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Ph.D. in Economics, City University of New York, September 1972
M.A. in Economics, City College of New York, June 1970
B.A. in Economics and Statistics (magna cum laude and honors in economics), City College of New York, June 1970 (Elected to Phi Beta Kappa in 1969) PREVIOUS TEACHING POSITIONS
Visiting Professor of Finance and Accounting, Sloan School of Management, Massachusetts Institute of Technology (September 1986-August 1992)
Walter E. Hanson/Peat, Marwick, Mitchell Professor of Business and Finance, Lafayette College (tenured) (September 1984-August 1986)
Professor of Economics, Fordham University (Rose Hill Campus) (left with tenure) (September 1982-August 1984)
Associate Professor of Economics, Queens College, The City University of New York (left with tenure) (September 1980-August 1982)
Associate Professor of Finance and Chairman, Hofstra University. (left with tenure) (September 1971 to August 1980) Fellow of the International Center for Finance at Yale University
Princeton University, Advisory Council for the Department of Operations Research and Financial Engineering (4-year term, July 1, 2003 to June 30, 2007).
Honorary Advisory to the Chinese Asset Securitization website (www.chinasecuritization.com) whose mission is “To promote the theoretical and application research of asset securitization, enhance the inception and growth of the securitization market and to provide technical support to securitization practices in China.” DIRECTORSHIPS
BlackRock Closed-end mutual funds
Previously a director of Guarian Mutual Funds and Guardian Annuity Funds Recipient of the C. Stewart Sheppard Award in 2007 given by the CFA Institute: ‘This award is presented periodically to individual CFA charterholders in recognition of their outstanding contributions, through dedicated effort and inspiring leadership, in fostering the education of professional investors through advancement of the Body of Knowledge and development of programs and publications to encourage continuing education in our profession. It was established to honor C. Stewart Sheppard, the founding Executive Director of the Institute of Chartered Financial Analysts.“
Inducted into the Fixed Income Analysts Society Hall of Fame in November 2002. The Hall of Fame was established in 1995 to recognize the lifetime achievements of outstanding practitioners in the advancement of the analysis of fixed-income securities and portfolios.
Honorary Doctorate of Humane Letter, Nova Southeastern University, June 1994 Forthcoming Articles
1. John Mulvey, Koray Simsek, Zhoujuan Zhang, Frank J. Fabozzi, and Bill Pauling, “Assisting Underfunded U.S. Pension Plans.” Forthcoming in Operations Research.
2. Dezhong Wang, Svetlozar T. Rachev, and Frank J. Fabozzi, “Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models.” Forthcoming in Journal of Empirical Finance.
3. Frank J. Fabozzi, Radu Tunaru, and George Albota, “Estimating Risk-Neutral Density with Parametric Models in Interest Rate Markets.” Forthcoming Quantitative Finance.
4. Sergio Ortobelli , Svetlozar Rachev, Haim Shalit, and Frank J. Fabozzi, “Orderings and Risk Probability Functionals in Portfolio Theory” Forthcoming in Probability and Mathematical Statistics.
5. Sergio Ortobelli, Svetlozar Rachev, Haim Shalit, and Frank J. Fabozzi, “Orderings and Probability Functions with Consistent Preferences” Forthcoming in Applied Mathematical Finance.
6. Daniel Newman, Frank J. Fabozzi, Douglas J. Lucas, and Laurie S. Goodman, “Empirical Evidence on CDO Performance.” Forthcoming in Journal of Fixed Income.
7. Wei Sun, Svetlozar T. Rachev, Frank J. Fabozzi, and Petko Kalev, “A New Approach to Modeling Co-movement of International Equity Markets: Evidence of Unconditional Copula-Based Simulation of Tail Dependence.” Forthcoming in Empirical Economics.
8. Sergio Focardi and Frank J. Fabozzi, “Black Swans and White Eagles: On Mathematics and Finance.” Forthcoming in Mathematical Methods of Operations Research.
9. Wei Sun, Svetlozar T. Rachev, and Frank J. Fabozzi, “A New Approach of Using Levy Processes for Determining High-Frequency Value at Risk Predictions.” Forthcoming in European Financial Management.
10. Douglas J. Lucas, Frank J. Fabozzi, Laurie s. goodman, Andrea Montanari, and Armin Peter, “Covered Bonds: A New Sour of U.S. Mortgage Loan Fundings?” Forthcoming the Journal of Structured Finance.
11. Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, and Frank J. Fabozzi, “A New Tempered Stable Distribution and Its Application to Finance.” forthcoming in Georg Bol, Svetlozar T. Rachev, and Reinold Wuerth (eds.), Risk Assessment: Decisions in Banking and Finance (Physika Verlag, Springer 2007).
12. Dezhong Wang, Svetlozar T. Rachev, and Frank J. Fabozzi, “Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research.” Forthcoming in Georg Bol, Svetlozar T. Rachev, and Reinold Wuerth (eds.), Risk Assessment: Decisions in Banking and Finance (Physika Verlag, Springer 2007).
13. Sebastian Kring, Svetlozar T. Rachev, Markus Hochstotter, and Frank J. Fabozzi, "Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns." Forthcoming in Georg Bol, Svetlozar T. Rachev, and Reinold Wuerth (eds.), Risk Assessment: Decisions in Banking and Finance (Physika Verlag, Springer 2007).
14. Anand K. Bhattacharya, William S. Berliner, and Frank J. Fabozzi, “The Interaction of MBS Markets and Primary Mortgage Rates.” Forthcoming Fall 2008 issue of Journal of Structured Finance.
15. Frank J. Fabozzi, K.C. Ma, and Becky Oliphant, “Sin Stock Returns.” Forthcoming in the Fall 2008 issue of the Journal of Portfolio Management.
16. Andrew Chen, Frank J. Fabozzi, and Dashan Huang, “Models for Portfolio Revision with Transaction Costs in the Mean-Variance Framework.” For The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques. To be published by Springer in 2009.
17. Svetlozar T. Rachev, Borjana Racheva-Iotova, Stoyan V. Stoyanov, and Frank J. Fabozzi, “Risk Management and Portfolio Optimization for Volatile Markets.” For The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques. To be published by Springer in 2009.
Published Articles by Year
2008
18. 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 (March 2008), pp. 123-160.
19. 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 (February 2008), pp. 594-623.
20. Stoyan Stoyanov, Svetlozar Rachev, Sergio Ortobelli, and Frank J. Fabozzi, "Relative Deviation Metrics and the Problem of Strategy Replication," Journal of Banking and Finance, Vol. 32, No. 2 (February 2008), pp. 199-206.
21. Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, and Frank J. Fabozzi, “Financial Market Models with Levy Processes and Time-Varying Volatility,” Journal of Banking and Finance , Vol. 32, No. 7 (July 2008), pp. 1363-1378.
22. Wei Sun, Svetlozar T. Rachev, Stoyan V. Stoyanov, and Frank J. Fabozzi, “Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market,” Studies in Nonlinear Dynamics and Econometrics, Vol 8, No. 2 (May 2008), Article 3. (http://www.bepress.com/snde/vol12/iss2/art3)
23. Svetlozar T. Rachev, Sergio Ortobelli, Stoyan Stoyanov, Frank J. Fabozzi, and Almira Biglova, “Desirable Properties of an Ideal Risk Measure in Portfolio Theory.” International Journal of Theoretical and Applied Finance, Vol. 11, No. 1 (February 2008), pp. 19-54.
24. Andrew Kalotay, Deane Yang, and Frank J. Fabozzi, “Optimal Mortgage Refinancing: Application of Bond Valuation Tools to Household Risk Management,” Applied Financial Economics Letters Vol. 4, Issue 2 (2008), pp. 141-149.
25. Svetlozar T., Rachev, Stoyan Stoyanov, and Frank J. Fabozzi, “Probability Metrics with Applications in Finance,” Journal of Statistical Theory and Practice Vol. 2, No. 2 (June 2008), pp. 253-277.
26. Douglas J. Lucas, Laurie S. Goodman, and Frank J. Fabozzi, “How to Save the Rating Agencies.” Forthcoming Journal of Structured Finance (Summer 2008), pp. 21-26.
27. Wei Sun, Svetlozar T. Rachev, Frank J. Fabozzi, and Petko Kalev, “Fractals in Trade Duration: Capturing Long-Range Dependence and Heavy Tailedness in Modeling Trade Duration,”Annals of Finance, Vol. 4, No. 2 (March 2008), pp. 217-241.
28. Biliana Bagasheva, Svetlozar Rachev, John Hsu, and Frank J. Fabozzi, “Bayesian Applications to the Investment Mangement Process,” in Detlef Seese, Christof Weinhardt, and Frank Schlottmann (eds.), Handbook of Information Technology in Finance, Springer, 2008.
29. Wei Sun, Svetlozar Rachev, and Frank J. Fabozzi. “Long-Range Dependence, Fractal Processes, and Intraday Trading,” in Detlef Seese, Christof Weinhardt, and Frank Schlottmann (eds.), Handbook of Information Technology in Finance, Springer, 2008.
2007
30. Svetlozar T. Rachev, Teo Jašić, Stoyan Stoyanov, and Frank J. Fabozzi, “Momentum Strategies Using Reward-Risk Stock Selection Criteria.” Journal of Banking and Finance, Vol. 31, No. 8 (August 2007), pp. 2325-2346.
31. Dashan Huang, Frank J. Fabozzi, and Masao Fukushima “Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy.” Operations Research Letters, Vol. 35, No. 5 (September 2007), pp. 627-635.
32. Stoyan V. Stoyanov, Svetlozar T. Rachev, and Frank J. Fabozzi, “Optimal Financial Portfolios,” Applied Mathematical Finance Vol. 14, No. 5 (December 2007), pp. 401-436.
33. Raman Vardharaj and Frank J. Fabozzi, “The Importance of the Sector Allocation Decision.” Financial Analysts Journal (May-June 2007), pp. 59-70.
