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Frank J. Fabozzi

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2025
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Jang Ho Kim, Seyoung Kim, Yongjae Lee, Woo Chang Kim, Frank J. Fabozzi:
Enhancing mean-variance portfolio optimization through GANs-based anomaly detection. Ann. Oper. Res. 346(1): 217-244 (2025)
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Marcos López de Prado, Joseph Simonian, Francesco A. Fabozzi, Frank J. Fabozzi:
Enhancing Markowitz's portfolio selection paradigm with machine learning. Ann. Oper. Res. 346(1): 319-340 (2025)
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Frank J. Fabozzi, Maria Cristina Recchioni, Roberto Renò:
Fifty years at the interface between financial modeling and operations research. Eur. J. Oper. Res. 327(1): 1-21 (2025)
2024
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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)
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Young Shin Kim, Frank J. Fabozzi:
Portfolio optimization with relative tail risk. Ann. Oper. Res. 341(2): 1023-1055 (2024)
2023
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Yoontae Hwang, Yongjae Lee, Frank J. Fabozzi:
Identifying household finance heterogeneity via deep clustering. Ann. Oper. Res. 325(2): 1255-1289 (2023)
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Erdinc Akyildirim, Alper A. Hekimoglu, Ahmet Sensoy, Frank J. Fabozzi:
Extending the Merton model with applications to credit value adjustment. Ann. Oper. Res. 326(1): 27-65 (2023)
2022
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Jang Ho Kim, Yongjae Lee, Woo Chang Kim, Frank J. Fabozzi:
Goal-based investing based on multi-stage robust portfolio optimization. Ann. Oper. Res. 313(2): 1141-1158 (2022)
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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]
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Abdolreza Nazemi, Friedrich Baumann, Frank J. Fabozzi:
Intertemporal defaulted bond recoveries prediction via machine learning. Eur. J. Oper. Res. 297(3): 1162-1177 (2022)
2021
[j27]
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Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi:
Sparse factor model based on trend filtering. Ann. Oper. Res. 306(1): 321-342 (2021)
2020
[j26]
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Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi:
A New Set of Financial Instruments. Frontiers Appl. Math. Stat. 6: 606812 (2020)
2019
[j25]
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Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi:
Market implied volatilities for defaultable bonds. Ann. Oper. Res. 275(2): 669-683 (2019)
2018
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Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi:
Recent advancements in robust optimization for investment management. Ann. Oper. Res. 266(1-2): 183-198 (2018)
[j23]
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Jang Ho Kim, Woo Chang Kim, Do-Gyun Kwon, Frank J. Fabozzi:
Robust equity portfolio performance. Ann. Oper. Res. 266(1-2): 293-312 (2018)
[j22]
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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]
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Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi:
Tempered stable Ornstein- Uhlenbeck processes: A practical view. Commun. Stat. Simul. Comput. 46(1): 423-445 (2017)
[j20]
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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]
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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]
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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
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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)
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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)
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Woo Chang Kim, Min Jeong Kim, Jang Ho Kim, Frank J. Fabozzi:
Robust portfolios that do not tilt factor exposure. Eur. J. Oper. Res. 234(2): 411-421 (2014)
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Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi:
Recent Developments in Robust Portfolios with a Worst-Case Approach. J. Optim. Theory Appl. 161(1): 103-121 (2014)
[j13]
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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
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Woo Chang Kim, Jang Ho Kim, So Hyoung Ahn, Frank J. Fabozzi:
What do robust equity portfolio models really do? Ann. Oper. Res. 205(1): 141-168 (2013)
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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)
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Hassan Fallahgoul, S. M. Hashemiparast, Frank J. Fabozzi, Young Shin Kim:
Multivariate stable distributions and generating densities. Appl. Math. Lett. 26(3): 324-329 (2013)
2012
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Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca:
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Ann. Oper. Res. 201(1): 325-343 (2012)
2010
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Frank J. Fabozzi, Dashan Huang, Guofu Zhou:
Robust portfolios: contributions from operations research and finance. Ann. Oper. Res. 176(1): 191-220 (2010)
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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)
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Dashan Huang, Shushang Zhu, Frank J. Fabozzi, Masao Fukushima:
Portfolio selection under distributional uncertainty: A relative robust CVaR approach. Eur. J. Oper. Res. 203(1): 185-194 (2010)
2009
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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)
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Sergio Focardi, Frank J. Fabozzi:
Black swans and white eagles: on mathematics and finance. Math. Methods Oper. Res. 69(3): 379-394 (2009)
2008
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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
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Dashan Huang, Yoshitaka Kai, Frank J. Fabozzi, Masao Fukushima:
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve. Eur. J. Oper. Res. 177(2): 1134-1152 (2007)
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Dashan Huang, Frank J. Fabozzi, Masao Fukushima:
Robust portfolio selection with uncertain exit time using worst-case VaR strategy. Oper. Res. Lett. 35(5): 627-635 (2007)

Conference and Workshop Papers

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2007
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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

Parts in Books or Collections

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2005
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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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