← All authors Frank J. Fabozzi Texas Tech University (from arXiv:2501.15793, 2025) · ORCID · OpenAlex
550 papers in scope · 547 published · 4 on the econ.EM arXiv · 11,036 citations · h-index 50 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Abootaleb Shirvani Svetlozar T. Rachev Ayush Jha Ali Jaffri Iliyan Georgiev Giuseppe Cavaliere Edoardo Zanelli Anders Rahbek H. Peter Boswijk Tengyuan Liang Sanjog Misra Yang Zu Luca Fanelli Giovanni Angelini Max H. Farrell Jun Yu Vadim Gorin Anna Bykhovskaya Arkadiusz Szydłowski Marco Mazzali Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (4 of 550)
Martin Leibowitz and the Evolution of Fixed Income Investing
published 2026 · The Journal of Fixed Income
In Memoriam: Martin Leibowitz’s Contributions Across Finance
published 2026 · Financial Analysts Journal
working paper 2026 · arXiv
When Capital Is Not the Constraint: Political and Administrative Risks in Implementing QNDFs
published 2026 · The Journal of Private Markets Investing
with Joshua S. Stinson, Caleb C. Stenholm
Algorithmic Vulnerability: The Hidden Risks of AI in Asset Management
published 2026 · The Journal of Portfolio Management
with Andrew Chin
Special Issue on Client, Governance, and Industry Trends in Asset Management
published 2026 · The Journal of Portfolio Management
Interview with Jenn Bender of State Street Investment Management
published 2026 · The Journal of Portfolio Management
Interview with Petter N. Kolm of New York University
published 2026 · The Journal of Financial Data Science
Interview with K. Geert Rouwenhorst of Yale University
published 2026 · The Journal of Portfolio Management
Inter-industry network and corporate bond recovery rates
published 2026 · Journal of Corporate Finance
Interview with Marat Molyboga of Efficient Capital Management
published 2026 · The Journal of Portfolio Management
Measuring Strategy-Decay Risk: Minimum Regime Performance and the Durability of Systematic Investing
published 2025 · The Journal of Portfolio Management
with Nolan Alexander
Editor’s Introduction for the 2026 Special Issue on Factor-Based Investing
published 2025 · The Journal of Portfolio Management
When Factors Collide: Mapping Causal Spillovers across Global Asset Networks
published 2025 · The Journal of Portfolio Management
with Gueorgui S. Konstantinov
Editor’s Introduction for 2025 Special Issue on Quantitative Tools for Asset Management
published 2025 · The Journal of Portfolio Management
Option-Implied Probabilities and Bond Valuation
published 2025 · The Journal of Fixed Income
Deep Learning in Asset Management: Architectures, Applications, and Challenges
published 2025 · The Journal of Portfolio Management · 2 citations
with Yoontae Hwang, Youngbin Lee, Junhyeong Lee, Stefan Zohren, Jang Ho Kim, Woo Chang Kim, Yongjae Lee
Random Forests for Feature Selection: Concepts and Applications in Asset Management
published 2025 · The Journal of Portfolio Management
with Jang Ho Kim, Yongjae Lee, Woo Chang Kim, Jae Wook Song
From Core to Complexity: The Investment Landscape for Real Estate Gets More Complicated
published 2025 · The Journal of Portfolio Management
with Thomas R. Arnold, Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
Risk-Neutral Pricing of Quanto Options with Generative Machine Learning Techniques
published 2025 · The Journal of Derivatives
Interview with Campbell R. Harvey—Academics in Action: Bridging Theory and Practice in Asset Management
published 2025 · The Journal of Portfolio Management
Strategic Discipline: How Asset Management Mirrors Military Operations
published 2025 · The Journal of Portfolio Management
with Caleb C. Stenholm
Interview with Roger G. Ibbotson—Academics in Action: Bridging Theory and Practice in Asset Management
published 2025 · The Journal of Portfolio Management
Editor’s Introduction to the Future of Asset Management
published 2025 · The Journal of Portfolio Management
The Strategic Evolution of Private Debt: Navigating ESG, Inclusion, and Resilience in a Volatile World
published 2025 · The Journal of Fixed Income
Interview with Sebastien Page of T. Rowe Price
published 2025 · The Journal of Portfolio Management
The Disappearing Edge: AI, Machine Learning, and the Future of the Discretionary Portfolio Manager
published 2025 · Financial Analysts Journal · 1 citations
with Andrew Chin, Igor Yelnik, Jim Kyung-Soo Liew
ARMOR-CAP Investing: Building Resilient Portfolios for a Geopolitical Era
published 2025 · The Journal of Portfolio Management · 1 citations
Interview with Mark Kritzman of Windham Capital Management
published 2025 · The Journal of Portfolio Management
Editor’s Introduction to the Special Issue on Portfolio Manager Perspectives
published 2025 · The Journal of Portfolio Management
ESG Isn’t Enough: Why Portfolio Resilience Needs Its Own Framework
published 2025 · The Journal of Investing
From Economics to AI: Integrating Discretionary and Quantitative Approaches in Asset Management
published 2025 · The Journal of Portfolio Management · 1 citations
with Alexander Rudin, Igor Yelnik, Juan Drechsel Antolin-Diaz, Suhail Shaikh
Interview with Justin Slatky of Shenkman Capital Management, Inc.
