Frank J. Fabozzi

Publication Activity (10 Years)

Years Active: 2007-2024
Publications (10 Years): 16

Top Topics

Recent Developments

Portfolio Optimization

Diffusion Models

Top Venues

Ann. Oper. Res.

Eur. J. Oper. Res.

J. Optim. Theory Appl.

Stat. Methods Appl.

Publications

Ameet Kumar Banerjee, H. K. Pradhan, Ahmet Sensoy, Frank J. Fabozzi, Biplab Mahapatra
Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints. Ann. Oper. Res. 337 (1) (2024)
Yoontae Hwang, Yongjae Lee, Frank J. Fabozzi
Identifying household finance heterogeneity via deep clustering. Ann. Oper. Res. 325 (2) (2023)
Erdinc Akyildirim, Alper A. Hekimoglu, Ahmet Sensoy, Frank J. Fabozzi
Extending the Merton model with applications to credit value adjustment. Ann. Oper. Res. 326 (1) (2023)
Abdolreza Nazemi, Friedrich Baumann, Frank J. Fabozzi
Intertemporal defaulted bond recoveries prediction via machine learning. Eur. J. Oper. Res. 297 (3) (2022)
Jang Ho Kim, Yongjae Lee, Woo Chang Kim, Frank J. Fabozzi
Goal-based investing based on multi-stage robust portfolio optimization. Ann. Oper. Res. 313 (2) (2022)
Erdinc Akyildirim, Frank J. Fabozzi, Ahmet Göncü, Ahmet Sensoy
Statistical arbitrage in jump-diffusion models with compound Poisson processes. Ann. Oper. Res. 313 (2) (2022)
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
Sparse factor model based on trend filtering. Ann. Oper. Res. 306 (1) (2021)
Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
A New Set of Financial Instruments. Frontiers Appl. Math. Stat. 6 (2020)
Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi
Market implied volatilities for defaultable bonds. Ann. Oper. Res. 275 (2) (2019)
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
Recent advancements in robust optimization for investment management. Ann. Oper. Res. 266 (1-2) (2018)
Jang Ho Kim, Woo Chang Kim, Do-Gyun Kwon, Frank J. Fabozzi
Robust equity portfolio performance. Ann. Oper. Res. 266 (1-2) (2018)
Abdolreza Nazemi, Konstantin Heidenreich, Frank J. Fabozzi
Improving corporate bond recovery rate prediction using multi-factor support vector regressions. Eur. J. Oper. Res. 271 (2) (2018)
Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi
Tempered stable Ornstein- Uhlenbeck processes: A practical view. Commun. Stat. Simul. Comput. 46 (1) (2017)
Frank J. Fabozzi, Tommaso Paletta, Radu Tunaru
An improved least squares Monte Carlo valuation method based on heteroscedasticity. Eur. J. Oper. Res. 263 (2) (2017)
Abdolreza Nazemi, Farnoosh Fatemi Pour, Konstantin Heidenreich, Frank J. Fabozzi
Fuzzy decision fusion approach for loss-given-default modeling. Eur. J. Oper. Res. 262 (2) (2017)
Frank J. Fabozzi, Tommaso Paletta, Silvia Stanescu, Radu Tunaru
An improved method for pricing and hedging long dated American options. Eur. J. Oper. Res. 254 (2) (2016)
Michele Leonardo Bianchi, Frank J. Fabozzi
Discussion of 'on simulation and properties of the stable law' by Devroye and James. Stat. Methods Appl. 23 (3) (2014)
Woo Chang Kim, Min Jeong Kim, Jang Ho Kim, Frank J. Fabozzi
Robust portfolios that do not tilt factor exposure. Eur. J. Oper. Res. 234 (2) (2014)
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
Recent Developments in Robust Portfolios with a Worst-Case Approach. J. Optim. Theory Appl. 161 (1) (2014)
Constantin Zopounidis, Michael Doumpos, Frank J. Fabozzi
Preface to the Special Issue: 60 years following Harry Markowitz's contributions in portfolio theory and operations research. Eur. J. Oper. Res. 234 (2) (2014)
Petter N. Kolm, Reha H. Tütüncü, Frank J. Fabozzi
60 Years of portfolio optimization: Practical challenges and current trends. Eur. J. Oper. Res. 234 (2) (2014)
Hassan Fallahgoul, S. M. Hashemiparast, Frank J. Fabozzi, Young Shin Kim
Multivariate stable distributions and generating densities. Appl. Math. Lett. 26 (3) (2013)
Woo Chang Kim, Jang Ho Kim, So Hyoung Ahn, Frank J. Fabozzi
What do robust equity portfolio models really do? Ann. Oper. Res. 205 (1) (2013)
Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Ann. Oper. Res. 205 (1) (2013)
Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Ann. Oper. Res. 201 (1) (2012)
Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlozar T. Rachev, Frank J. Fabozzi
Stochastic models for risk estimation in volatile markets: a survey. Ann. Oper. Res. 176 (1) (2010)
Dashan Huang, Shushang Zhu, Frank J. Fabozzi, Masao Fukushima
Portfolio selection under distributional uncertainty: A relative robust CVaR approach. Eur. J. Oper. Res. 203 (1) (2010)
Frank J. Fabozzi, Dashan Huang, Guofu Zhou
Robust portfolios: contributions from operations research and finance. Ann. Oper. Res. 176 (1) (2010)
Sergio Focardi, Frank J. Fabozzi
Black swans and white eagles: on mathematics and finance. Math. Methods Oper. Res. 69 (3) (2009)
Svetlozar T. Rachev, Frank J. Fabozzi
Introduction to special issue: studies in mathematical and empirical finance. Math. Methods Oper. Res. 69 (3) (2009)
John M. Mulvey, Koray D. Simsek, Zhuojuan Zhang, Frank J. Fabozzi, William R. Pauling
OR PRACTICE - Assisting Defined-Benefit Pension Plans. Oper. Res. 56 (5) (2008)
Dashan Huang, Baimin Yu, Lean Yu, Frank J. Fabozzi, Masao Fukushima
An Improved CAViaR Model for Oil Price Risk. International Conference on Computational Science (3) (2007)
Dashan Huang, Frank J. Fabozzi, Masao Fukushima
Robust portfolio selection with uncertain exit time using worst-case VaR strategy. Oper. Res. Lett. 35 (5) (2007)
Dashan Huang, Yoshitaka Kai, Frank J. Fabozzi, Masao Fukushima
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve. Eur. J. Oper. Res. 177 (2) (2007)