FABOZZI Frank, PhD

Senior Scientific Adviser, EDHEC-Risk Institute & Professor

Speciality : Finance
Expertise : Fixed Income Analysis, Investment Management, and Structured Finance

EDHEC Business School
393/400 Promenade des Anglais - BP3116
06202 Nice cedex 3 - France
Tel.: + 33 (0)4 93 18 99 66
Fax : + 33 (0)4 93 83 08 10

Email : frank.fabozzi@edhec.edu

Website

Main academic publications

Quarterly Review of Economics and Finance (2017), Communications in Statistics - Simulation and Computation (2017), The Journal of Portfolio Management (2017), Review of Finance (2017), International Journal of Finance & Economics (2017), Journal of International Money and Finance (2016), Journal of Derivatives (2015 ; 2016 ; 2018), Journal of Financial Research (2015), Computational Economics (2015), North American Actuarial Journal (2015), Journal of Financial Engineering (2015), Journal of Pension Economics and Finance (2015), Journal of Asset Management (2014 ; 2016 ; 2017), Journal of Statistical Theory and Practice (2014), Journal of Banking & Finance (2014 ; 2016), Journal of Optimization and Applications (2014), European Journal of Operational Research (2014 ; 2016 ; 2017), Economics Letters (2014 ; 2017), Journal of Economic Dynamics & Control (2014), Journal of Portfolio Management (2013 ; 2014 ; 2015 ; 2016 ; 2017), International Review of Financial Analysis (2013 ; 2014 ; 2015 ; 2016), Applied Economics (2013 ; 2015 ; 2016 ; 2017 ; 2018), International Journal of Theoretical and Applied Finance (2013 ; 2016), Finance Research Letters (2013), Emerging Markets Review (2013), Studies in Nonlinear Dynamics & Econometrics (2013), Annals of Operations Research (2012 ; 2013 ; 2018), European Financial Management (2012), Review of Quantitative Finance and Accounting (2012), Quantitative Finance (2012 ; 2014 ; 2015), International Journal of Theoretical and Applied Finance (2012), Journal of Fixed Income (2012 ; 2013 ; 2014 ; 2016 ; 2017 ; 2018), Review of Derivatives Research (2012)

Documents to download

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Publications edhec

The Journal of Portfolio Management, Vol. 45, Issue 1, Fall 2018  
The Journal of Derivatives, Vol. 25, Issue 4, Summer 2018, pp48-53  
Annals of Operations Research, July 2018, Volume 266, Issue 1–2, pp 183–198
Annals of Operations Research, July 2018, Volume 266, Issue 1–2, pp 293–312

Pages

Press Articles

“For many decades, finance has relied on overly simplistic statistical techniques to identify patterns in data. Machine learning promises to change...
"(...) However, a second paper published this year (“Sin Stocks Revisited”, by David Blitz of Robeco Asset Management and Frank Fabozzi of EDHEC...
Ethical fund managers don’t have to be envious of the market-beating returns of so-called sin stocks. They should be able to match them without...
"(...) There is nothing mysterious about the performance of sin stocks,” authors David Blitz, Robeco Asset Management’s head of quantitative...