published 2025 · The Journal of Portfolio Management
working paper 2025 · arXiv
Interview with David A. Mascio of Della Parola Capital Management
published 2025 · The Journal of Portfolio Management
Interview with Andrew B. Weisman of Market Revealed Preference
published 2025 · The Journal of Portfolio Management
Interview with Gene Podkaminer of Capital Group
published 2025 · The Journal of Portfolio Management
Quantifying disruption in the age of AI: An AI-based approach to evaluating startup innovation and investment potential
published 2025 · Finance research letters · 1 citations
with Michael B. Imerman
Interview with Guido Baltussen of Northern Trust Asset Management
published 2025 · The Journal of Portfolio Management
Interview with Revanta Pawar of L&G – Asset Management, America
published 2025 · The Journal of Portfolio Management
Interview with Marcos López de Prado of Abu Dhabi Investment Authority (ADIA)
published 2025 · The Journal of Portfolio Management
Interview with Victor Haghani and James White of Elm Wealth
published 2025 · The Journal of Portfolio Management
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon
published 2025 · Econometric Reviews · first circulated 2024
Editors’ Introduction to the 2025 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management
published 2025 · The Journal of Portfolio Management
with Ahmet K. Karagozoglu
Rolling in the green? A closer look at cannabis ETFs’ market munchies
published 2025 · Journal of Asset Management · 2 citations
with D.K. Malhotra
Bootstrapping Risk-Free Rates in the Post-IBOR Environment
published 2025 · The Journal of Fixed Income
with Vincenzo Russo
Reconciling Circularity and Growth: The Model of Qualitative Economic Growth
published 2025 · Journal of Economic Analysis · 1 citations · first circulated 2023
with Sergio M. Focardi
Optimizing Portfolios with Pakistan-Exposed Exchange-Traded Funds: Risk and Performance Insight
published 2025 · Journal of risk and financial management · 3 citations
Interview with Stefano Cavaglia of the State of Wisconsin Investment Board
published 2025 · The Journal of Portfolio Management
Revolutionizing Portfolio Management with Network Theory
published 2025 · The Journal of Financial Data Science · 1 citations
with Gueorgui S. Konstantinov
Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
published 2025 · Journal of risk and financial management · 11 citations · first circulated 2024
Interview with Kari Vatanen of Elo Mutual Pension Insurance Company
published 2025 · The Journal of Portfolio Management
Interview with Jacky S.H. Lee of Total Portfolio at Healthcare of Ontario Pension Plan in Toronto
published 2025 · The Journal of Portfolio Management
Integrating Sustainability into Asset Management: Challenges and Opportunities
published 2025 · The Journal of Portfolio Management · 2 citations
with Sergio M. Focardi
How leadership turnover influences global financial markets
published 2025 · Finance research letters · 2 citations
with Yosef Bonaparte, Andrey Mikhailitchenko
Editor’s Introduction for the 2025 Special Issue on Multi-Asset Strategies and Asset Allocation
published 2025 · The Journal of Portfolio Management · 1 citations
Measuring transitory inflation: Implications for monetary policy and stock market volatility
published 2025 · Journal of International Money and Finance · 2 citations
with Yosef Bonaparte, Matt Peron
Ethical AI in Asset Management: Frameworks for Transparency, Compliance, and Trust
published 2025 · The Journal of Financial Data Science · 6 citations
with Manish Chakrabarti, Arpit Narain, Anil K. Sood
Interview with Jean-Charles Bertrand of HSBC Asset Management
published 2025 · The Journal of Portfolio Management
working paper 2025 · arXiv · 1 citations
Interview with Michael Stamos of Allianz Global Investors
published 2025 · The Journal of Portfolio Management
Interview with Wesley Phoa of Capital Group
published 2025 · The Journal of Portfolio Management
A Conversation with Don Marcos (aka Marcos López de Prado)
published 2025 · The Journal of Financial Data Science · 1 citations
Fifty years at the interface between financial modeling and operations research
published 2025 · European Journal of Operational Research · 6 citations
published 2024 · Journal of risk and financial management · 2 citations
Editor’s Introduction for the 2025 Special Issue on Factor-Based Investing
published 2024 · The Journal of Portfolio Management
Catching the FoMO Fever: A Look at Fear in Finance
published 2024 · The Journal of Portfolio Management · 7 citations
with Yosef Bonaparte
An Empirical Implementation of the Shadow Riskless Rate
published 2024 · Risks · 1 citations
High-dimensional macroeconomic stress testing of corporate recovery rate
published 2024 · Quantitative Finance
Paradigm Shift: Embracing Holism in Causal Modeling for Investment Applications
published 2024 · The Journal of Portfolio Management
with Sergio M. Focardi, Joseph Simonian
An Overview of Optimization Models for Portfolio Management
published 2024 · The Journal of Portfolio Management · 4 citations
with Jang Ho Kim, Yongjae Lee, Woo Chang Kim, Taehyeon Kang
Measuring Market Risk in Asset Management
published 2024 · The Journal of Portfolio Management · 2 citations
with Gian Luca Tassinari, Michele Leonardo Bianchi
An Overview of Machine Learning for Portfolio Optimization
published 2024 · The Journal of Portfolio Management · 10 citations
with Yongjae Lee, Jang Ho Kim, Woo Chang Kim
Enhancing Markowitz's portfolio selection paradigm with machine learning
published 2024 · Annals of Operations Research · 12 citations
with Marcos López de Prado, Joseph Simonian, Francesco A. Fabozzi
GPU-Accelerated American Option Pricing: The Case of the Longstaff-Schwartz Monte Carlo Model
published 2024 · The Journal of Derivatives · 1 citations
with Leon Xing Li, Ren-Raw Chen
Derivative applications to asset allocation and multi-asset management
published 2024 · Journal of Asset Management
with William Cazalet, Dimitri Curtil, Scott Hixon, Alexander Rudin, Rahul Sathyajit, James Stavena, Shubham Upadhyay
Improvements in Global Bond Portfolio Risk Management and Performance by Hedging the Components of Total Risk with Derivatives
published 2024 · The Journal of Fixed Income
with Gueorgui S. Konstantinov
Applications of derivatives for portfolio risk management
published 2024 · Journal of Asset Management
with Vineer Bhansali, Robert Harlow, Ádám Kóbor, Joseph Niehaus, Christopher Small, Andrew L. Weisman
Applications of CDS to bond portfolio management
published 2024 · Journal of Asset Management · 1 citations
with Johan Duyvesteyn, Marielle de Jong, Patrick Houweling, Lodewijk van der Linden
Applications of FX derivatives to portfolio management
published 2024 · Journal of Asset Management
with Redouane Elkamhi, Jacky S.H. Lee, Marco Salerno, Kari Vatanen, Suprita Vohra
Asymptotic Properties of ReLU FFN Sieve Estimators
published 2024 · Studies in Nonlinear Dynamics and Econometrics · 1 citations
Applications of stock index options for income enhancement
published 2024 · Journal of Asset Management
with John Burrello, Han Liang, Anil K. Sood, Kari Vatanen
Applications of equity derivatives to portfolio management
published 2024 · Journal of Asset Management
with Eddie C. Cheng, Robert Harlow, W.L. Lee, Shaojun Zhang
Portfolio optimization with relative tail risk
published 2024 · Annals of Operations Research · 1 citations
with Young Shin Kim
Mortgage Originator Pipeline Management
published 2024 · The Journal of Fixed Income
with Bill Berliner
Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model
published 2024 · Risks · 2 citations
Editors’ Introduction to the Special Issue on CIO Perspectives
published 2024 · The Journal of Portfolio Management
with Eric H. Sorensen
The Great LIBOR Exodus: Analytical Implications and SOFR Transition Challenges
published 2024 · The Journal of Derivatives
with Marat Molyboga, Vincenzo Russo
A rational finance explanation of the stock predictability puzzle
published 2024 · Review of Financial Economics
Editors’ Introduction: The Birth of Portfolio Theory
published 2024 · The Journal of Portfolio Management · 3 citations
with Bruce I. Jacobs, Kenneth N. Levy
Heterogeneous trading behaviors of individual investors: A deep clustering approach
published 2024 · Finance research letters · 5 citations
with Yoontae Hwang, Junpyo Park, Jang Ho Kim, Yongjae Lee
Interpretable machine learning for creditor recovery rates
published 2024 · Journal of Banking & Finance · 18 citations · first circulated 2022
Option Pricing Using a Skew Random Walk Binary Tree
published 2024 · Journal of risk and financial management · 2 citations · first circulated 2023
The risk-adjusted performance of convertible venture contracts
published 2024 · International Review of Economics & Finance
with Gurupdesh S. Pandher, Yosef Bonaparte
Editor’s Introduction for the 2024 Special Issue on Multi-Asset Strategies and Asset Allocation
published 2024 · The Journal of Portfolio Management
The Financial Market of Indices of Socioeconomic Well-Being
published 2024 · Journal of risk and financial management · 4 citations
webinar summary Fixed Income Investing
published 2023 · The Journal of Portfolio Management
with Tony Crescenzi, Jeffrey Johnson, Jay Raol, Karen Simeone
Editor’s Introduction for 2024 Special Issue on Factor Investing
published 2023 · The Journal of Portfolio Management · 1 citations
What difference do new factor models make in portfolio allocation?