34. Rosella Giacometti, Marida I. Bertocchi, Svetlozar T. Rachev, and Frank J. Fabozzi, “Stable Distributions in the Black-Litterman Approach to Asset Allocation.” Quantitative Finance Vol. 7, No. 4 (August 2007), pp. 423-433. (The paper is reprinted as Chapter 1 in Quantitative Fund Management edited by M. Dempster, G. Pflug, and G. Mitra, published by Taylor & Francis Group in 2008).7
35. Frank J. Fabozzi and Radu Tunaru, “On Some Inconsistencies in Modeling Credit Portfolio Products.” International Journal of Theoretical and Applied Finance Vol. 10, No. 8 (2007) 1305–1321.
36. Laurie S. Goodman, Daniel Newman, Douglas J. Lucas, and Frank J. Fabozzi, “Event of Default Provisions and the Valuation of ABS CDO Tranches,” Journal of Fixed Income, Vol. 17, No. 3 (Winter 2007), pp. 85-89.
37. Douglas J. Lucas, Laurie S. Goodman, and Frank J. Fabozzi, “A Primer on Constant Proportion Debt Obligations,” Journal of Structured Finance ( Fall 2007), pp. 72-79.
38. Frank J. Fabozzi, Xiaolin Cheng, and Ren-Raw Chen, “Exploring the Components of Credit Risk in Credit Default Swaps.” Finance Research Letters, 4 (2007), pp. 10-18.
39. Wei Sun, Svetlozar T. Rachev, and Frank J. Fabozzi, “Fractal or I.I.D.: Evidence of Long-Range Dependence and Heavy Tailedness from Modeling German Equity Market Volatility,”Journal of Economics and Business , Vol. 59, No. 6 (November-December 2007), pp. 575-595.
40. Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova, and Sergio M. Focardi, “Robust Portfolio Optimization.” Journal of Portfolio Management (Spring 2007), pp. 40-48.
41. Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi, and Rebecca J. Manning, “Commercial Real Estate CDOs,” Journal of Portfolio Management, Special Issue on Real Estate, September 2007, pp. 158-174.
42. Jim Clayton, Frank J. Fabozzi, Michael Giliberto, Jacques Gordon, Youguo Liang, and Susan Hudson-Wilson, "Real Estate Comes of Age,"Journal of Portfolio Management, Special Issue on Real Estate, September 2007, pp. 15-26.
43. Dashan Huang, Yoshitaka Kai, Frank J. Fabozzi, and Masao Fukushima, "An Optimal Design of Collateralized Mortgage Obligation with PAC-Companion Structure Using Dynamic Cash Reserve," European Journal of Operational Research, Vol. 177, No. 2 (March 2007), pp. 1134-1152.
44. Svetlozar T. Rachev, Stoyan V. Stoyanov, Chufang Wu, and Frank J. Fabozzi, "Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange" Annals of Economics and Finance, Vol. 8, No. 1 (May 2007), pp. 21-31.
45. Andrew Kalotay, Deane Yang, and Frank J. Fabozzi, “Refunding Efficiency: A Generalized Approach,” Applied Financial Economics Letters Vo. 3 (2007), pp. 141-146.
46. Frank J. Fabozzi, Sergio M. Focardi, and Caroline Jonas, “Trends in Quantitative Equity Management: Survey Results,” Quantitative Finance Volume 7, No. 2 (April 2007), pp. 115-122. (The results reported in this article were the subject of a feature story in CFA Institute Magazine by Susan Trammell, “Perpetual Motions: A New Study Looks at Trends in Equity Portfolio Modeling” January-February 2007, pp. 39-44. The paper is reprinted as Chapter 1 in Quantitative Fund Management edited by M. Dempster, G. Pflug, and G. Mitra, published by Taylor & Francis Group in 2008).
47. Wesley Phoa, Sergio M. Focardi, and Frank J. Fabozzi, “How Do Conflicting Theories about Financial Markets Coexist?” Journal of Post Keynesian Economics, Vol 29, No. 3 (Spring 2007), pp. 365-392.
48. Frank J. Fabozzi, Omar Masood, and Radu Tunaru, "Discrete Variable Chain Graphical Modeling for Assessing the Effects of Fund Manager Characteristics on Incentives Satisfaction and Size of Returns," European Journal of Finance, Vol. 13, No. 3 (April 2007), pp. 269-282.
49. Ren-Raw Chen, Frank J. Fabozzi, Ging-Ging Pan, and Ronald Sverdlove, “Sources of Credit Risk: Evidence from Credit Default Swaps,” Journal of Fixed Income (Winter 2006), pp. 7-21.
50. Douglas J. Lucas, Laurie S. Goodman, and Frank J. Fabozzi, “Financial Innovations and the Shaping of Capital Markets: The Case of CDOs” Journal of Alternative Investments (Summer 2007), pp. 62-70.
51. Frank J. Fabozzi, Henry Davis, and Moorad Choudhry, “Credit-Linked Notes: A Primer,” Journal of Structured Finance (Winter 2007), pp. 67-77.
52. Frank J. Fabozzi and Vinod Kothari, Securitization: the Tool of Financial Transformation,” Journal of Financial Transformation Volume 20 (September 2007), pp. 34-44. (Before published: Listed on SSRN’s Top Ten down list for Finance Research Centers. Listed on SSRN's Top Ten download list for Risk Management; Listed on SSRN's Top Ten download list for History of Finance)
53. Douglas J. Lucas, Laurie S. Goodman, and Frank J. Fabozzi, “Collateralized Debt Obligations and Credit Risk Transfer,” Journal of Financial Transformation Volume 20 (September 2007), pp. 47-59. (Before published, this paper was: Listed on SSRN’s Top Ten down list for Finance Research Centers. Listed on SSRN's Top Ten download list for Banking & Financial Institutions Journals. Listed on SSRN's Top Ten download list for Capital Markets Journals.)
2006
54. Frank J. Fabozzi and Radu Tunaru, “On Risk Management Problems Related to a Coherence Property,” Quantitative Finance, Vol. 6, No. 1 (February 2006), pp. 75-81.
55. Bala Arshanapalli, Frank Fabozzi, and William Nelson, “The Value, Size, and Momentum Spread During Distressed Economic Periods,” Finance Research Letters 3, 4 (December 2006), pp. 244-252.
56. Frank J. Fabozzi, Borjana Racheva-Iotova, and Stoyan Stoyanov, “An Empirical Examination of the Return Distribution Characteristics of Agency Mortgage Pass-Through Securities,” Applied Financial Economics, 16 (2006), pp. 1085–1094.
57. Bala Arshanapalli, Edmond d’Ouville, Frank J. Fabozzi, and Lorne Switzer “Macroeconomic News Effects on Conditional Volatilities in the Bond and Stock Markets,” Applied Financial Economics, Vol 16, Issue 4, 2006, pp. 377-386.
58. Anand Bhattacharya, Aryasomayajula Sekhar, and Frank J. Fabozzi, “Incorporating the Dynamic Link between Mortgage and Treasury Markets in Pricing and Hedging” Journal of Fixed Income (Fall 2006), pp. 39-45.
59. Frank J. Fabozzi, Radu Tunaru, and Tony Wu, “Chinese Equity Market and the Efficient Frontier,”Applied Financial Economics Letters, Vol. 2, No. 6 (March 2006), pp. 87-94.
60. Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm, “A Simple Framework for Time Diversification,” Journal of Investing (Fall 2006), pp. 8-18.
61. Douglas J. Lucas, Laurie S. Goodman, and Frank J. Fabozzi, “A Framework for Evaluating Trades in the Credit Derivatives Market,” Journal of Trading (Fall 2006), pp. 58-69.
62. Douglas J. Lucas, Laurie S. Goodman, and Frank J. Fabozzi, “Hybrid Assets in an ABS CDO: Structural Advantages and Cash Flow Mechanics,”Journal of Structured Finance 12, 3 (Fall 2006), pp. 8-19.
63. Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm, “Incorporating Trading Strategies in the Black-Litterman Framework,” Journal of Trading (Spring 2006), pp. 28-37.
2005
64. Frank J. Fabozzi, “The Structured Finance Market: An Investor's Perspective,” Financial Analysts Journal (May-June 2005), pp. 27-40. (Reprinted in Rodney Sullivan (ed.), Bold Thinking on Investment Management: The FAJ 60th Anniversary Anthology, The CFA Institute.)
65. Sergio Ortobelli, Svetlozar T. Rachev, Stoyan Stoyanov, Frank J. Fabozzi, and Almira Biglova, “The Proper Use of Risk Measures in Portfolio Theory,” International Journal of Theoretical and Applied Finance, Vol. 8, No. 8 (December 2005), pp. 1–27.
66. Frank J. Fabozzi, Lionel Martellini, and Philippe Priaulet, "Exploiting Predictability in the Time-Varying Shape of the Term Structure of Interest Rates," Journal of Fixed Income (June 2005), pp. 40-53.
67. Laurie S. Goodman and Frank J. Fabozzi, “CMBS Total Return Swaps,” Journal of Portfolio Management, Special Issue on Real Estate, 2005, pp. 162-167.
68. Susan Hudson-Wilson, Jacques N. Gordon, Frank J. Fabozzi, Mark J.P. Anson, and S. Michael Giliberto, “Why Real Estate? And…How? Where? And When?” Journal of Portfolio Management, Special Issue on Real Estate, 2005, pp. 12-22.
69. Mark J. P. Anson, Susan Hudson-Wilson, and Frank J. Fabozzi, “Privately Traded Real Estate Equity” Journal of Portfolio Management, Special Issue on Real Estate, 2005, pp. 109-113.
70. Sergio Focardi and Frank J. Fabozzi, “Contagion Modeling in Market and Credit Risk: Does it Add Value?” Risk Letters Vol. 1, No. 2 (December 2005).
