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Frank J. Fabozzi
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2020 – today
- 2024
- [j34]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): 1-22 (2024) - [j33]Young Shin Kim
Portfolio optimization with relative tail risk. Ann. Oper. Res. 341(2): 1023-1055 (2024) - 2023
- [j32]Yoontae Hwang
Identifying household finance heterogeneity via deep clustering. Ann. Oper. Res. 325(2): 1255-1289 (2023) - [j31]Erdinc Akyildirim, Alper A. Hekimoglu, Ahmet Sensoy
Extending the Merton model with applications to credit value adjustment. Ann. Oper. Res. 326(1): 27-65 (2023) - 2022
- [j30]Jang Ho Kim, Yongjae Lee
Goal-based investing based on multi-stage robust portfolio optimization. Ann. Oper. Res. 313(2): 1141-1158 (2022) - [j29]Erdinc Akyildirim, Frank J. Fabozzi, Ahmet Göncü, Ahmet Sensoy
Statistical arbitrage in jump-diffusion models with compound Poisson processes. Ann. Oper. Res. 313(2): 1357-1371 (2022) - [j28]Abdolreza Nazemi, Friedrich Baumann
Intertemporal defaulted bond recoveries prediction via machine learning. Eur. J. Oper. Res. 297(3): 1162-1177 (2022) - 2021
- [j27]Jang Ho Kim, Woo Chang Kim
Sparse factor model based on trend filtering. Ann. Oper. Res. 306(1): 321-342 (2021) - 2020
- [j26]Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi:
A New Set of Financial Instruments. Frontiers Appl. Math. Stat. 6: 606812 (2020)
2010 – 2019
- 2019
- [j25]Vincenzo Russo, Rosella Giacometti
Market implied volatilities for defaultable bonds. Ann. Oper. Res. 275(2): 669-683 (2019) - 2018
- [j24]Jang Ho Kim, Woo Chang Kim
Recent advancements in robust optimization for investment management. Ann. Oper. Res. 266(1-2): 183-198 (2018) - [j23]Jang Ho Kim, Woo Chang Kim
Robust equity portfolio performance. Ann. Oper. Res. 266(1-2): 293-312 (2018) - [j22]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): 664-675 (2018) - 2017
- [j21]Michele Leonardo Bianchi
Tempered stable Ornstein- Uhlenbeck processes: A practical view. Commun. Stat. Simul. Comput. 46(1): 423-445 (2017) - [j20]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): 780-791 (2017) - [j19]Frank J. Fabozzi, Tommaso Paletta, Radu Tunaru
An improved least squares Monte Carlo valuation method based on heteroscedasticity. Eur. J. Oper. Res. 263(2): 698-706 (2017) - 2016
- [j18]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): 656-666 (2016) - 2014
- [j17]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): 343-345 (2014) - [j16]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): 356-371 (2014) - [j15]Woo Chang Kim
Robust portfolios that do not tilt factor exposure. Eur. J. Oper. Res. 234(2): 411-421 (2014) - [j14]Jang Ho Kim, Woo Chang Kim
Recent Developments in Robust Portfolios with a Worst-Case Approach. J. Optim. Theory Appl. 161(1): 103-121 (2014) - [j13]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): 353-357 (2014) - 2013
- [j12]Woo Chang Kim
What do robust equity portfolio models really do? Ann. Oper. Res. 205(1): 141-168 (2013) - [j11]Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi:
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Ann. Oper. Res. 205(1): 169-187 (2013) - [j10]Hassan Fallahgoul
Multivariate stable distributions and generating densities. Appl. Math. Lett. 26(3): 324-329 (2013) - 2012
- [j9]Young Shin Kim
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Ann. Oper. Res. 201(1): 325-343 (2012) - 2010
- [j8]Frank J. Fabozzi, Dashan Huang
Robust portfolios: contributions from operations research and finance. Ann. Oper. Res. 176(1): 191-220 (2010) - [j7]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): 293-309 (2010) - [j6]Dashan Huang
Portfolio selection under distributional uncertainty: A relative robust CVaR approach. Eur. J. Oper. Res. 203(1): 185-194 (2010)
2000 – 2009
- 2009
- [j5]Svetlozar T. Rachev, Frank J. Fabozzi:
Introduction to special issue: studies in mathematical and empirical finance. Math. Methods Oper. Res. 69(3): 375-377 (2009) - [j4]Sergio Focardi, Frank J. Fabozzi:
Black swans and white eagles: on mathematics and finance. Math. Methods Oper. Res. 69(3): 379-394 (2009) - 2008
- [j3]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): 1066-1078 (2008) - 2007
- [j2]Dashan Huang
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve. Eur. J. Oper. Res. 177(2): 1134-1152 (2007) - [j1]Dashan Huang
Robust portfolio selection with uncertain exit time using worst-case VaR strategy. Oper. Res. Lett. 35(5): 627-635 (2007) - [c1]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: 937-944 - 2005
- [p1]Svetlozar T. Rachev, Stoyan V. Stoyanov, Almira Biglova, Frank J. Fabozzi:
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks. Data Analysis and Decision Support 2005: 269-281
Coauthor Index
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