published 2023 · Journal of International Money and Finance · 11 citations · first circulated 2016
with Dashan Huang, Fuwei Jiang, Jiexun Wang
Editors’ Introduction to the 2023 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management
published 2023 · The Journal of Portfolio Management
with Ahmet K. Karagozoglu
How Do Alternatives to LIBOR Measure Up?
published 2023 · The Journal of Fixed Income
with Faten Sabry, Ramisa Roya
Alternative risk premium: specification noise
published 2023 · Journal of Asset Management
with Stephen A. Gorman
Twenty Years of the Real Estate Special Issue: What Might the Next Twenty Years Bring?
published 2023 · The Journal of Portfolio Management · 1 citations
with Thomas R. Arnold, Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
Editor’s Introduction for 2023 Special Issue on Quantitative Tools for Asset Management
published 2023 · The Journal of Portfolio Management
The battle of the factors: Macroeconomic variables or investor sentiment?
published 2023 · Journal of Forecasting · 1 citations
with David A. Mascio, Marat Molyboga
Editor’s Introduction to the 2023 Special Issue on Performance Analysis
published 2023 · The Journal of Portfolio Management
Robustness in Portfolio Optimization
published 2023 · The Journal of Portfolio Management · 9 citations
with Jang Ho Kim, Woo Chang Kim, Yongjae Lee, Bong-Geun Choi
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One-and Two-Factor Hull-White Models
published 2023 · The Journal of Derivatives · 2 citations
with Vincenzo Russo
Practical Applications of Why Should Asset Management Be Interested in New Economic Thinking?
published 2023 · Practical Applications
with Sergio M. Focardi
Editor’s Introduction for the 2023 Special Issue on Investing in Non-US Financial Markets
published 2023 · The Journal of Portfolio Management
The gender wage gap and its effect on women’s entrepreneurship
published 2023 · Applied Economics · 6 citations
with Yosef Bonaparte, David Koslowsky, Madhavan Parthasarathy
Fat and Heavy Tails in Asset Management
published 2023 · The Journal of Portfolio Management · 7 citations
with Michele Leonardo Bianchi, Gian Luca Tassinari
A comparison of multi-factor term structure models for interbank rates
published 2023 · Review of Quantitative Finance and Accounting
with Francesco A. Fabozzi, Diana Tunaru
Extending the Merton model with applications to credit value adjustment
published 2023 · Annals of Operations Research · 5 citations
with Erdinç Akyıldırım, Alper Hekimoğlu, Ahmet Şensoy
Intensified Competition and The Impact on Credit Ratings in the RMBS market
published 2023 · Financial Markets Institutions and Instruments · 2 citations · first circulated 2022
with Vivian M. van Breemen, Dennis Vink, Vivian M. van
Editor’s Introduction for the 2023 Special Issue on Multi-Asset Strategies and Asset Allocation
published 2023 · The Journal of Portfolio Management · 2 citations
Practical Applications of Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles
published 2023 · Practical Applications
with Glenn M. Schultz
webinar summary Multi-Asset Strategies Webinar
published 2023 · The Journal of Portfolio Management
with Stefano Cavaglia, Stephen A. Gorman, Brian H. Jacobsen, Eugene Podkaminer
The Transition from Interbank Offered Rates to Risk-Free Rates: Evolution in Pricing Models for Interest Rate Derivatives
published 2023 · The Journal of Fixed Income · 1 citations
with Vincenzo Russo
Editor’s Introduction for 2023 Special Issue on Factor Investing
published 2022 · The Journal of Portfolio Management
A machine learning approach for comparing the largest firm effect
published 2022 · Emerging Markets Review
with Jang Ho Kim, Jiwoon Han, Taehyeon Kang
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation
published 2022 · The Journal of Derivatives · 5 citations · first circulated 2021
with Young Shin Kim, Hyangju Kim, Jaehyung Choi
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks
published 2022 · Quantitative Finance · 19 citations · first circulated 2020
Editors’ Introduction to the 2022 Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management
published 2022 · The Journal of Portfolio Management
with Ahmet K. Karagozoglu
Editor’s Introduction to the Special Issue on Investing in Private Markets
published 2022 · The Journal of Portfolio Management
Contributions of The Journal of Fixed Income to Fixed-Income Analytics
published 2022 · The Journal of Fixed Income · 1 citations
Why Should Asset Management Be Interested in New Economic Thinking?
published 2022 · The Journal of Portfolio Management · 1 citations
with Sergio M. Focardi
Overview of Investing in Private Corporate Debt
published 2022 · The Journal of Portfolio Management · 3 citations
A lifetime allocation with human capital: implications for target date fund
published 2022 · Journal of Asset Management · 1 citations
with Seokkeun Ha
webinar summary Private Equity: Risks and Opportunities
published 2022 · The Journal of Portfolio Management
with Mark J. P. Anson, Alexander Rudin, Andrew L. Weisman
Introduction to Investing In Emerging Markets Special Issue
published 2022 · The Journal of Portfolio Management · 1 citations
Those Who Learn from History Are Doomed to Repeat It
published 2022 · Journal of Behavioral Finance
with K. C. Chen, K. C., Ramesh P. Rao
The effects of errors in means, variances, and correlations on the mean-variance framework
published 2022 · Quantitative Finance · 14 citations
with Munki Chung, Yongjae Lee, Jang Ho Kim, Woo Chang Kim
The Interconnectedness between Green Finance Indexes and Other Important Financial Variables
published 2022 · The Journal of Portfolio Management · 4 citations
Editor’s Introduction to the Special Issue on Market Microstructure
published 2022 · The Journal of Portfolio Management
with Robert A. Schwartz
Servicer Influence on Mortgage Prepayments
published 2022 · The Journal of Fixed Income
with Glenn M. Schultz
A Practitioner Perspective on Trading and the Implementation of Investment Strategies
published 2022 · The Journal of Portfolio Management
with Joseph A. Cerniglia
PORTFOLIO VOLATILITY SPILLOVER
published 2022 · International Journal of Theoretical and Applied Finance · 2 citations
with Gueorgui S. Konstantinov
Editor’s Letter
published 2022 · The Journal of Derivatives
with Joseph M. Pimbley
Practical Applications of Derivatives Virtual Panel Discussion, March 2022
published 2022 · Practical Applications
with Sameer Kackar, Sébastien Page, Shekhar Karnik, Joe Pimbley
Emerging Markets Debt Securities: A Literature Review
published 2022 · The Journal of Portfolio Management · 4 citations
with Marielle de Jong
Alternative Risk Premium Fund Analysis
published 2022 · The Journal of Portfolio Management · 2 citations
with Stephen A. Gorman
A Primer on Hedging with Stock Index Futures
published 2022 · The Journal of Derivatives · 6 citations
with Francesco A. Fabozzi
Applications of FX Derivatives in Active Currency Risk Management
published 2022 · The Journal of Derivatives
with Suprita Vohra
Practical Applications of John Cochrane — Conversation with Frank Fabozzi
published 2022 · Practical Applications
The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive?