71. Frank J. Fabozzi, Sergio M. Focardi, and Christopher K. Ma, “Implementable Quantitative Research and Investment Strategies,” Journal of Alternative Investments (Fall 2005), pp. 71-79. (Translated and reprinted as „Überführung von quantitativem Research in implementierbare Handelsstrategien - Möglichkeiten und Grenzen der Automatisierung“, in: Michael Busack and Dieter G. Kaiser (eds.), Handbuch Alternative Investments, Band 1, Gabler Verlag, Wiesbaden.)
72. Frank J. Fabozzi, Sergio M. Focardi, and Caroline Jonas, “Market Experience with Modeling for Defined Benefit Pension Funds: Evidence from Four Countries,” Journal of Pension Economics and Finance (November 2005), pp. 313-327. (Paper subject of an article in the December 20, 2004 issue of the Financial Times.)
73. John M. Mulvey, Frank J. Fabozzi, William R. Pauling, Koray D. Simsek, and Zhuojuan Zhang, “Modernizing the Defined-Benefit Pension System,” Journal of Portfolio Management (Winter 2005), pp. 73-82. (This article was the subject of an article in the December 27, 2004 issue of Pension & Investments.)
74. Frank J. Fabozzi and Sergio M. Focardi, “An Autoregressive Conditional Duration Model of Credit Risk Contagion,” Journal of Risk Finance Vol. 6, No. 3(2005), pp. 208-225. (Winner of the 2006 Outstanding Paper by Emerald Literati Network.)
75. Frank J. Fabozzi, Raymond Morel, and Brian D. Grow, “Use of Interest Rate Derivatives in Securiziation Transactions,” Journal of Structured Finance (Summer 2005), pp. 22-27.
76. Markus Hoechstoetter, Svetlozar Rachev, and Frank J. Fabozzi, "Distributional Analysis of the Stocks Comprising the DAX 30," Probability and Mathematical Statistics, Vol. 25, No. 2 (2005), pp. 363-383.
77. Svetlozar T. Rachev, Stoyan Stoyanov, Almira Biglova, and Frank J. Fabozzi, “An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks” in Daniel Baier, Reinhold Decker, and Lars Schmidt-Thieme (eds.) Data Analysis and Decision Support, Springer Series in Studies in Classification, Data Analysis, and Knowledge Organization (Berlin: Springer-Verlag, 2005), pp. 269-281.
78. Bala G. Arshanapalli, Frank J. Fabozzi, Lorne N. Switzer, and Guillaume Gosselin, “New Evidence on the Impact of Convertible Bond Issues in the U.S.,” Finance Letters, Vol. 3, No. 3 (June 2005).
79. Petter N. Kolm, Frank J. Fabozzi, and Sergio M. Focardi, “Financial Modeling of Transaction and Trading Costs: Overview and Practice,” Finance Letters Vol. 3, Issue 1 (February 2005, Special Issue on Financial Modeling of the Equity Markets).
80. Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm, “Introduction,” Finance Letters Vol. 3, Issue 1 (February 2005, Special Issue on Financial Modeling of the Equity Markets).
2004
81. Andrew Kalotay, Deane Yang, and Frank J. Fabozzi, “An Option-Theoretic Prepayment Model for Mortgages and Mortgage-Backed Securities,” International Journal of Theoretical and Applied Finance Vol. 7, No. 8 (December 2004), pp. 949-978.
82. Sergio Focardi and Frank J. Fabozzi, “A Methodology for Index Tracking Based on Time Series Clustering,” Quantitative Finance, Vol. 4 (August 2004), pp. 417-425.
83. Sergio Focardi and Frank J. Fabozzi, “A Percolation Approach to Modeling Credit Loss Distribution under Contagion,” Journal of Risk, Vol. 7, No. 1 (Fall 2004), pp. 75-94.
84. Sergio M. Focardi, Petter N. Kolm, and Frank J. Fabozzi, “New Kids on the Block,” Journal of Portfolio Management (30th Anniversary Issue, 2004), pp. 42-54.
85. Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas, “Trends in Quantitative Asset Management in Europe,” Journal of Portfolio Management (Summer 2004), Special European Section), pp. 125-132.
86. Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones, “Determinants of Tracking Error for Equity Portfolios” Journal of Investing (Summer 2004), pp. 37-47.
87. Frank J. Fabozzi, Radu Tunaru, and Tony Wu, “Modeling Volatility for the Chinese Equity Markets,” Annals of Economics and Finance (May 2004), pp. 79-92.
88. Douglas J. Lucas, Laurie S. Goodman, and Frank J. Fabozzi, “A Closer Look at Default Rates on Structured Finance Securities,” Journal of Fixed Income (September 2004), pp. 44-53.
89. Douglas Lucas, Laurie Goodman, and Frank J. Fabozzi, “CDO Equity Returns and Return Correlations,” The Journal of Structured Finance (Summer 2004), pp. 42-53.
90. Douglas Lucas, Laurie Goodman, and Frank J. Fabozzi, “Analytical Challenges in Secondary CDO Trading,” The Journal of Structured Finance (Summer 2004), pp. 54-68.
91. Sergio Focardi and Frank J. Fabozzi, “Clustering Economic and Financial Time Series: Exploring the Existence of Stable Correlation Conditions,” Finance Letters , 2004, Vol. 2, No 3, pp. 1-9.
92. Teo Jašić, Almira Biglova, Svetlozar Rachev, and Frank J. Fabozzi, “Profitability of Momentum Strategies: Application of Novel Risk/return Ratio Stock Selection Criteria,” Investment Management and Financial Innovations, No. 4, 2004, pp. 47-61.
2003
93. Sergio M. Focardi and Frank J. Fabozzi, “Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena,” Journal of Risk Finance (Fall 2003), pp. 5-26.
94. Gerald W. Buetow, Frank J. Fabozzi, and Bernd Hanke, “A Note on Commonly Used Interest Rate Risk Measures,” Journal of Fixed Income (September 2003), pp. 46-54.
95. Laurie S. Goodman and Frank J. Fabozzi, “Managing a Portfolio of Collateralized Debt Obligations,”Journal of Investing (Winter 2003), pp. 22-31.
96. Susan Hudson-Wilson, Frank J. Fabozzi, and Jacques N. Gordon,“Why Real Estate? - An Expanding Role for Institutional Investors,” Journal of Portfolio Management (Special Real Estate Issue, 2003), pp. 12-27.
97. David P. Jacob and Frank J. Fabozzi, “The Impact of Structuring on CMBS Bond Class Performance,” Journal of Portfolio Management (Special Real Estate Issue, 2003), pp. 76-86.
98. Ronald Ryan and Frank J. Fabozzi, “Pension Fund Crisis Revealed,” Journal of Investing (Fall 2003), pp. 43-48. [Paper was read into the U.S. Senate Finance Committee-March 11, 2003]
99. W. Alexander Roever and Frank J. Fabozzi, “Primer on Securitization,” Journal of Structured and Project Finance (Summer 2003), pp. 5-19.
100. Moorad Choudhry and Frank J. Fabozzi, “Originating Collateralized Debt Obligations for Balance Sheet Management,”Journal of Structured and Project Finance (Fall 2003), pp. 32-52.
101. Ren-Raw Chen, Frank J. Fabozzi, and Dominic O’Kane, “The Valuation of Credit Default Swaps,” Professional Perspectives on Fixed Income Portfolio Management, Volume 4 (2003).
2002
102. Frank J. Fabozzi, Francis Gupta, and Harry M. Markowitz, “The Legacy of Modern Portfolio Theory,” Journal of Investing (Fall 2002), pp. 7-22.
103. Ronald Ryan and Frank J. Fabozzi, “Rethinking Pension Liabilities and Asset Allocation,” Journal of Portfolio Management (Summer 2002), pp. 7-15.
2001
104. Gerald W. Buetow, Jr., Bernd Hanke, and Frank J. Fabozzi, “The Impact of Different Interest Rate Models on Effective Duration, Effective Convexity, and Option-Adjusted Spreads,” Journal of Fixed Income (December 2001), pp. 41-53.
105. Michael Dorigan, Frank J. Fabozzi, and Andrew Kalotay, “Valuation of Floating-Rate Bonds,” Professional Perspectives on Fixed Income Portfolio Management, Volume 2 (2001), pp. 193-212.
2000
106. Bruce M. Collins and Frank J. Fabozzi, “Equity Manager Selection: Methodology and Performance,” Review of Quantitative Finance and Accounting, Volume 15 (July 2000), pp. 81-98.
107. Frank J. Fabozzi, Shrikant Ramamurthy, and Mark Pitts, “Controlling Interest Rate Risk With Futures and Options,” Professional Perspectives on Fixed Income Portfolio Management, Volume 1 (2000), pp. 167-178.
108. Steve K. Kreider, Scott F. Richard, and Frank J. Fabozzi, “Improving Guidelines for Futures and Other Derivatives,” Professional Perspectives on Fixed Income Portfolio Management, Volume 1 (2000), pp. 167-178.
1999
109. Bruce M. Collins and Frank J. Fabozzi, "Derivatives and Risk Management," Journal of Portfolio Management (25th Anniversary Issue, 1999).
1995
110. Ravi E. Dattatreya and Frank J. Fabozzi, "The Risk Point Method for Measuring and Controlling Yield Curve Risk," Financial Analysts Journal (July-August 1995), pp. 45-54.
111. Frank J. Fabozzi, Christopher K. Ma, William T. Chittenden, and R. Daniel Pace, "Predicting Intraday Price Reversals," Journal of Portfolio Management (Winter 1995).
1994
112. Jeffery E. Briley, Frank J. Fabozzi, and Christopher K. Ma, “Holiday Trading in Futures Markets,” Journal of Finance (March 1994), pp. 307-324.
