Frank Fabozzi

Professor of Finance

Main contributions

Structural Change and Economic Dynamics (2022), Journal of Economic Dynamics and Control (2022), The Journal of Alternative Investments (2020 ; 2021 ; 2022), The Journal of Portfolio Management (2013 ; 2014 ; 2015 ; 2016 ; 2017 ; 2019 ; 2020 ; 2021 ; 2022), European Journal of Operational Research (2014 ; 2016 ; 2017 ; 2022), Applied Financial Economics (2022), International Journal of Forecasting (2022), Journal of Financial Intermediation (2021), Econometric Reviews (2020), The Journal of Derivatives (2020 ; 2021), Journal of Economics Perspectives (2020), The Journal of Real Estate Finance and Economics (2020), Annals of Finance (2020), Review of Financial Economics (2019 ; 2021), Journal of Forecasting (2019), Real Estate Economics (2019), Quarterly Review of Economics and Finance (2017), Communications in Statistics - Simulation and Computation (2017), Review of Finance (2017), International Journal of Finance & Economics (2017 ; 2021), Journal of International Money and Finance (2016 ; 2019 ; 2021), Journal of Derivatives (2015 ; 2016 ; 2018 ; 2019 ; 2020), Journal of Financial Research (2015), Computational Economics (2015 ; 2019), North American Actuarial Journal (2015), Journal of Financial Engineering (2015), Journal of Pension Economics and Finance (2015), Journal of Asset Management (2014 ; 2016 ; 2017 ; 2020 ; 2021), Journal of Statistical Theory and Practice (2014), Journal of Banking & Finance (2014 ; 2016), Journal of Optimization and Applications (2014), Economics Letters (2014 ; 2017), Journal of Economic Dynamics & Control (2014), International Review of Financial Analysis (2013 ; 2014 ; 2015 ; 2016 ; 2019), Applied Economics (2013 ; 2015 ; 2016 ; 2017 ; 2018 ; 2019), International Journal of Theoretical and Applied Finance (2012 ; 2013 ; 2016 ; 2019 ; 2020), Finance Research Letters (2013 ; 2019), Emerging Markets Review (2013), Studies in Nonlinear Dynamics & Econometrics (2013 ; 2021), Annals of Operations Research (2012 ; 2013 ; 2018 ; 2019 ; 2021), European Financial Management (2012), Review of Quantitative Finance and Accounting (2012 ; 2021), Quantitative Finance (2012 ; 2014 ; 2015), The Journal of Fixed Income (2012 ; 2013 ; 2014 ; 2016 ; 2017 ; 2018 ; 2020 ; 2021 ; 2022), Review of Derivatives Research (2012)

Discipline: Finance
Faculty: Data Science, Economics & Finance
Expertise: Analyse des titres à revenu fixe, Gestion des placements et financement structuré

Publications of Frank Fabozzi

23.03.2022 - Article in a peer reviewed journal

The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive

Frank Fabozzi, Gorman Stephen
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Journal of Portfolio Management, Volume 48, April 2022, Pages 219 - 265


16.03.2022 - Article in a peer reviewed journal

Intertemporal defaulted bond recoveries prediction via machine learning

Nazemi Abdolreza, Friedrich Baumann, Frank Fabozzi
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March 2022


02.03.2022 - Article in a peer reviewed journal

Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios

Frank Fabozzi, Gorman Stephen
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Journal of Portfolio Management, Volume 48, April 2022, Pages 147 - 182


24.02.2022 - Article in a peer reviewed journal

Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis

Frank Fabozzi, Hu Yuan, Lindquist Brent, Rachev Svetlozar, Shirvani Abootaleb
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Journal of Economic Dynamics and Control, Volume 137, April 2022, Pages 1 - 20


05.02.2022 - Article in a peer reviewed journal

The economic theory of qualitative green growth

Frank Fabozzi, Focardi Sergio, Ponta Linda, Rivoire Manon, Mazza Davide
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Structural Change and Economic Dynamics, Volume 61, May 2022, Pages 242 - 254