published 2022 · The Journal of Portfolio Management · 4 citations
with Stephen A. Gorman
How much do Investors Rely on Credit Ratings: Empirical evidence from the U.S. and E.U. CLO primary market
published 2022 · Journal of Financial Services Research · 6 citations
with Vivian M. van Breemen, Dennis Vink, Mike Nawas, Austin Gengos
Primer on Agency Mortgage-Backed Securities Specified Pools and Their Convexity Profiles
published 2022 · The Journal of Fixed Income · 2 citations
with Glenn M. Schultz
Editor’s Introduction for the 2022 Special Issue on Multi-Asset Strategies
published 2022 · The Journal of Portfolio Management
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
published 2022 · Journal of Economic Dynamics and Control · 10 citations · first circulated 2021
The economic theory of qualitative green growth
published 2022 · Structural Change and Economic Dynamics · 41 citations
with Sergio M. Focardi, Linda Ponta, Manon Rivoire, Davide Mazza
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios
published 2022 · The Journal of Portfolio Management · 4 citations
with Stephen A. Gorman
Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations
published 2022 · The Journal of Portfolio Management · 5 citations
with Seokkeun Ha
Understanding Oil Price Movement: Short versus Long Run Using the Leapfrog Model
published 2022 · The Journal of Alternative Investments
with Yosef Bonaparte, David Koslowsky
Practical Applications of Scott Wolle, Jay Raol, and Scott Hixon — Conversations with Frank Fabozzi
published 2022 · Practical Applications
Editor’s Introduction for 2022 Special Issue on Factor Investing
published 2021 · The Journal of Portfolio Management · 1 citations
Rise of the Machines: Application of Machine Learning to Mortgage Prepayment Modeling
published 2021 · The Journal of Fixed Income · 2 citations
with Glenn M. Schultz
Practical Applications of Mark Anson — Conversations with Frank Fabozzi
published 2021 · Practical Applications
Option pricing in an investment risk-return setting
published 2021 · Applied Economics · 1 citations · first circulated 2019
Practical Applications of Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for Cryptoassets
published 2021 · The Journal of Alternative Investments · 1 citations
with Yuan Hu, Lindquist W. Brent
Editors’ Introduction to the Special Issue on Novel Risks and Sources of Volatility: Identification and Measurement Challenges for Portfolio Management
published 2021 · The Journal of Portfolio Management · 2 citations
with Ahmet K. Karagozoglu
The ABC’s of the alternative risk premium: academic roots
published 2021 · Journal of Asset Management · 2 citations
with Stephen A. Gorman
Practical Applications of Joanne Hill – Conversation with Frank Fabozzi
published 2021 · Practical Applications
Investment Management Post Pandemic, Post Global Warming, Post Resource Depletion
published 2021 · The Journal of Portfolio Management · 4 citations
with Sergio M. Focardi, Zenu Sharma
INTRODUCTION: Resilient Real Estate
published 2021 · The Journal of Portfolio Management · 1 citations
with Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
Testing the Forecasting Ability of Multi-Factor Models on Non-US Interbank Rates
published 2021 · The Journal of Fixed Income
with Diana Tunaru, Francesco A. Fabozzi
Option Pricing with Greed and Fear Factor: The Rational Finance Approach
published 2021 · The Journal of Derivatives · 5 citations · first circulated 2017
The ABC’s of the ARP: understanding alternative risk premium
published 2021 · Journal of Asset Management · 1 citations
with Stephen A. Gorman
Finding Value Using Momentum
published 2021 · The Journal of Portfolio Management · 1 citations
with Bijon Pani
Editor’s Introduction to the Special Issue on Investing in Non-US Financial Markets
published 2021 · The Journal of Portfolio Management
Intertemporal defaulted bond recoveries prediction via machine learning
published 2021 · European Journal of Operational Research · 4 citations
Deep learning for modeling the collection rate for third-party buyers
published 2021 · International Journal of Forecasting · 10 citations
The Geometry of the World of Currency Volatilities
published 2021 · Computational Economics · 2 citations
with Gueorgui S. Konstantinov
Towards a dead end? EMU bond market exposure and manager performance
published 2021 · Journal of International Money and Finance · 7 citations
with Gueorgui S. Konstantinov
Analyzing Markets with a Large Public Company: The Case of South Korea
published 2021 · The Journal of Portfolio Management · 1 citations
with Jang Ho Kim, Taehyeon Kang, Jaeyong Yu
Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for Cryptoassets
published 2021 · The Journal of Alternative Investments · 4 citations
with Yuan Hu, W. Brent Lindquist
Editors’ Introduction to the Special Issue on Investment Models
published 2021 · The Journal of Portfolio Management · 3 citations
with Kees Koedijk
Sparse factor model based on trend filtering
published 2021 · Annals of Operations Research
with Jang Ho Kim, Woo Chang Kim
Risk Parity: The Democratization of Risk in Asset Allocation
published 2021 · The Journal of Portfolio Management · 24 citations
with Francesco A. Fabozzi, Joseph Simonian
The impact of corporate social responsibility on corporate financial performance and credit ratings in Japan
published 2021 · Journal of Asset Management · 22 citations
with Peck Wah Ng, Diana Tunaru
Editor’s Introduction for 2021 Special Issue on Multi-Asset Strategies
published 2021 · The Journal of Portfolio Management
Statistical arbitrage in jump-diffusion models with compound Poisson processes
published 2021 · Annals of Operations Research · 3 citations · first circulated 2019
with Erdinç Akyıldırım, Ahmet Göncü, Ahmet Şensoy
Mean–Variance Optimization for Asset Allocation
published 2021 · The Journal of Portfolio Management · 32 citations
with Jang Ho Kim, Yongjae Lee, Woo Chang Kim
From Ad Hoc Bond-Risk Measures to Variance–Covariance Forecasts
published 2021 · The Journal of Fixed Income · 2 citations
with Marielle de Jong
Editor’s Introduction for 2021 Special Issue on Factor Investing
published 2020 · The Journal of Portfolio Management · 2 citations
Option Pricing Incorporating Factor Dynamics in Complete Markets
published 2020 · Journal of risk and financial management · 12 citations
A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk?
published 2020 · The Journal of Economic Perspectives · 16 citations
Selecting Computational Models for Asset Management: Financial Econometrics versus Machine Learning—Is There a Conflict?
published 2020 · The Journal of Portfolio Management · 9 citations
with Joseph A. Cerniglia
Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States
published 2020 · International Journal of Finance & Economics · 2 citations
with Diana Tunaru
OPTION PRICING IN MARKETS WITH INFORMED TRADERS
published 2020 · International Journal of Theoretical and Applied Finance · 12 citations · first circulated 2017
Carry Strategies and the US Dollar Risk of US and Global Bonds
published 2020 · The Journal of Fixed Income · 2 citations
with Gueorgui S. Konstantinov
Multiple subordinated modeling of asset returns: Implications for option pricing
published 2020 · Econometric Reviews · 14 citations · first circulated 2019
Learning for infinitely divisible GARCH models in option pricing
published 2020 · Studies in Nonlinear Dynamics and Econometrics
with Fumin Zhu, Michele Leonardo Bianchi, Young Shin Kim, Hengyu Wu
INTRODUCTION: Quantitative Strategies: Multi-Asset
published 2020 · The Journal of Portfolio Management · 4 citations
Quantum Option Pricing and Quantum Finance
published 2020 · The Journal of Derivatives · 19 citations
with Sergio M. Focardi, Davide Mazza
Active loan trading
published 2020 · Journal of Financial Intermediation · 11 citations · first circulated 2018
with Sven Klingler, Pia Mølgaard, Mads Stenbo Nielsen, Pia MMlgaard
Cashing in on innovation: a taxonomy of FinTech
published 2020 · Journal of Asset Management · 117 citations
with Michael B. Imerman
Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling
published 2020 · The Journal of Derivatives · 4 citations
with Vincenzo Russo, Rosella Giacometti
Market timing using combined forecasts and machine learning
published 2020 · Journal of Forecasting · 22 citations
with David A. Mascio, J. Kenton Zumwalt
Practical Applications of Can Commodity Price Uncertainty Indexes Be Improved by Capturing Media Information? The Case of Oil Price Uncertainty
published 2020 · The Journal of Alternative Investments
with Yosef Bonaparte, David Koslowsky
Climate Change and Asset Management
published 2020 · The Journal of Portfolio Management · 19 citations
with Sergio M. Focardi
Introduction: Special Issue on Ethical Investing
published 2020 · The Journal of Portfolio Management · 1 citations
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
published 2020 · Annals of Finance · 11 citations
with Vincenzo Russo, Valentina Lagasio, Marina Brogi
Equity Premium Puzzle or Faulty Economic Modelling?