1993
113. Daniel Coggin, Frank J. Fabozzi, and Shafiqur Rahman, "The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation" Journal of Finance (July 1993), pp. 1039-1055. [Reprinted in Foundations of Pension Finance edited by Zvi Bodie and E. Phillip Davis, published by Edward Elgar Publishing Limited, 2003]
114. Andrew J. Kalotay, George O. Williams, and Frank J. Fabozzi , "A Model for the Valuation of Bonds and Embedded Options," Financial Analysts Journal (May-June 1993), pp. 35-46.
115. Frank J. Fabozzi, Jane Trippe Howe, Takashi Makabe and Toshihide Sudo, "Recent Evidence on the Distribution Patterns in Chapter 11 Reorganizations," Journal of Fixed Income (March 1993), pp. 6-23.
1992
116. Rayner Cheung, Joseph C. Bencivenga, and Frank J. Fabozzi, "Original Issue High Yield Bonds: Total Returns and Historical Default Experience: 1977-1989," Journal of Fixed Income (September 1992), pp. 58-76.
117. Christopher K. Ma, David A. Lindsley, and Frank J. Fabozzi, "Overreaction, Rational Expectations, and the Relationship Between Security Prices and Trading Volume," Research in Finance, Vol. 10 (1992), pp. 83-98.
118. Christopher Coyne, Frank J. Fabozzi, and Uzi Yaari, "How Taxes Transform Corporate Acquisitions into Asset Arbitrage," Research in Finance, Vol. 10 (1992), pp. 173-204.
1991
119. Bruce Collins and Frank J. Fabozzi, "A Methodology for Measuring Transaction Costs," Financial Analysts Journal (March/April 1991), pp. 24-36.
120. Frank J. Fabozzi, Cheng-few Lee, and Rahman Shafiqur, "Errors-in-Variables, Functional Form, and Mutual Fund Returns," The Quarterly Review of Economics and Business (Winter 1991), pp. 24-35.
1990
121. Bruce M. Collins and Frank J. Fabozzi, "Considerations in Selecting A Small Capitalization Benchmark," Financial Analysts Journal (January/February 1990), pp. 40-46.
122. Jongmoo Jay Choi, Frank J. Fabozzi, and Uzi Yaari, "How To Diversify the Tax-Sheltered Equity Fund," Advances in Investment Analysis and Portfolio Management, Volume 1 (1990).
123. Frank J. Fabozzi, Shmuel Hauser and Uzi Yaari, "Early Exercise of Foreign Currency Options: Determinants of American Premium and the Critical Exchange Rate" Advances in Futures and Options Research, Vol. 4 (1990), pp. 219-236.
1989
124. Christopher Coyne, Frank J. Fabozzi, and Uzi Yaari, "Taxation of Capital Gains with Deferred Realization," National Tax Journal (December 1989), pp. 475-486. (Also: A Reply in the March 1991 issue.)
125. Ravi E. Dattatreya and Frank J. Fabozzi, "A Simplified Model for the Valuation of Debt Options," Journal of Portfolio Management (Spring 1989), pp. 64-72.
126. Jongmoo Jay Choi, Frank J. Fabozzi, and Uzi Yaari, "Optimum Corporate Leverage with Risky Debt: A Demand Approach," Journal of Financial Research (Summer 1989).
1988
127. Frank J. Fabozzi, Michael G. Ferri, T. Dessa Fabozzi , and Julia Tucker, "A Note on Unsuccessful Tender Offers and Stockholder Returns," Journal of Finance (December 1988), 1275-1284.
128. Frank J. Fabozzi, Eileen Moran and Christopher K. Ma, "Market Uncertainty and the Least Cost Offering Method of Public Utility Debt: A Note," Journal of Finance (September 1988), pp. 1025- 1034.
129. Frank J. Fabozzi and Christopher K. Ma, "The Over-the-Counter Market and New York Stock Exchange Trading Halts," The Financial Review (November 1988), pp. 427-437.
130. Frank J. Fabozzi and Christopher K. Ma, "The Day-of-the-Week Effect for Derivative Assets: The Case of Gold Futures Options," Advances in Futures and Options Research, Vol. 3 (1988), pp. 379-388.
1987
131. T. Dessa Garlicki, Frank J. Fabozzi, and Robert Fonfeder, "The Impact of Earnings Under FASB 52 on Equity Returns," Financial Management ( Autumn 1987).
1986
132. Frank J. Fabozzi and Thom Thurston, "State Taxes and Reserve Requirements as Major Determinants of Yield Spreads Among Money Market Instruments,"Journal of Financial and Quantitative Analysis, (December 1986), pp. 427-436.
133. Frank J. Fabozzi, Teresa Garlicki, Arabinda Ghosh, and Peter Kislowski, "Market Power as a Determinant of Systematic Risk: Empirical Evidence," Review of Business and Economic Research, Spring 1986, pp. 61-70.
134. Todd Petzel and Frank J. Fabozzi, "Real Interest Rates and CPI-W Futures," Advances in Futures and Options Research, 1986, Vol. 1, Part B, pp. 255-270.
1985
135. Sylvan G. Feldstein and Frank J. Fabozzi, "Analyzing the Credit Worthiness of Short-Term Tax-Exempt Obligations," Financial Analysts Journal (November-December 1985), pp. 71-76.
136. H. Gifford Fong and Frank J. Fabozzi "Return Enhancement for Portfolios of U.S. Treasuries Using a Naive Expectations Approach," Journal of Portfolio Management (Summer 1985).
137. Uzi Yaari and Frank J. Fabozzi, "Why IRA and Keogh Plans Should Avoid Growth Stocks," Journal of Financial Research, Fall 1985, pp. 203-216.
138. Frank J. Fabozzi, Robert Fonfeder, T. Dessa Garlicki and Patrick Casabona, "The Expanded Disclosure of Quarterly Information and Annual Stock Prices: An Analysis of SEC's ASR No. 177," Review of Business and Economic Research, Fall 1985, pp. 47-57.
1984
139. Patrick Casabona, Frank J. Fabozzi, and Jack C. Francis, "How to Apply Duration to Equity Analysis," Journal of Portfolio Management (Winter 1984), pp. 52-59.
140. Frank J. Fabozzi, Baldev Raj, and Hrishikesh D. Vinod, "The Stability of the Systematic Risk of Individual Stocks: An Application of Ridge Regression," Communications in Statistics, 13 (2), 1984, pp. 151-161.
141. Robert Fonfeder and Frank J. Fabozzi, "Interim Review and the Quality of Interim Report Numbers," Review of Business and Economic Research (Spring 1984), pp. 24-34.
1983
142. Frank J. Fabozzi and Uzi Yaari, "Valuation of Safe Harbor Tax Benefit Transfer Leases," Journal of Finance, May 1983, pp. 595-605.
143. Frank J. Fabozzi, Robert Fonfeder and Patrick Casabona, "An Empirical Examination of the Impact of Limited Review on Equity Prices," Journal of Business Finance and Accounting, Spring 1983, pp. 127- 138.
144. Frank J. Fabozzi and Robert Fonfeder, "Have You Seen Any Good Quarterly Statements Lately?" Journal of Portfolio Management, Winter 1983, pp. 71-74.
145. Jack Clark Francis, Harold M. Hastings, and Frank J. Fabozzi, "Bankruptcy as a Mathematical Catastrophe," Research in Finance, Vol. 4. (1983), pp. 63-89.
1982
146. Frank J. Fabozzi, Jack C. Francis and Cheng F. Lee, "Specification Error, Random Coefficient, and the Risk-Return Relationship," The Quarterly Review of Economics and Business, Spring 1982, pp. 23- 31.
147. Frank J. Fabozzi, "A Note on the Association between Systematic Risk and Common Stock and Bond Rating Classifications," Journal of Economics and Business, April 1982, pp. 159-164.
1981
148. Frank J. Fabozzi and Richard R. West, "Negotiated Versus Competitive Underwritings of Public Utility Bonds: Just One More Time," Journal of Financial and Quantitative Analysis, September 1981, pp. 323-339.
149. Frank J. Fabozzi, "Does Listing on the AMEX Increase the Value of Equity?" Financial Management, Spring 1981, pp. 43-50.
150. Frank J. Fabozzi and Robert Fonfeder, "Corporate Tax Rates in an Inflationary Environment: 1976 and 1977," Business Economics, January 1981, pp. 55-58.
151. Sylvan G. Feldstein, Peter E. Christensen and Frank J. Fabozzi, "Controlling Interest Rate Volatility by 'Immunizing' a Municipal Bond Portfolio," Municipal Finance Journal, Fall 1981, pp. 285- 295.
1980
152. Frank J. Fabozzi, Jack C. Francis and Cheng F. Lee, "Generalized Functional Form for Mutual Fund Returns," Journal of Financial and Quantitative Analysis, December 1980, pp. 1107-1120.
153. Jack C. Francis and Frank J. Fabozzi, "Stability of Mutual Fund Systematic Risk Statistics," Journal of Business Research, 1980, pp. 263-275.
154. Frank J. Fabozzi and Jack C. Francis, "Heteroscedasticity in the Single Index Market Model," Journal of Economics and Business, Spring/Summer 1980, pp. 243-248.
155. Frank J. Fabozzi and Arthur Goldstein, "Inflation Accounting: Application to the Electrical-Electronics Industry," University of Michigan Occasional Papers, April 1980, pp. 11-18.
1979
156. Frank J. Fabozzi, and Jack C. Francis, "Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination,"Journal of Finance, December 1979, pp. 1243-1250.
157. Jack C. Francis and Frank J. Fabozzi, "The Effects of Changing Macroeconomic Conditions on the Parameters of the Single-Index Market Model," Journal of Financial and Quantitative Analysis, June 1979, pp. 351-356.
158. Frank J. Fabozzi and Alfred Bachner, "Mathematical Programming Models to Determine Civil Service Salaries," European Journal of Operational Research, Vol. 3, 1979, pp. 190-198.
