Frank J. Fabozzi

39 papers Misc 1Journal 37
YearRankTypeTitle / Venue / Authors
2025 J jnl
Enhancing Markowitz's portfolio selection paradigm with machine learning.
Ann. Oper. Res.
Marcos López de Prado, Joseph Simonian, Francesco A. Fabozzi, Frank J. Fabozzi
2025 J jnl
Enhancing mean-variance portfolio optimization through GANs-based anomaly detection.
Ann. Oper. Res.
Jang Ho Kim, Seyoung Kim, Yongjae Lee, Woo Chang Kim, Frank J. Fabozzi
2025 J jnl
Fifty years at the interface between financial modeling and operations research.
Eur. J. Oper. Res.
Frank J. Fabozzi, Maria Cristina Recchioni, Roberto Renò
2024 J jnl
Portfolio optimization with relative tail risk.
Ann. Oper. Res.
Young Shin Kim, Frank J. Fabozzi
2024 J jnl
Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints.
Ann. Oper. Res.
Ameet Kumar Banerjee, H. K. Pradhan, Ahmet Sensoy, Frank J. Fabozzi, Biplab Mahapatra
2023 J jnl
Extending the Merton model with applications to credit value adjustment.
Ann. Oper. Res.
Erdinc Akyildirim, Alper A. Hekimoglu, Ahmet Sensoy, Frank J. Fabozzi
2023 J jnl
Identifying household finance heterogeneity via deep clustering.
Ann. Oper. Res.
Yoontae Hwang, Yongjae Lee, Frank J. Fabozzi
2022 J jnl
Goal-based investing based on multi-stage robust portfolio optimization.
Ann. Oper. Res.
Jang Ho Kim, Yongjae Lee, Woo Chang Kim, Frank J. Fabozzi
2022 J jnl
Intertemporal defaulted bond recoveries prediction via machine learning.
Eur. J. Oper. Res.
Abdolreza Nazemi, Friedrich Baumann, Frank J. Fabozzi
2022 J jnl
Statistical arbitrage in jump-diffusion models with compound Poisson processes.
Ann. Oper. Res.
Erdinc Akyildirim, Frank J. Fabozzi, Ahmet Göncü, Ahmet Sensoy
2021 J jnl
Sparse factor model based on trend filtering.
Ann. Oper. Res.
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
2020 J jnl
A New Set of Financial Instruments.
Frontiers Appl. Math. Stat.
Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
2019 J jnl
Market implied volatilities for defaultable bonds.
Ann. Oper. Res.
Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi
2018 J jnl
Improving corporate bond recovery rate prediction using multi-factor support vector regressions.
Eur. J. Oper. Res.
Abdolreza Nazemi, Konstantin Heidenreich, Frank J. Fabozzi
2018 J jnl
Recent advancements in robust optimization for investment management.
Ann. Oper. Res.
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
2018 J jnl
Robust equity portfolio performance.
Ann. Oper. Res.
Jang Ho Kim, Woo Chang Kim, Do-Gyun Kwon, Frank J. Fabozzi
2017 J jnl
An improved least squares Monte Carlo valuation method based on heteroscedasticity.
Eur. J. Oper. Res.
Frank J. Fabozzi, Tommaso Paletta, Radu Tunaru
2017 J jnl
Fuzzy decision fusion approach for loss-given-default modeling.
Eur. J. Oper. Res.
Abdolreza Nazemi, Farnoosh Fatemi Pour, Konstantin Heidenreich, Frank J. Fabozzi
2017 J jnl
Tempered stable Ornstein- Uhlenbeck processes: A practical view.
Commun. Stat. Simul. Comput.
Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi
2016 J jnl
An improved method for pricing and hedging long dated American options.
Eur. J. Oper. Res.
Frank J. Fabozzi, Tommaso Paletta, Silvia Stanescu, Radu Tunaru
2014 J jnl
60 Years of portfolio optimization: Practical challenges and current trends.
Eur. J. Oper. Res.
Petter N. Kolm, Reha H. Tütüncü, Frank J. Fabozzi
2014 J jnl
Discussion of 'on simulation and properties of the stable law' by Devroye and James.
Stat. Methods Appl.
Michele Leonardo Bianchi, Frank J. Fabozzi
2014 J jnl
Preface to the Special Issue: 60 years following Harry Markowitz's contributions in portfolio theory and operations research.
Eur. J. Oper. Res.
Constantin Zopounidis, Michael Doumpos, Frank J. Fabozzi
2014 J jnl
Recent Developments in Robust Portfolios with a Worst-Case Approach.
J. Optim. Theory Appl.
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi
2014 J jnl
Robust portfolios that do not tilt factor exposure.
Eur. J. Oper. Res.
Woo Chang Kim, Min Jeong Kim, Jang Ho Kim, Frank J. Fabozzi
2013 J jnl
Multivariate stable distributions and generating densities.
Appl. Math. Lett.
Hassan Fallahgoul, S. M. Hashemiparast, Frank J. Fabozzi, Young Shin Kim
2013 J jnl
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics.
Ann. Oper. Res.
Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
2013 J jnl
What do robust equity portfolio models really do?
Ann. Oper. Res.
Woo Chang Kim, Jang Ho Kim, So Hyoung Ahn, Frank J. Fabozzi
2012 J jnl
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.
Ann. Oper. Res.
Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca
2010 J jnl
Portfolio selection under distributional uncertainty: A relative robust CVaR approach.
Eur. J. Oper. Res.
Dashan Huang, Shushang Zhu, Frank J. Fabozzi, Masao Fukushima
2010 J jnl
Robust portfolios: contributions from operations research and finance.
Ann. Oper. Res.
Frank J. Fabozzi, Dashan Huang, Guofu Zhou
2010 J jnl
Stochastic models for risk estimation in volatile markets: a survey.
Ann. Oper. Res.
Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlozar T. Rachev, Frank J. Fabozzi
2009 J jnl
Black swans and white eagles: on mathematics and finance.
Math. Methods Oper. Res.
Sergio Focardi, Frank J. Fabozzi
2009 J jnl
Introduction to special issue: studies in mathematical and empirical finance.
Math. Methods Oper. Res.
Svetlozar T. Rachev, Frank J. Fabozzi
2008 J jnl
OR PRACTICE - Assisting Defined-Benefit Pension Plans.
Oper. Res.
John M. Mulvey, Koray D. Simsek, Zhuojuan Zhang, Frank J. Fabozzi, William R. Pauling
2007 Misc conf
An Improved CAViaR Model for Oil Price Risk.
International Conference on Computational Science (3)
Dashan Huang, Baimin Yu, Lean Yu, Frank J. Fabozzi, Masao Fukushima
2007 J jnl
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve.
Eur. J. Oper. Res.
Dashan Huang, Yoshitaka Kai, Frank J. Fabozzi, Masao Fukushima
2007 J jnl
Robust portfolio selection with uncertain exit time using worst-case VaR strategy.
Oper. Res. Lett.
Dashan Huang, Frank J. Fabozzi, Masao Fukushima
2005 — ch.
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks.
Data Analysis and Decision Support
Svetlozar T. Rachev, Stoyan V. Stoyanov, Almira Biglova, Frank J. Fabozzi