published 2020 · Review of Quantitative Finance and Accounting · 2 citations
Robust Solutions to the Life-Cycle Consumption Problem
published 2020 · Computational Economics
with Lorenzo Reus
Asset Pricing Theories
published 2020 · World Scientific Book Chapters
with Francesco A. Fabozzi
Introduction: Quantitative Strategies: Factor Investing
published 2019 · The Journal of Portfolio Management
Preparing for higher inflation: Portfolio solutions using U.S. equities
published 2019 · Review of Financial Economics · 7 citations
Crowdsourced Investment Research Through Tournaments
published 2019 · The Journal of Financial Data Science · 2 citations
with Marcos López de Prado
The Market Risk of Corporate Bonds
published 2019 · The Journal of Portfolio Management · 6 citations
with Marielle de Jong
A Complete Model for Pricing CoCo Bonds
published 2019 · The Journal of Fixed Income · 6 citations
with Krasimir Milanov, Ognyan Kounchev
The World’s Oldest Asset Class Enters the 21st Century: How Technology Is Transforming Real Estate Investment
published 2019 · The Journal of Portfolio Management · 7 citations
with Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
PRICING DERIVATIVES IN HERMITE MARKETS
published 2019 · International Journal of Theoretical and Applied Finance · 10 citations · first circulated 2016
Default Prediction of Commercial Real Estate Properties Using Machine Learning Techniques
published 2019 · The Journal of Portfolio Management · 16 citations
Birth order and portfolio choice
published 2019 · Applied Economics · 4 citations
with Yosef Bonaparte, David Koslowsky
Modeling local trends with regime shifting models with time-varying probabilities
published 2019 · International Review of Financial Analysis · 6 citations
with Sergio M. Focardi, Davide Mazza
Effectiveness of developed and emerging market FX options in active currency risk management
published 2019 · Journal of International Money and Finance · 9 citations
with Suprita Vohra
Editor’s Letter
published 2019 · The Journal of Financial Data Science
with Marcos López de Prado, Joseph Simonian
Evolution of Real Estate Derivatives and Their Pricing
published 2019 · The Journal of Derivatives · 5 citations
Triumph of the Empiricists: The Birth of Financial Data Science
published 2019 · The Journal of Financial Data Science · 11 citations
with Joseph Simonian
Editor’s Letter
published 2019 · The Journal of Financial Data Science
with Marcos López de Prado, Joseph Simonian
Detecting Bubbles in the US and UK Real Estate Markets
published 2019 · The Journal of Real Estate Finance and Economics · 30 citations
Sentiment indices and their forecasting ability
published 2019 · Journal of Forecasting · 8 citations
with David A. Mascio
Extreme Value Theory
published 2019 · World Scientific Book Chapters
with Michele Leonardo Bianchi, Stoyan V. Stoyanov, Gian Luca Tassinari, Sergio M. Focardi
The Three-Factor Hedging Strategy for Mortgage Pass-Through Securities: Empirical Evidence
published 2018 · The Journal of Fixed Income
with Emory E. Ruscus, Glenn M. Schultz
Being Honest in Backtest Reporting: A Template for Disclosing Multiple Tests
published 2018 · The Journal of Portfolio Management · 24 citations
with Marcos López de Prado
INVITED EDITORIAL COMMENT: Order from Chaos: How Data Science Is Revolutionizing Investment Practice
published 2018 · The Journal of Portfolio Management · 11 citations
with Joseph Simonian, Marcos López de Prado
Market implied volatilities for defaultable bonds
published 2018 · Annals of Operations Research · 3 citations
with Vincenzo Russo, Rosella Giacometti
Editors’ Introduction: The Legacy of Stephen A. Ross
published 2018 · The Journal of Portfolio Management
with Bruce I. Jacobs, Kenneth N. Levy
Stephen A. Ross: Excellence Beyond Recognition
published 2018 · The Journal of Portfolio Management
with Ludwig B. Chincarini
Bond Portfolio Optimization in the Presence of Duration Constraints
published 2018 · The Journal of Fixed Income · 5 citations
with Romain Deguest, Lionel Martellini, Vincent Milhau
Improving corporate bond recovery rate prediction using multi-factor support vector regressions
published 2018 · European Journal of Operational Research · 54 citations
Enhancing binomial and trinomial equity option pricing models
published 2018 · Finance research letters · 16 citations · first circulated 2017
Does the corporate bond market overvalue bonds of sin companies?
published 2018 · Finance research letters · 15 citations
with Asjeet S. Lamba, Takeshi Nishikawa, Ramesh P. Rao, Kai Ma
The Timeline Estimation of Bubbles: The Case of Real Estate
published 2018 · Real Estate Economics · 35 citations
with Keli Xiao
Diversification versus optimality: is there really a diversification puzzle?
published 2018 · Applied Economics · 23 citations
with Sergio Ortobelli Lozza, Wing-Keung Wong, Martín Egozcue
Local volatility and the recovery rate of credit default swaps
published 2018 · Journal of Economic Dynamics and Control · 4 citations
with Jeroen Jansen, Sanjiv Ranjan Das
Quanto Option Pricing with Lévy Models
published 2018 · Computational Economics · 12 citations
Academic, Practitioner, and Investor Perspectives on Factor Investing
published 2018 · The Journal of Portfolio Management · 8 citations
with Joseph A. Cerniglia
An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey
published 2018 · Applied Economics · 3 citations
with Yongjae Lee, Do-Gyun Kwon, Woo Chang Kim
Macroeconomic variable selection for creditor recovery rates
published 2018 · Journal of Banking & Finance · 65 citations
The Impact of Market Conditions on Bond Fund Managers
published 2017 · The Journal of Fixed Income · 6 citations
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET
published 2017 · International Journal of Theoretical and Applied Finance · 9 citations · first circulated 2016
Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies
published 2017 · Finance research letters · 3 citations
with Jinal Patel, Vincenzo Russo
Sin Stocks Revisited: Resolving the Sin Stock Anomaly
published 2017 · The Journal of Portfolio Management · 120 citations
with David Blitz
INVITED EDITORIAL COMMENT
published 2017 · The Journal of Portfolio Management · 7 citations
with Marcos López de Prado
Commercial Real Estate Derivatives: The End or the Beginning?