159. Frank J. Fabozzi, "Determinants of Bid-Ask Spreads for Over-the-Counter Stocks," Journal of Economics and Business, Fall 1979, pp. 56-65.
160. Frank J. Fabozzi and Jack C. Francis, "Industry Effects and the Determinants of Beta," Quarterly Review of Economics and Business, Autumn 1979, pp. 61-74.
161. Frank J. Fabozzi and Lawrence Shriffin, "Replacement Cost Accounting: Application to the Pharmaceutical Industry," Quarterly Review of Economics and Business (Special Issue on Current Value Accounting), Spring 1979, pp. 163-171.
162. Frank J. Fabozzi and Robert Hershkoff, "The Effect of the Decision to List on a Stock's Systematic Risk," Review of Business and Economic Research, Spring 1979, pp. 77-82.
163. Frank J. Fabozzi "A Note on the Information Content of Large Stock Distributions," Review of Business and Economic Research, Winter 1979-80, pp. 87-93.
1978
164. Frank J. Fabozzi and Jack C. Francis, "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, March 1978, pp. 101-116.
165. Frank J. Fabozzi, "A Portfolio Approach to Capital Budgeting: An Application to the Expansion to Additional Product Lines," Journal of the Operational Research Society, Vol. 29, No. 3, 1978, pp. 245-249.
166. Frank J. Fabozzi "The Use of Operational Research Techniques for Capital Budgeting Decisions," Journal of the Operational Research Society, Vol. 29, No. 1 (1978), pp. 39-42.
167. Frank J. Fabozzi, "Quality of Earnings: A Test of Market Efficiency," Journal of Portfolio Management, Fall 1978, pp. 53-56.
168. Frank J. Fabozzi and Gregory LiCalzi, "Negotiated Versus Competitive Underwriting of Corporate Bonds: 1974-76," Quarterly Review of Economics and Business, Autumn 1978, pp. 109-117.
1977
169. Frank J. Fabozzi and Jack C. Francis, "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, September 1977, pp. 1093-1099.
170. Frank J. Fabozzi and Richard Daddio, "A Linear Programming Salary Evaluation Model for High School Personnel," Operational Research Quarterly, Vol. 28, 1977, pp. 401-413. (Reprinted in Cases and Readings in Quantitative Analysis for Management, edited by BarryRender and Ralph M. Stair, Jr., published by Allyn and Bacon, 1982.)
171. Frank J. Fabozzi and Stephen Feldman, "A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit," The American Economist, Spring 1977, pp. 70-71.
172. Frank J. Fabozzi "The Association Between Common Stock Systematic Risk and Common Stock Rankings," The Review of Business and Economic Research, Spring 1977, pp. 66-71.
173. Joseph K. Tucker and Frank J. Fabozzi, "The Brazilian Stock Exchange from Origin to the Entry of Foreign Capital," The Developing Economies, March 1977, pp. 92-108.
1976
174. Frank J. Fabozzi and Sal Trovato, "The Use of Quantitative Techniques in Commercial Banks," Journal of Bank Research, Summer 1976, pp. 173-178. (Reprinted as Chapter 2 in Management Science in Banking edited by Kalman J. Cohen and Stephen E. Gibson, published by Warrent, Gorham and Lamont, 1978).
175. Frank J. Fabozzi and John Valente, "Mathematical Programming in American Companies: A Sample Survey," Interfaces, Bulletin of The Institute of Management Sciences, November 1976, pp. 93-98.
1972
176. Damodar Gujarati and Frank J. Fabozzi, "Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence," Bulletin of Economic Research, May 1972, pp. 3-12. 1. Sebastian Kring, Svetlozar T. Rachev, Markus Hochstotter, and Frank J. Fabozzi, “Multi-Tail Elliptical Distributions” (October 2007) (Revise and resubmit to The Econometrics Journal)
2. Dashan Huang, Baimin Yu, Frank J. Fabozzi, and Masao Fukushima, “CAViaR-based Forecast for Oil Price Risk” (June 2008) (Revise and resubmit to Energy Economics.)
3. Frank J. Fabozzi, Lorne N. Switzer, and Guillaume Gosselin, “Market Efficiency and Convertible Bond Arbitrage” (January 2007) (Revise and resubmit to the Journal of Alternative Investments)
4. Dashan Huang, Shu-Shang Zhu, Frank J. Fabozzi, and Masao Fukushima, “Relative Robust CVaR in Portfolio Management” (March 2007) (revise and resubmit to the European Journal of Operational Research)
5. Dashan Huang, Baimin Yu, Frank J. Fabozzi, Zu Lu, and Masao Fukushima, “Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model.” (Revise and resubmit to Studies in Nonlinear Dynamics and Econometrics.) Authored/Coauthored Books (By Year of Latest Edition)
2008
1. Frank J. Fabozzi, Pamela P. Peterson, and Ralph Polimeni, The Complete CFO Handbook: From Accounting to Accountability (John Wiley & Sons, 2008).
2. Svetlozar T. Rachev, John S.J. Hsu, Biliana Bagasheva, and Frank J. Fabozzi, Bayesian Methods in Finance, (John Wiley & Sons, 2008).
3. Svetlozar T. Rachev, Stoyan Stoyanov, and Frank J. Fabozzi, Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures (John Wiley & Sons, 2008).
4. Frank J. Fabozzi and Vinod Kothari, Introduction to Securitization (John Wiley & Sons. 2008).
5. Laurie S. Goodman, Shumin Li, Douglas J. Lucas, Thomas A. Zimmerman, and Frank J. Fabozzi, Subprime Mortgage Credit Derivatives (John Wiley & Sons, 2008)
6. Frank J. Fabozzi, Sergio M. Focardi, and Caroline Jonas, Challenges in Quantitative Equity Management (CFA Institute Research Foundation, 2008). [This monograph was the subject of articles in the Wall Street Journal, Barrons, and Financial Times.]
2007
1. Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi, and Teo Jasic, Financial Econometrics: From Basics to Advanced Modeling Techniques (John Wiley & Sons, 2007). (To be translated into simplified Chinese by Dongbei University of Finance & Economics Press, China.)
2. Frank J. Fabozzi, Petter N. Kolm, Dessislava Pachamanova, and Sergio M. Focardi, Robust Portfolio Optimization and Management (John Wiley & Sons, 2007)).
3. Frank J. Fabozzi, Anand K. Bhattacharya, and William S. Berliner, Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques (John Wiley & Son, 2007). (Selected by RiskBook.com for “Best of 2007 Book Awards”).
4. Douglas Lucas, Laurie Goodman, Frank J. Fabozzi, and Rebecca Manning, Developments in the Collateralized Debt Obligations Markets: New Products and Insights (John Wiley & Son, 2007).
5. Anna Chernobai, Svetlozar T. Rachev, and Frank Fabozzi, Operational Risk: A Guide to Basel II Capital Requirements, Models and Analysis (John Wiley & Sons, 2007). (To be translated into simplified Chinese by Dongbei University of Finance & Economics Press, China.)
2006
6. Frank J. Fabozzi, Bond Markets, Analysis and Strategies (Prentice-Hall, 2006, Sixth Edition). (The fifth edition was translated into Chinese and published by the Peking University Press.)
7. Frank J. Fabozzi, Fixed Income Mathematics: Analytical and Statistical Techniques (McGraw Hill Publishing, 2006, Fourth Edition). (First edition translated into Japanese; third and fourth editionstranslated into Chinese.)
8. Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm, Financial Modeling of the Equity Market: From CAPM to Cointegration (John Wiley & Sons, 2006). Selected by Financial Engineering News as one of the top 10 technical books in 2006. )
9. Frank J. Fabozzi, Henry Davis, and Moorad Choudhry, Introduction to Structured Finance (John Wiley & Sons, 2006).
10. Douglas Lucas, Laurie Goodman, and Frank J. Fabozzi, Collateralized Debt Obligations: Structures and Analysis (John Wiley & Sons, Second edition, 2006). [First edition to be translated into Simplified Chinese by China Renmin University Press, People’s Republic of China]
11. Pamela P. Peterson and Frank J. Fabozzi, Analysis of Financial Statements: Second Edition (John Wiley & Sons, 2006). (To be translated into Simplified Chinese Dongbei University of Finance & Economics Press)
12. Frank J. Fabozzi, Sergio Focardi, and Petter Kolm, Trends in Quantitative Finance (Research Foundation of the CFA Institute, 2006).
2005
13. Svetlozar T. Rachev, Christian Menn, and Frank J. Fabozzi, Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing (John Wiley & Sons, 2005).+
2004
14. Sergio Focardi and Frank J. Fabozzi, The Mathematics of Financial Modeling and Investment Management (John Wiley & Sons, 2004). (Selected by RiskBook.com for “Best of 2004 Book Awards” and by Financial Engineering News as one of the top 3 books in 2005. ) ((To be translated into Simplified Chinese by China Renmin University Press, China.)
15. Mark J. P. Anson, Frank J. Fabozzi,, Moorad Choudhry, and Ren-Raw Chen, Credit Derivatives: Instruments, Pricing, and Applications (John Wiley & Sons, 2004).
2003
16. Frank J. Fabozzi and Pamela P. Peterson, Financial Management and Analysis (John Wiley & Sons, 2003).
17. Frank J. Fabozzi, Steven V. Mann, and Moorad Choudhry, Measuring and Controlling Interest Rate and Credit Risk: Second Edition (Hoboken, NJ: John Wiley & Sons, 2003). (To be translated into Simplified Chinese by Dongbei University of Finance & Economics Press, China.)
