 Special Issue on Factor Investing by Fabozzi, Frank J.

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An improved least squares Monte Carlo valuation method based on heteroscedasticity by Fabozzi, Frank J., Paletta, Tommaso, Tunaru, Radu

“…•Least square Monte Carlo algorithm assumes homoscedastic errors.•Models in finance have heteroscedastic errors that impact estimation.•We improve American…”
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Overview of Investing in Private Corporate Debt by Fabozzi, Frank J.

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Editor’s Introduction to the Special Issue on Investing in Private Markets by Fabozzi, Frank J.

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