published 2017 · The Journal of Portfolio Management · 5 citations
Pricing Coupon Bond Options and Swaptions under theTwo-Factor Hull-White Model
published 2017 · The Journal of Fixed Income · 7 citations
with Vincenzo Russo
The Expansion of Real Estate
published 2017 · The Journal of Portfolio Management · 1 citations
with Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
Predictability dynamics of emerging sovereign CDS markets
published 2017 · Economics Letters · 15 citations
with Ahmet Şensoy, Veysel Eraslan
A flexible approach to estimate the equity premium
published 2017 · Applied Economics · 1 citations
with Yosef Bonaparte
Quantile-Based Inference for Tempered Stable Distributions
published 2017 · Computational Economics · 15 citations · first circulated 2015
Explosive rents: The real estate market dynamics in exuberance
published 2017 · The Quarterly Review of Economics and Finance · 11 citations
with Keli Xiao
An improved least squares Monte Carlo valuation method based on heteroscedasticity
published 2017 · European Journal of Operational Research · 29 citations
Calibrating Short Interest Rate Models in Negative Rate Environments
published 2017 · The Journal of Derivatives · 5 citations
with Vincenzo Russo
Fuzzy decision fusion approach for loss-given-default modeling
published 2017 · European Journal of Operational Research · 49 citations
Robust Factor-Based Investing
published 2017 · The Journal of Portfolio Management · 23 citations
with Jang Ho Kim, Woo Chang Kim
CDS Implied Credit Ratings
published 2017 · The Journal of Fixed Income · 9 citations
with Jeroen Jansen
How fat are the tails of equity market indices?
published 2017 · International Journal of Finance & Economics · 9 citations
with Stoyan V. Stoyanov, Lixia Loh
Volatility Wisdom of Social Media Crowds
published 2017 · The Journal of Portfolio Management · 12 citations
with Ahmet K. Karagozoglu
Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence
published 2016 · Journal of Asset Management · 53 citations
Intensity-based framework for surrender modeling in life insurance
published 2016 · Insurance Mathematics and Economics · 21 citations
with Vincenzo Russo, Rosella Giacometti
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction
published 2016 · International Review of Financial Analysis · 131 citations
with Andrew Sun, Michael Lachanski
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios
published 2016 · Applied Economics Letters · 6 citations
with Yosef Bonaparte
Penalizing variances for higher dependency on factors
published 2016 · Quantitative Finance · 2 citations
with Jang Ho Kim, Woo Chang Kim
Practical Applications of Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management
published 2016 · Practical Applications
with Robert F. Engle, Sergio M. Focardi
Exploring rating shopping for european triple a senior structured finance securities
published 2016 · Finance research letters · 9 citations
with Mike Nawas, Dennis Vink
On the Estimation of the SABR Model’s Beta Parameter: The Role of Hedging in Determining the Beta Parameter
published 2016 · The Journal of Derivatives · 11 citations
with Mengfei Zhang
Skillful hiding: evaluating hedge fund managers’ performance based on what they hide
published 2016 · Applied Economics · 1 citations
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
published 2016 · Computational Economics · 47 citations · first circulated 2014
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion
published 2016 · Economics Letters · 20 citations
Portfolio selection with conservative short-selling
published 2016 · Finance research letters · 15 citations
with Jang Ho Kim, Woo Chang Kim
Best Practices in Research for Quantitative Equity Strategies
published 2016 · The Journal of Portfolio Management · 5 citations
with Joseph A. Cerniglia, Petter N. Kolm
Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management
published 2016 · The Journal of Portfolio Management · 4 citations
with Robert F. Engle, Sergio M. Focardi
EDITORIAL COMMENTS
published 2016 · The Journal of Portfolio Management · 7 citations
with Sergio M. Focardi
Effects of Spot Market Short-Sale Constraints on Index Futures Trading
published 2016 · European Finance Review · 8 citations
with Ahmet K. Karagozoglu, Na Wang
RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
published 2016 · International Journal of Theoretical and Applied Finance · 26 citations
with Michele Leonardo Bianchi, Gian Luca Tassinari
An improved method for pricing and hedging long dated American options
published 2016 · European Journal of Operational Research · 11 citations · first circulated 2014
On stability of operational risk estimates by LDA: From causes to approaches
published 2016 · Journal of Banking & Finance · 11 citations · first circulated 2014
with Xiaoping Zhou, Antonina Durfee
Pricing Coupon Bond Options and Swaptions under the One-Factor Hull–White Model
published 2016 · The Journal of Fixed Income · 8 citations
with Vincenzo Russo
Equity style allocation: A nonparametric approach
published 2016 · Journal of Asset Management · 1 citations
with Mohan Subbiah
Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques
published 2016 · International Review of Financial Analysis · 3 citations
with Mohan Subbiah
Factor decomposition of the Eurozone sovereign CDS spreads
published 2016 · Journal of International Money and Finance · 43 citations · first circulated 2015
with Rosella Giacometti, Naoshi Tsuchida
Elliptical tempered stable distribution
published 2016 · Quantitative Finance · 11 citations
with H. Fallahgoul, Young Shin Kim
Practical Applications of Economics: An Empirical Science Capable of Forecasting Economic Events?
published 2016 · Practical Applications
with Sergio M. Focardi
A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling
published 2015 · The Journal of Fixed Income · 6 citations
with Vincenzo Russo
IN SEARCH OF CASH‐FLOW PRICING
published 2015 · The Journal of Financial Research · 1 citations
with K. C. Chen, K. C., Jessica West
Stochastic Alpha-Beta-Rho Hedging for Foreign Exchange Options: Is It Worth the Effort?
published 2015 · The Journal of Derivatives · 5 citations
with Yifan Yang, Michele Leonardo Bianchi
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
published 2015 · Journal of Banking & Finance · 28 citations
with Sergio M. Focardi, Ivan Mitov
The Post-Crisis CMBS Market: Will Regulations Prevent Another Market Meltdown?
published 2015 · The Journal of Portfolio Management · 7 citations
with J. Michael McBride, Manus Clancy, Joe R. McBride
New Horizons and Familiar Landscapes: New Capital Sources Confront Shifting Real Estate Fundamentals
published 2015 · The Journal of Portfolio Management · 6 citations
with Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
Economics: An Empirical Science Capable of Forecasting Economic Events?
published 2015 · The Journal of Portfolio Management · 2 citations
with Sergio M. Focardi
Practical Applications of Investing in China’s High-Yield Debt Markets: A Proposed Credit Analysis Framework
published 2015 · Practical Applications
with Jie Liu
Practical Applications of Recent Trends in Equity Portfolio Construction Analytics
published 2015 · Practical Applications
with Dessislava A. Pachamanova
Multiperiod conditional valuation of barrier options with incomplete information
published 2015 · Quantitative Finance
Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations
published 2015 · Applied Economics · 15 citations
with Jimmie Goode, Young Shin Kim
Practical Applications of Can We Predict Stock Market Crashes?