2002
18. Frank J. Fabozzi , Franco Modigliani, Frank J. Jones, and Michael Ferri, Foundations of Financial Markets and Institutions (Prentice-Hall, Englewood Cliffs, N.J., 2002: Third edition). [First edition translated into Spanish]
19. Frank J. Fabozzi and Franco Modigliani, Capital Markets: Institutions and Instruments (Prentice Hall, New Jersey, 2002, Third Edition). [First edition translated into Italian]
20. Pamela Peterson and Frank J. Fabozzi, Capital Budgeting: Theory and Practice (New York, NY: John Wiley & Sons, 2002).
21. Frank J. Fabozzi, Steven V. Mann, and Moorad Choudhry, Global Money Markets (New York, NY: John Wiley & Sons, 2002) (To be translated into simplified Chinese by Dongbei University of Finance & Economics Press, China.)
22. Leland Crabbe and Frank J. Fabozzi, Managing a Corporate Bond Portfolio (New York, NY: John Wiley & Sons, 2002). [To be translated into simplified Chinese by CITIC Publishing House, People’s Republic of China]
23. Frank J. Fabozzi, Fixed Income Securities (New York, NY: John Wiley & Sons, 2002: Second Edition).
24. Peter K. Nevitt and Frank J. Fabozzi, Equipment Leasing (John Wiley & Sons, Fourth Edition, 2000) [second edition translated into Japanese].
25. Peter K. Nevitt and Frank J. Fabozzi, Project Finance: Seventh Edition (Euromoney, London, 2000).
2001
26. Frank J. Fabozzi, Bond Portfolio Management (John Wiley & Sons, Second Edition, 2001). [To be translated into Simplified Chinese by the Shanghai University of Finance & Economics Press of The People's Republic of China.]
27. Frank J. Fabozzi and Steven V. Mann, Introduction to Fixed Income Analytics (John Wiley & Sons, 2001).
28. Geoffrey Buetow, Jr. and Frank J. Fabozzi, Valuation of Interest Rate Swaps and Swaptions (John Wiley & Sons, 2001).
29. Frank J. Fabozzi and John Dunlevy, Real Estate Backed Securities (John Wiley & Sons, 2001).
2000
30. Frank J. Fabozzi and Steven V. Mann, Floating Rate Securities (John Wiley & Sons, 2000).
31. Frank J. Fabozzi, Fixed Income Analysis for the Chartered Financial Analyst Program (Frank J. Fabozzi Associates, 2000).
1999
32. Frank J. Fabozzi, Investment Management (Prentice Hall, New Jersey, Second Edition, 1999). Translated into Polish]
33. Frank J. Fabozzi and Chuck Ramsey, Collateralized Mortgage Obligations: Third Edition (John Wiley & Sons, 1999).
34. Frank J. Fabozzi, Duration, Convexity, and Other Bond Risk Measures (John Wiley & Sons, 1999).
35. Frank J. Fabozzi and James Grant, Equity Portfolio Management (John Wiley & Sons, 1999).
36. Bruce Collins and Frank J. Fabozzi, Derivatives and Equity Portfolio Management ( John Wiley & Sons, 1999).
1998
37. Frank J. Fabozzi and David Yuen, Managing MBS Portfolios (John Wiley & Sons, 1998).
38. Frank J. Fabozzi, Valuation of Fixed Income Securities and Derivatives (John Wiley & Sons, 1998, Third Edition).
39. Frank J. Fabozzi, Treasury Securities and Derivatives (John Wiley & Sons, 1998).
1997
40. Frank J. Fabozzi and Mark B. Wickard, Credit Union Investment Management (John Wiley & Sons, 1997).
1996
41. Richard W. Wilson and Frank J. Fabozzi, Corporate Bonds: Structures and Analysis (John Wiley & Sons, 1996) [translated into Russian in 2005].
1995
42. Ravi Dattatreya and Frank J. Fabozzi, Active Total Return Management of Fixed Income Portfolios (Irwin Professional Publishing, Burr Ridge, IL 1995, Second edition) [translated into Japanese].
43. Mark Eaker, Frank J. Fabozzi, and Dwight Grant, International Corporate Finance (Dryden Press, 1995).
1994
44. Frank J. Fabozzi and Gifford Fong, Advanced Fixed Income Portfolio Management: State of the Art (Probus Publishing, 1994). (Translated into Polish)
45. Frank J. Fabozzi, Dessa Fabozzi, and Sylvan Feldstein, Municipal Bond Portfolio Management (Irwin Professional Publishing, 1994). (Translated into Polish)
1992
46. Frank J. Fabozzi and Franco Modigliani, Mortgage and Mortgage-Backed Securities Markets (Harvard Business School Press, Boston, 1992).
47. Frank J. Jones and Frank J. Fabozzi, The International Government Bond Markets (Probus Publishing, 1992).
1991
48. Ralph Polimeni, Frank J. Fabozzi and Arthur Adelberg, Cost Accounting: Concepts and Applications for Managerial Decision Making (McGraw-Hill, New York, N.Y. 1991, Third Edition) [second edition translated into Spanish]
1990
49. Mark Pitts and Frank J. Fabozzi, Interest Rate Futures and Options (Probus Publishing, Chicago, IL 1990).
50. Frank J. Fabozzi and Richard W. Wilson, The New Corporate Bond Market (Probus Publishing, Chicago, IL 1990).
51. Diana Harrington, Frank J. Fabozzi, and Russell Fogler, The New Stock Market (Probus Publishing, Chicago, IL 1990).
1987
52. Peter K. Nevitt, Frank J. Fabozzi, and Edmond J. Seifried, Equipment Leasing for Commercial Bankers, (Philadelphia, PA: Robert Morris Associates, 1987).
53. Marcia Stigum and Frank J. Fabozzi, Dow Jones-Irwin Guide to Money and Bond Market Instruments (Dow Jones-Irwin, Homewood, IL 1987).
54. Sylvan G. Feldstein and Frank J. Fabozzi, Dow Jones-Irwin Guide to Municipal Bonds (Dow Jones-Irwin, Homewood, IL 1987).
1985
55. H. Gifford Fong and Frank J. Fabozzi, Fixed Income Portfolio Management (Dow Jones-Irwin, Homewood, IL, 1985) [translated into Japanese].
56. Frank J. Fabozzi and Stephen Feldman, Smart Money (Probus Publishing, Chicago, IL, 1985).
Authored/Coauthored Books in Progress
1. Svetlozar T. Rachev, Stoyan Stoyanov, and Frank J. Fabozzi, Probability Metrics and the Stability of Stochastic Models (to be published by Wiley-Blackwell in October 2009).
2. Frank J. Fabozzi and Pamela P. Drake, Introduction to Finance (to be published by John Wiley & Sons in March 2009).
3. Frank J. Fabozzi, Sergio M. Focard, Petter N. Kolm, and Mark J.P. Anson, Quantitative Equity Investing (to be published by John Wiley & Sons in March 2009).
4. Frank J. Fabozzi, Institutional Investment Management (to be published by John Wiley & Sons in February 2009).
5. Boryana Racheva-Iotova, Svetlozar T. Rachev, Stoyan V. Stoyanov, and Frank J. Fabozzi, Advanced Risk Management and Portfolio Optimization (to be published by John Wiley & Sons in December 2009).
6. Dessislava A. Pachamanova and Frank J. Fabozzi, Simulation and Optimization Modeling in Finance (to be published by John Wiley & Sons in September 2009).
7. Lev B. Klebanov, Svetlozar T. Rachev, Frank J. Fabozzi, and Tomasz J. Kozubowski, Robustness and Stability in Statistics (first draft of the book completed in August 2008, 268 pages, under review at Springer-Verlag).
Workbooks Coauthored
Frank J. Fabozzi, Pamela P. Peterson, and Wendy D. Habegger, Financial Management and Analysis Workbook (John Wiley & Sons, 2004).
Frank J. Fabozzi, Harry M. Markowitz, and Leonard Kostovestsky, The Theory and Practice of Investment Management Workbook (John Wiley & Sons, 2004). Edited Books (By Year of Latest Edition)
2008
1. Frank J. Fabozzi (editor), Handbook of Finance: Volume I–Financial Instruments and Markets (John Wiley & Sons, 2008).
2. Frank J. Fabozzi (editor), Handbook of Finance: Volume II–Financial Management and Asset Management (John Wiley & Sons, 2008).
3. Frank J. Fabozzi (editor), Handbook of Finance: VolumeIII–Valuation, Financial Modeling, and Quantitative Tools (John Wiley & Sons, 2008).
4. Sylvan Feldstein and Frank J. Fabozzi (editors), The Handbook of Municipal Bonds (John Wiley & Sons, 2008).
5. Brian Lancaster, Glenn Schultz, and Frank J. Fabozzi (editors), Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors (John Wiley & Sons, 2008).
6. Frank J. Fabozzi, Dieter Kaiser, and Roland Füss, (editors), Handbook of Commodity Investing (John Wiley & Sons, 2008).
2007
7. Frank J. Fabozzi (editor), The Handbook of Mortgage-Backed Securities: Sixth Edition (McGraw-Hill, 2006) [first edition translated into Japanese; parts of second edition translated into Japanese; fifth edition translated into Chinese).]
8. Frank J. Fabozzi, Lionel Martellini, and Philippe Priaulet (eds), Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies (John Wiley & Sons, 2006). (To be translated into Simplified Chinese by Dongbei University of Finance & Economics Press, China.)
2005
9. Frank J. Fabozzi (editor), The Handbook of Fixed Income Securities: Seventh Edition (McGraw Hill, 2005) (sixth edition translated in Simplified Chinese).
10. Frank J. Fabozzi and Steven V. Mann (editors), Securities Finance: Securities Lending and Repurchase Agreements (John Wiley & Sons, 2005).
11. Peter L. Bernstein, Frank J. Fabozzi, Bruce I. Jacobs, and Kenneth N. Levy (editors), The Bernstein Fabozzi/Jacobs Levy Awards: Five Years of Award Winning Articles from The Journal of Portfolio Management, Volume One 1998-2003 (New York, NY: Institutional Investor, 2005).
