Prof. Frank J. Fabozzi

EDHEC Business School, France

Professor of Finance

Email: fabozzi321@aol.com

Qualifications

1972 Ph.D., Economics, City University of New York, USA

1970 M.A., Economics, City College of New York, USA

1969 B.A., Economics and Statistics, City College of New York, USA

Publications (Selected)

1. Hassan A. Fallahgou, Young S. Kim, and Frank J. Fabozzi, “Elliptical Tempered Stable Distribution”, Quantitative Finance, Vol. 16, No. 7 (2016), pp. 1069-1087.
2. Jang Ho Kim, Woo Chang Kim, and Frank J. Fabozzi, “Portfolio Selection with Conservative Short-selling”, Finance Research Letters, Vol. 18 (2016), pp. 363-369.
3. Vincenzo Russo and Frank J. Fabozzi, “A One-Factor Shifted Squared Gaussian Model for Interest Rate Modeling”, Journal of Fixed Income, Vol. 25, No. 3 (Winter 2016), pp. 36-45.
4. Mengfei Zhang and Frank J. Fabozzi, “On the Estimation of Beta Parameter in SABR Model: The Role of Hedging in Determining the Beta Parameter”, The Journal of Derivatives, Vol. 24, No.1(Fall 2016), pp. 48-57.
5. Aaron Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev, and Frank J. Fabozzi, “Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion”, Economics Letters, Vol. 145 (August 2016), pp. 225-229.
6. Frank J. Fabozzi, Rosella Giacometti, and Naoshi Tsuchida, “Factor Decomposition of the Eurozone Sovereign CDS Spreads”, Journal of International Money and Finance, Vol. 65 (July 2016), pp. 1-23.
7. Joseph A. Cerniglia, Frank J. Fabozzi, and Petter Kolm, “Best Practices in Research for Quantitative Equity Strategies”, Journal of Portfolio Management, Vol 42, No. 5 (Summer 2016), pp. 135-143.
8. Xiaoping Zhou, Antonina V. Durfee, and Frank J. Fabozzi, “On Stability of Operational Risk Estimates by LDA: From Causes to Approaches”, Journal of Banking and Finance, Vol 68 (July 2016), pp. 266-278.
9. Michele Leonardo Bianchi, Gian Luca Tassinari, and Frank J. Fabozzi, “Riding with the Four Horsemen and the Multivariate Normal Tempered Stable Model”, International Journal of Theoretical and Applied Finance, Vol. 19, Issue 4 (June 2016), pp. 1-28.   Robert F. Engle, Sergio M. Focardi, and Frank J. Fabozzi, “Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management”, Journal of Portfolio Management, Vol. 42, No. 5 (Summer 2016), pp. 94-106.
10. Mohan Subbiah and Frank J. Fabozzi, “Hedge Fund Allocation: Evaluating Parametric and Nonparametric Forecasts Using Alternative Portfolio Construction Techniques”, International Review of Financial Analysis, Vol. 45 (May 2016), pp. 189-201.
11. Mohan Subbiah and Frank J. Fabozzi, “Equity Style Allocation: A Nonparametric Approach”, Journal of Asset Management, Vol. 17, No. 3 (May 2016), pp. 141-164.
12. Sergio M. Focardi, Frank J. Fabozzi, and Ivan Mitov, “A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance”, Journal of Banking and Finance, Vol. 65 (April 2016), pp. 134-155.
13. Vincenzo Russo and Frank J. Fabozzi, “Pricing Coupon Bond Options and Swaptions under the One-Factor Hull-White Model”, Journal of Fixed Income, Vol. 25, No. 4 (Spring 2016), pp. 76-82.
14. Vygantas Paulauskas, Svetlozar Rachev, and Frank J. Fabozzi, “Comment on ‘Weak Convergence to a Matrix Stochastic Integral with Stable Processes’”, Econometric Theory (preprint published online)
15. Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Ivan Mitov, and Frank J. Fabozzi, “Time Series Analysis for Financial Market Meltdowns”, Journal of Banking and Finance, Vol. 35 (2011), pp. 1879-1891.
16. Sergio Ortobelli , Svetlozar Rachev, and Frank J. Fabozzi, “Risk Management and Dynamic Portfolio Selection with Stable Paretian Distributions”, Journal of Empirical Finance, Vol. 17, No. 2 (2010), pp. 195-211.
17. Young Shin Kim, Svetlozar T. Rachev, Michele Bianchi, and Frank J. Fabozzi, “Tempered Stable and Tempered Infinitely Divisible GARCH”, Journal of Banking and Finance, Vol. 34, No. 9 (2010), pp. 2096-2109.
18. Dashan Huang, Baimin Yu, Zu Lu, Sergio Focardi, Frank J. Fabozzi, and Masao Fukushima, “Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model”, Studies in Nonlinear Dynamics and Econometrics, Vol. 14, No. 2, Article 1.
19. Sebastian Kring, Svetlozar T. Rachev, Hoechstotter, Frank J. Fabozzi, and Michele Bianchi, “Multi-Tail Elliptical Distributions”, The Econometrics Journal, Vol. 12, No. 2 (2009), pp. 272-291.
20. John Mulvey, Koray Simsek, Zhoujuan Zhang, Frank J. Fabozzi, and Bill Pauling, “Assisting Underfunded U.S. Pension Plans”, Operations Research, Vol. 56 (2008), pp. 1066-1078.
21. Ren-Raw Chen, Xiaolin Cheng, Frank J. Fabozzi and Bo Liu, "An Explicit, Multi‑Factor Credit Default Swap Pricing Model with Correlated Factors”, Journal of Financial and Quantitative Analysis, Vol. 43, No. 1 (2008), pp. 123-160.
22. Dashan Huang, Shu-Shang Zhu, Frank J. Fabozzi, and Masao Fukushima, “Robust CVaR Approach to Portfolio Selection with Uncertain Exit Time”, Journal of Economic Dynamics & Control, Vol. 32, No. 2 (2008), pp. 594-623.
23. Michele Bianchi, Svetlozar T. Rachev, Young Shim Kim, and Frank J. Fabozzi, "Tempered Infinitely Divisible Distributions and Processes", SIAM: Theory of Probability and its Applications, Vol. 55, No.1 (2010), pp. 59-86.