published 2015 · Practical Applications
with Sergio M. Focardi
A Three-Factor Model for Mortality Modeling
published 2015 · North American Actuarial Journal · 3 citations
Tempered stable Ornstein– Uhlenbeck processes: A practical view
published 2015 · Communications in Statistics - Simulation and Computation · 25 citations · first circulated 2013
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
published 2015 · Journal of Financial Engineering · 3 citations
with Yifan Yang, Michele Leonardo Bianchi
Focusing on the worst state for robust investing
published 2015 · International Review of Financial Analysis · 17 citations
with Woo Chang Kim, Jang Ho Kim, John M. Mulvey
Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition
published 2015 · MIT Press Books · 14 citations
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Investing in China’s High-Yield Debt Markets: A Proposed Credit Analysis Framework
published 2014 · The Journal of Portfolio Management
with Jie Liu
Practical Applications of Commercial Real Estate Risk Management with Derivatives
published 2014 · Practical Applications
Can We Predict Stock Market Crashes?
published 2014 · The Journal of Portfolio Management · 11 citations
with Sergio M. Focardi
Portfolio selection in the presence of systemic risk
published 2014 · Journal of Asset Management · 24 citations
with Almira Biglova, Sergio Ortobelli
Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads
published 2014 · Computational Economics · 13 citations
with Michele Leonardo Bianchi
Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns
published 2014 · The Journal of Fixed Income · 3 citations
with Naoshi Tsuchida, Rosella Giacometti, Young Shin Kim, Robert J. Frey
Discussion of ‘on simulation and properties of the stable law’ by Devroye and James
published 2014 · Statistical Methods & Applications · 1 citations
with Michele Leonardo Bianchi
Smooth monotone covariance for elliptical distributions and applications in finance
published 2014 · Quantitative Finance · 4 citations
Deciphering robust portfolios
published 2014 · Journal of Banking & Finance · 34 citations
with Woo Chang Kim, Jang Ho Kim
Recent Trends in Equity PortfolioConstruction Analytics
published 2014 · The Journal of Portfolio Management · 17 citations
with Dessislava A. Pachamanova
Practical Applications of Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets
published 2014 · Practical Applications
with Turan G. Bali, Nusret Cakici
The information content of three credit ratings: the case of European residential mortgage-backed securities
published 2013 · European Journal of Finance · 21 citations
with Dennis Vink
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
published 2013 · Economics Letters · 43 citations
with Woo Chang Kim, Patrick Cheridito, Charles Fox
60 Years of portfolio optimization: Practical challenges and current trends
published 2013 · European Journal of Operational Research · 639 citations
with Petter N. Kolm, Reha Tütüncü
Option pricing under stochastic volatility and tempered stable Lévy jumps
published 2013 · International Review of Financial Analysis · 25 citations
with Tsvetelin Zaevski, Young Shin Kim
Financial Advice and Investment Decisions: A Manifesto for Change
published 2013 · Medical Entomology and Zoology · 9 citations
with Jarrod W. Wilcox
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Preface to the Special Issue: 60 years following Harry Markowitz’s contributions in portfolio theory and operations research
published 2013 · European Journal of Operational Research · 29 citations
with Constantin Zopounidis, Michael Doumpos
Extracting market information from equity options with exponential Lévy processes
published 2013 · Journal of Economic Dynamics and Control · 10 citations
Commercial Real Estate Risk Management with Derivatives
published 2013 · The Journal of Portfolio Management · 13 citations
Portfolio Strategy and Structure Take Center Stage: “How, What, Where, and When?” Replace “Why?”
published 2013 · The Journal of Portfolio Management · 3 citations
with Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour
Market overreaction and underreaction: tests of the directional and magnitude effects
published 2013 · Applied Financial Economics · 35 citations
with Chun-Yip Fung, Kin Lam, Wing-Keung Wong
The new issues puzzle: evidence from non-US firms
published 2013 · Applied Economics Letters · 2 citations
with Turan G. Bali, Nusret Cakici
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS
published 2013 · International Journal of Theoretical and Applied Finance · 21 citations · first circulated 2008
Option pricing with time-changed Lévy processes
published 2013 · Applied Financial Economics · 14 citations
FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST?
published 2013 · International Journal of Theoretical and Applied Finance
with Sergio M. Focardi
Analytical-Numeric Formulas for the Probability Density Function of Multivariate Stable and Geo-Stable Distributions
published 2013 · Journal of Statistical Theory and Practice · 4 citations
with H. Fallahgoul, S. M. Hashemiparast, Lev B. Klebanov
Size, value, and momentum in emerging market stock returns
published 2013 · Emerging Markets Review · 281 citations · first circulated 2012
with Nusret Cakici, Sinan Tan
Robust portfolios that do not tilt factor exposure
published 2013 · European Journal of Operational Research · 23 citations
with Woo Chang Kim, Min Jeong Kim, Jang Ho Kim
Bayesian estimation of truncated data with applications to operational risk measurement
published 2013 · Quantitative Finance · 3 citations
with Xiaoping Zhou, Rosella Giacometti, Ann H. Tucker
Composition of robust equity portfolios
published 2013 · Finance research letters · 25 citations
with Jang Ho Kim, Woo Chang Kim
Book-to-Market and the Cross-Section ofExpected Returns in International Stock Markets
published 2013 · The Journal of Portfolio Management · 44 citations
with Turan G. Bali, Nusret Cakici
Computational aspects of portfolio risk estimation in volatile markets: a survey
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 2 citations · first circulated 2010
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 15 citations
A Binomial-Tree Model for Convertible Bond Pricing
published 2012 · The Journal of Fixed Income · 8 citations
The role of jump dynamics in the risk–return relationship
published 2012 · International Review of Financial Analysis · 8 citations
with Bala Arshanapalli, William Nelson
CVaR sensitivity with respect to tail thickness
published 2012 · Journal of Banking & Finance · 25 citations · first circulated 2011
What do robust equity portfolio models really do?
published 2012 · Annals of Operations Research · 36 citations
with Woo Chang Kim, Jang Ho Kim, So Hyoung Ahn
Optimal corporate strategy under uncertainty
published 2012 · Applied Economics · 8 citations
with Andrew H. Chen, Dashan Huang
Portfolio revision under mean-variance and mean-CVaR with transaction costs
published 2012 · Review of Quantitative Finance and Accounting · 21 citations
with Andrew H. Chen, Dashan Huang
What’s Wrong with Today’s Economics? The Current Crisis Calls for an Approach to Economics Rooted More on Data Than on Rationality
published 2012 · The Journal of Portfolio Management · 8 citations
with Sergio M. Focardi
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
published 2012 · Annals of Operations Research · 47 citations
Approximation of skewed and leptokurtic return distributions
published 2012 · Applied Financial Economics · 27 citations
Higher-Order Durations with Respect to Inflation and Real Rates and Their Portfolio Management Applications
published 2012 · The Journal of Fixed Income · 2 citations
with Yuewu Xu
METRIZATION OF STOCHASTIC DOMINANCE RULES
published 2012 · International Journal of Theoretical and Applied Finance · 11 citations
Determinants of Primary Market Spreads on U.K. Residential Mortgage-Backed Securities and the Implications for Investor Reliance on Credit Ratings
published 2011 · The Journal of Fixed Income · 14 citations
with Dennis Vink
A Pricing Framework for Real Estate Derivatives
published 2011 · European Financial Management · 39 citations
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
published 2011 · Insurance Mathematics and Economics · 55 citations
The Changing Face of Real Estate InvestmentManagement
published 2011 · The Journal of Portfolio Management · 7 citations
with Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Susan Hudson-Wilson, William C. Hughes, Youguo Liang, Greg MacKinnon, Asieh Mansour
The Changing Face of Real Estate Investment Management
published 2011 · The Journal of Portfolio Management · 2 citations
with Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Susan Hudson-Wilson, William Hughes, Youguo Liang, Greg MacKinnon, Asieh Mansour
A new method for generating approximation algorithms for financial mathematics applications
published 2011 · Quantitative Finance
Option pricing and hedging under a stochastic volatility Lévy process model
published 2011 · Review of Derivatives Research · 16 citations
Analysis of the intraday effects of economic releases on the currency market
published 2011 · Journal of International Money and Finance · 21 citations · first circulated 2010
COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”
published 2011 · Econometric Theory · 2 citations
Calibrating affine stochastic mortality models using term assurance premiums
published 2011 · Insurance Mathematics and Economics · 38 citations
Fat-Tailed Models for Risk Estimation
published 2011 · The Journal of Portfolio Management · 58 citations
Is food consumption a good proxy for nondurable consumption?