2004
12. Frank J. Fabozzi and Moorad Choudhry (editors), The Handbook of European Fixed Income Securities (John Wiley & Sons, 2004).
13. Frank J. Fabozzi and Moorad Choudhry (editors), The Handbook of European Structured Financial Products (John Wiley & Sons, 2004).
14. Frank J. Fabozzi (editor), Short Selling: Strategies, Risks, and Rewards (John Wiley & Sons, 2004).
2003
15. T. Daniel Coggin and Frank J. Fabozzi,, Handbook of Equity Style Management (Third Edition, John Wiley & Sons, 2003). [Translated into Japanese and Korean.]
2002
16. Frank J. Fabozzi and Harry M. Markowitz (editors), The Theory and Practice of Investment Management (John Wiley & Sons, 2002). [To be translated into Simplified Chinese by China Renmin University Press, People’s Republic of China]
17. Frank J. Fabozzi (editor), The Handbook of Financial Instruments (John Wiley & Sons, 2002). (To be translated into Russian.)
18. Frank J. Fabozzi and Efstathia Pilarinu (editors), Investing in Emerging Fixed Income Markets (John Wiley & Sons, 2002).
2001
19. Frank J. Fabozzi (editor), Bond Credit Analysis: Framework and Case Studies (John Wiley & Sons, 2001) [To be translated into Simplified Chinese by China Renmin University Press, People’s Republic of China]
20. Frank J. Fabozzi (editor), Investing in Commercial Mortgage-Backed Securities (John Wiley & Sons, 2001).
21. Frank J. Fabozzi and Laurie S. Goodman (editors), Investing in Collateralized Debt Obligations (John Wiley & Sons, 2001).
22. Frank J. Fabozzi (editor), Accessing Capital Markets through Securitization (John Wiley & Sons, 2001). [To be translated into Simplified Chinese by China Renmin University Press, People’s Republic of China]
2000
23. Frank J. Fabozzi (editor), Fixed Income Readings for the Chartered Financial Analyst Program (Frank J. Fabozzi Associates, 2000).
24. Frank J. Fabozzi (editor), Professional Perspectives on Equity Indexing (John Wiley & Sons, 2000).
25. Frank J. Fabozzi (editor), Investing in Asset-Backed Securities (John Wiley & Sons, 2000). [To be translated into simplified Chinese by CITIC Publishing House, People’s Republic of China]
26. Frank J. Fabozzi, Chuck Ramsey, and Michael Marz (editors), The Handbook of Nonagency Mortgage-Backed Securities (John Wiley & Sons, Second Edition 2000).
27. Frank J. Fabozzi and James L. Grant (editors), Value Based Metrics: Foundations and Practice (John Wiley & Sons, 2000).
28. Frank J. Fabozzi (edtior), Cash Management: Products and Strategies (John Wiley & Sons, 2000).
1999
29. David Babbel and Frank J. Fabozzi (editors), Investment Management for Insurers (John Wiley & Sons, 1999).
30. John Brynjolfsson and Frank J. Fabozzi (editors), Handbook of Inflation Indexed Bonds (John Wiley & Sons, 1999) [Translated into Japanese].
31. T. Daniel Coggin and Frank J. Fabozzi (editors), Applied Equity Valuation (John Wiley & Sons, 1999).
32. Frank J. Fabozzi and David Jacob (editors), The Handbook of Commercial Mortgage-Backed Securities: Second Edition ( John Wiley & Sons, 1999). [Translated into Japanese]
33. Frank J. Fabozzi (editor), Issuer Perspectives on Securitization (John Wiley & Sons, 1999).
34. Frank J. Fabozzi (editor), Advances in the Valuation and Management of Mortgage-Backed Securities (John Wiley & Sons, 1999).
35. Frank J. Fabozzi (editor), Perspectives on Investment Management of Public Pension Funds (John Wiley & Sons, 1999).
36. Frank J. Fabozzi (editor), Subprime Consumer Lending (John Wiley & Sons, 1999).
1998
37. Frank J. Fabozzi (editor), Handbook of Structured Financial Products (John Wiley & Sons, 1998).
38. Frank J. Fabozzi (editor), Trends in Commercial Mortgage-Backed Securities (John Wiley & Sons, 1998).
39. Frank J. Fabozzi (editor), Bank Loans: Secondary Markets and Portfolio Management (John Wiley & Sons, 1998).
40. Frank J. Fabozzi (editor), Handbook of Corporate Debt Instrument (John Wiley & Sons, 1998).
41. Frank J. Fabozzi (editor), Perspectives on International Fixed Income Investing (John Wiley & Sons, 1998).
42. Frank J. Fabozzi (editor), Handbook of Portfolio Management (John Wiley & Sons, 1998).
43. Frank J. Fabozzi (editor), Handbook of Stable Value Investments ( John Wiley & Sons, 1998).
44. Frank J. Fabozzi (editor), Active Equity Portfolio Management (John Wiley & Sons, 1998). [To be translated into Simplified Chinese by the Shanghai University of Finance & Economics Press of The People's Republic of China.]
45. Frank J. Fabozzi (editor), Selected Topics in Equity Portfolio Management (John Wiley & Sons, 1998).
46. Frank J. Fabozzi (editor), Perspectives on Interest Rate Risk Management for Money Managers and Traders (John Wiley & Sons, 1998).
47. Frank J. Fabozzi (editor), The Use of Derivatives in Tax Planning (John Wiley & Sons, 1998).
48. Peter L. Bernstein and Frank J. Fabozzi (editors), Streetwise: The Best of the Journal of Portfolio Management (Princeton University Press, 1998).
1997
49. Frank J. Fabozzi (editor), Managing Fixed Income Portfolios (John Wiley & Sons, 1997).
50. Frank J. Fabozzi and Alberto Franco (editors), The Handbook of Emerging Fixed Income and Currency Markets (John Wiley & Sons, 1997).
51. Frank J. Fabozzi, (editors), Securities Lending and Repurchase Agreements (John Wiley & Sons, 1997).
52. Frank J. Fabozzi (editor), Selected Topics in Bond Portfolio Management (John Wiley & Sons, 1997).
53. Frank J. Fabozzi (editor), Advances in Fixed Income Valuation Modeling and Risk Control (John Wiley & Sons, 1997).
54. Frank J. Fabozzi (editor), Pension Fund Investment Management (John Wiley & Sons, 1997).
1996
55. Anand Bhattacharya and Frank J. Fabozzi (editors), Asset-Backed Securities (John Wiley & Sons, 1997). [To be translated into Simplified Chinese by China Renmin University Press, People’s Republic of China]
56. Frank J. Fabozzi (editor), The Handbook of Fixed Income Options (Irwin Publishing, 1996).
57. Frank J. Fabozzi and Atsuo Konishi (editors), The Handbook of Asset/Liability Management: Investment Strategies, Liquidity Requirements and Risk Controls for Banks and Thrifts (Irwin Professional Publishing, Burr Ridge IL, 1996) (translated into Japanese and into Polish).
1995
58. Frank J. Fabozzi, Chuck Ramsey, and Frank Ramirez (editors), Whole-Loan CMOs ( John Wiley & Sons, 1995).
1994
59. Frank J. Fabozzi (editor), CMO Portfolio Management (John Wiley & Sons, 1994).
1992
60. John Carlson and Frank J. Fabozzi (editors), The Trading and Securitization of Senior Bank Loans (Probus Publishing, Chicago, IL 1992).
61. Robert Arnott and Frank J. Fabozzi (editors), Active Asset Allocation (Probus Publishing, Chicago, IL 1992, second edition). [First edition translated into Japanese].
62. Frank J. Fabozzi (editor), The Collected Works of Martin Leibowitz (foreword by William Sharpe) (Probus Publishing, Chicago, IL 1992).
1990
63. Frank J. Fabozzi (editors), Current Topics in Investment Management (Harper & Row, NY 1990).
64. Frank J. Fabozzi (editor), Managing Institutional Assets (Ballinger Publishing, 1990).
65. Frank J. Fabozzi (editor), Handbook of Treasury and Government Agency Securities: Instruments, Trading and Portfolio Strategies (Probus Publishing, Chicago, IL 1990, second edition) [first edition translated into Japanese].
66. Frank J. Fabozzi (editor), The Japanese Bond Markets (Probus Publishing, Chicago, IL 1990)
67. Frank J. Fabozzi (editor), The New High-Yield Debt Market: A Handbook for Portfolio Managers and Analysts (Harper & Row, New York, NY 1990).
1989
68. Frank J. Fabozzi (editor), Fixed-Income Portfolio Strategies (Probus Publishing, Chicago, IL 1989).
69. Frank J. Fabozzi and Gregory Kipnis (editors), The Handbook of Stock Index Futures and Options (Dow Jones-Irwin, Homewood, IL 1989- translated into Japanese)
70. Frank J. Fabozzi (editor), Institutional Investors Focus on Investment Management (Ballinger Publishing, Cambridge, MA 1989).
71. Frank J. Fabozzi (editor), Portfolio and Investment Management: State-of-the Art Research, Analysis and Strategies (Probus Publishing, Chicago, IL 1989).
1987
72. Frank J. Fabozzi (editor), Advances and Innovations in Bond and Mortgage Markets (Probus Publishing, Chicago, IL, 1987).
73. Frank J. Fabozzi (editor), Mortgage-Backed Securities: New Strategies, Applications and Research (Probus Publishing, Chicago, IL, 1987).
74. Frank J. Fabozzi and T. Dessa Garlicki (editors), Advances in Bond Analysis and Portfolio Strategies (Probus Publishing, Chicago, IL, 1987).
1986
75. Frank J. Fabozzi and Frank G. Zarb (editors), The Handbook of Financial Markets: Securities, Options and Futures (Dow Jones- Irwin, Inc., Homewood, IL, 1986-second edition. Foreword by Arthur Burns).
76. Frank J. Fabozzi (editor), Floating Rate Instruments (Probus Publishing, Chicago, IL, 1986).
1985
77. Frank J. Fabozzi (editor), New Developments in Mortgage-Backed Securities (The Institute of Chartered Financial Analysts Continuing Education Series, Dow Jones-Irwin, 1985).
78. Frank J. Fabozzi (editor), Winning the Interest Rate Game: A Guide to Debt Options (Probus Publishing, Chicago, IL, 1985).
79. Frank J. Fabozzi and Leslie N. Masonson (editors), Corporate Cash Management: Techniques and Analysis (Dow Jones-Irwin, Homewood, IL, 1985).
80. Frank J. Fabozzi and Sheri Kole (editors), Selected Topics in Investment Management for Financial Planning (Dow Jones-Irwin, Homewood, IL, 1985).
1984
81. Frank J. Fabozzi and Gregory Kipnis (editors), Stock Index Futures (Dow Jones-Irwin, Homewood, IL, 1984).
82. Frank J. Fabozzi and Harry Greenfield (editors), The Handbook of Economic and Financial Measures (Dow Jones-Irwin, Homewood, IL, 1984).
1983
83. Frank J. Fabozzi, Sylvan G. Feldstein, Irving M. Pollack and Frank G. Zarb (editors), The Municipal Bond Handbook: Volume I (Dow Jones-Irwin, Inc., Homewood, Il 1983).
84. Sylvan G. Feldstein, Frank J. Fabozzi and Irving M. Pollack (editors), The Municipal Bond Handbook: Volume II (Dow Jones- Irwin, Inc., Homewood, IL, 1983).
85. Thomas L. Chrystie and Frank J. Fabozzi (editors), Left Hand Financing: An Emerging Field of Corporate Finance (Dow Jones- Irwin, Inc., Homewood, IL, 1983).
86. Frank J. Fabozzi (editor), Readings in Investment Management (Richard D. Irwin, Inc., 1983).
Edited Book in Progress
“Leveraged Finance: High Yield Debt – Bonds, Loans, and Their Derivatives”
Edited Book in Progress
None
PROFESSIONAL ACTIVITIES: MISCELLANEOUS
Other Publications
Frank J. Fabozzi and Franco Modigliani, "Bond Markets," in The New Palgrave Dictionary of Money and Finance edited by Peter Newman (Johns Hopkins), Murrany Milgate (Harvard), and John Eatwell (Cambridge) and to be published by The Macmillan Press Limited.
Douglas J. Lucas, Laurie S. Goodman, and Frank J. Fabozzi, “CDO Equity,” Chapter 9 in Alexander Batchvarov (editor), Hybrid Products: Instruments, Applications, and Modelling (Risk Books, London, 2005).
Frank J. Fabozzi and Andrew Kalotay Ginnie Mae and the Secondary Mortgage Market: an Integral Part of the American Economic Engine published by the Government National Mortgage Association, March 2003.
Frank J. Fabozzi, “Overview of Structured Financial Products,” The CFA Institute On-Line Website forthcoming.
Frank J. Fabozzi and Ronald J. Ryan, “Redefining Pension Plans,” Institutional Investor, January 2005, pp. 84-89.
Frank J. Fabozzi, Sergio M. Focardi, and Caroline Jonas, Fabozzi/Intertek Can Modeling Help Deal with the Pension Funding Crisis (December 2004). (Research Report)
Frank J. Fabozzi, Sergio M. Focardi, and Caroline Jonas, Fabozzi/Intertek 2006 Survey Trends in Equity Portfolio Modeling (September 2006).
Harold Hastings, Jack C. Francis and Frank J. Fabozzi, "Bankruptcy Model: An Economic Application of Mathematical Catastrophe Theory," abstracted in Notices of the American Mathematical Society, Vol. 24, No. 4, June 1977.
Article Rankings: 1953-2002
Source: Philip L. Cooley and Jean L. Heck, “Prolific Authors in the Finance Literature: A Half Century of Contributions,” Journal of Finance Literature (Winter 2005), pp. 46-69:
Exhibit 1: Most Prolific Authors in 7 Leading Finance Journals: Ranking 134
Exhibit 3: Most Prolific Authors in 16 Leading Finance Journals: Ranking 48
Exhibit 4: Most Prolific Authors in 72 Leading Finance Journals: Ranking 27
Award-Winning Papers
Paper selected as the Best Paper at the Fifth International Conference on Information and Management Sciences, Chengdu, China, July 1-8, 2006.: Dashan Huang, Frank J. Fabozzi, and Masao Fukushima “Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy”
Winner of the 2006 Outstanding Paper by Emerald Literati Network: Frank J. Fabozzi and Sergio M. Focardi, “An Autoregressive Conditional Duration Model of Credit Risk Model,” Journal of Risk Finance Vol. 6, No. 3(2005), pp. 208-225.
Paper Selected as the Best Paper of the FMA 1992 Competitive Papers Awards Program in the Area of Investments: Frank J. Fabozzi, Christopher K. Ma, and William T. Chittenden, "The Information Content of Intraday Large Price Changes."
Papers Recently Presented at Conferences
Svetlozar T. Rachev, Teo Jašić, Stoyan Stoyanov, and Frank J. Fabozzi, “Momentum Strategies using Reward-Risk Stock Selection Criteria.” Conference on Heavy Tails and Stable Paretian Distributions in Finance and Macroeconomics. In celebration of the 80th birthday of Professor Benoît B Mandelbrot, November 10-12, 2005 in Eltville, Germany.
Wei Sun, Svetlozar T. Rachev, Frank J. Fabozzi, and Petko Kalev, “Long-Range Dependence and Heavy-Tailedness in Modeling Trade Duration.” Conference on High Frequency Finance (Microstructure of Financial Markets in Europe) at the The Center of Finance and Econometrics at the University of Konstanz, Germany, May 19-20, 2006.
Dashan Huang, Frank J. Fabozzi, and Masao Fukushima “Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy” at Fifth International Conference on Information and Management Sciences, Chengdu, China, July 1-8, 2006.
Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, and Frank J. Fabozzi, “Option Valuation with a New Tempered Stable GARCH Model,” accepted for the XLI Meeting of the Euro Working Group on financial Modelling (EWGF), November 8-10, 2007. 1. Svetlozar T. Rachev, Teo Jašić, Almira Biglova, and Frank J. Fabozzi, “Devising Zero-Investment Strategies Using Reward-Risk Criteria for Ranking Stocks with Nonnormal Return Distributions.”
2. Sergio Ortobelli , Svetlozar Rachev, and Frank J. Fabozzi, “Risk Management and Dynamic Portfolio Selection with Stable Paretian Distributions”
3. Sergio Focardi and Frank J. Fabozzi, “Modeling Momentum and Reversals with Regime Shifting Models with Time-Varying Probabilities”
4. Ren-Raw Chen, Frank J. Fabozzi, and Ronald Sverdlove, “Corporate Credit Default Swap Liquidity and Its Implications for Corporate Bond Spreads”
5. Jochen Papenbrock, Svetlozar T. Rachev, Markus Hochstotter, and Frank J. Fabozzi, "Price Calibration and Hedging of Correlation Dependent Credit Derivatives using a Structural Model with α-Stable Distributions"
6. Stoyan V. Stoyanov, Svetlozar T. Rachev, and Frank J. Fabozzi, “Construction of Probability Metrics on Classes of Investors”
7. Takashi Kanamura, Svetlozar T. Rachev, Christoph Moller, and Frank J. Fabozzi, “The Application of Pairs Trading to Energy Futures Markets.”
8. Frank J. Fabozzi, Shih-Kuo Yeh, and Yi-Chen Wang, and Ren-Raw Chen, “An Empirical Analysis of the CDX Credit Index and its Tranches.”
9. Michele Leonardo Bianchi, Svetlozar. T. Rachev, Young Shin Kim, and Frank J. Fabozzi, “Tempered Stable Distributions and Processes in Finance: Numerical Analysis,” presented at the 2008 MAF conference and at the University of Venice, Italy and under review for the conference proceedings that will be published as Mathematical Methods in Economics and Finance (Springer).
10. Michael J. Grebeck, Svetlozar T. Rachev, and Frank J. Fabozzi, “Stochastic Programming and Stable Distributions in Asset Liability Management”
11. Michele Bianchi, Svetlozar T. Rachev, Young Shim Kim, and Frank J. Fabozzi,“Tempered Infinitely Divisible Distributions and Processes”
12. Ivan K. Mitov. Svetlozar T. Rachev, and Frank J. Fabozzi, “Approximation of Aggregate and Extremal Losses Within the Very Heavy Tails Framework”
13. Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas, “Considerations on the Challenges in Quantitative Equity Management.”
14. Christian Diekmann, Svetlozar T. Rachev, Frank J. Fabozzi, “Modeling the Interaction of Market and Credit Risk: Application to Automotive Loan and Lease Portfolios” Structured Finance
Fixed Income Portfolio Management
Sourcing and Managing Funds Editor, The Journal of Portfolio Management
Associate Editor, The Journal of Fixed Income
Consulting editor, The Journal of Structured Finance
Editorial Board, Journal of Asset Management
Associate Editor, Risk Letters
Advisory Board, The Review of Futures Markets
Editorial Board, Investment Management & Financial Innovations
PRIOR EDITORIAL POSITION
Founding Editor, Advances in Futures and Options Research (published by JAI Press)
Associate Editor, Review of Quantitative Finance and Accounting (1990-1992)
Editor, Professional Perspectives on Fixed Income Portfolio Management
REFERRED FOR
Journal of Finance
Journal of Financial and Quantitative Analysis
Journal of Banking and Finance
Journal of Empirical Finance
Financial Analysts Journal
Quantitative Finance
International Journal of Theoretical and Applied Finance
European Journal of Operational Research |