published 2011 · Economics Letters
with Yosef Bonaparte
Tempered Infinitely Divisible Distributions and Processes
published 2011 · Theory of Probability and Its Applications · 61 citations · first circulated 2010
Time series analysis for financial market meltdowns
published 2010 · Journal of Banking & Finance · 92 citations
Savings selectivity bias, subjective expectations and stock market participation
published 2010 · Applied Financial Economics · 2 citations · first circulated 2009
with Yosef Bonaparte
Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset‐Backed Securities
published 2010 · European Financial Management · 41 citations
with Dennis Vink
Corporate Credit Default Swap Liquidity and Its Implicationsfor Corporate Bond Spreads
published 2010 · The Journal of Fixed Income · 70 citations
with Ren-Raw Chen, Ronald Sverdlove
Approximation of aggregate and extremal losses within the very heavy tails framework
published 2010 · Quantitative Finance · 3 citations
Editorial Comment
published 2010 · The Journal of Portfolio Management · 8 citations
with Sergio M. Focardi
Household search choice: theory and evidence
published 2010 · Applied Economics · 1 citations
with Yosef Bonaparte
Tests of the performance of structural models in bankruptcy prediction
published 2010 · The Journal of Credit Risk · 8 citations
with Ren-Raw Chen, Shing-yang Hu, Ging-Ging Pan
The Reasonable Effectiveness of Mathematics in Economics
published 2010 · The American Economist · 6 citations
with Sergio M. Focardi
Balancing energy strategies in electricity portfolio management
published 2010 · Energy Economics · 62 citations
A risk-based evaluation of the free-trader option
published 2010 · Quantitative Finance
with Ren-Raw Chen
Tempered stable and tempered infinitely divisible GARCH models
published 2010 · Journal of Banking & Finance · 105 citations
Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model
published 2010 · Studies in Nonlinear Dynamics and Econometrics · 18 citations
with Dashan Huang, Baimin Yu, Zudi Lu, Sergio M. Focardi, Masao Fukushima
A Profit Model for Spread Trading with an Application to Energy Futures
published 2009 · The Journal of Trading · 24 citations
Property Derivatives for Managing European Real‐Estate Risk
published 2009 · European Financial Management · 58 citations
BARRIER OPTION PRICING BY BRANCHING PROCESSES
published 2009 · International Journal of Theoretical and Applied Finance · 18 citations
Stochastic programming and stable distributions in asset-liability management
published 2009 · The Journal of Risk · 6 citations
A Discretionary Wealth Approach for Investment Policy
published 2009 · The Journal of Portfolio Management · 21 citations
with Jarrod W. Wilcox
Hedging Real Estate Risk
published 2009 · The Journal of Portfolio Management · 35 citations
Real Estate’s Evolution as an Asset Class
published 2009 · The Journal of Portfolio Management · 13 citations
with Jim Clayton, S. Michael Giliberto, Jacques N. Gordon, Susan Hudson-Wilson, Youguo Liang
Monetary Policy and Interest Rate Factors
published 2009 · The Journal of Fixed Income · 5 citations
with Gerald W. Buetow, Brian J. Henderson
Risk management and dynamic portfolio selection with stable Paretian distributions
published 2009 · Journal of Empirical Finance · 23 citations
Portfolio selection under distributional uncertainty: A relative robust CVaR approach
published 2009 · European Journal of Operational Research · 122 citations
with Dashan Huang, Shushang Zhu, Masao Fukushima
Multi-tail generalized elliptical distributions for asset returns
published 2009 · Econometrics Journal · 23 citations
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
published 2009 · Applied Financial Economics · 3 citations
MCMC-based estimation of Markov Switching ARMA–GARCH models
published 2009 · Applied Economics · 70 citations
Estimating risk-neutral density with parametric models in interest rate markets
published 2009 · Quantitative Finance · 19 citations
Construction of probability metrics on classes of investors
published 2009 · Economics Letters · 2 citations
CAViaR-based forecast for oil price risk
published 2009 · Energy Economics · 49 citations
with Dashan Huang, Baimin Yu, Masao Fukushima
Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies
published 2008 · The Journal of Alternative Investments · 15 citations
with Jinlin Liu, Lorne N. Switzer
An empirical analysis of the CDX index and its tranches
published 2008 · Applied Economics Letters · 2 citations
with Yichen Wang, Shih-Kuo Yeh, Ren-Raw Chen
Stochastic models for risk estimation in volatile markets: a survey
published 2008 · Annals of Operations Research · 37 citations
Sin Stock Returns
published 2008 · The Journal of Portfolio Management · 252 citations
with Kai Ma, Becky J. Oliphant
Covered Bonds: A New Source of U.S. Mortgage Loan Funding?
published 2008 · The journal of structured finance · 10 citations
with Douglas J. Lucas, Laurie S. Goodman, Andrea Montanari, Armin Peter
The Interaction of MBS Markets and Primary Mortgage Rates
published 2008 · The journal of structured finance · 6 citations
with Anand K. Bhattacharya, William S. Berliner
A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions
published 2008 · European Financial Management · 12 citations
Orderings and Probability Functionals Consistent with Preferences
published 2008 · Applied Mathematical Finance · 20 citations
OR PRACTICE—Assisting Defined-Benefit Pension Plans
published 2008 · Operations Research · 41 citations
with John M. Mulvey, Koray D. Simsek, Zhuojuan Zhang, William R. Pauling
On the challenges in quantitative equity management
published 2008 · Quantitative Finance · 25 citations
with Sergio M. Focardi, Caroline Jonas
Empirical Evidence on CDO Performance
published 2008 · The Journal of Fixed Income · 15 citations
with Daniel A. Newman, Douglas J. Lucas, Laurie S. Goodman
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
published 2008 · Journal of Empirical Finance · 21 citations
Black swans and white eagles: on mathematics and finance
published 2008 · Mathematical Methods of Operations Research · 7 citations
with Sergio M. Focardi
Introduction to special issue: studies in mathematical and empirical finance
published 2008 · Mathematical Methods of Operations Research
How to Save the Rating Agencies
published 2008 · The journal of structured finance · 4 citations
with Douglas J. Lucas, Laurie S. Goodman
Subprime Mortgage Credit Derivatives
published 2008 · Medical Entomology and Zoology · 34 citations
with Laurie S. Goodman, Shumin Li, Douglas J. Lucas, Thomas A. Zimmerman
Probability Metrics with Applications in Finance
published 2008 · Journal of Statistical Theory and Practice · 8 citations
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
published 2008 · Studies in Nonlinear Dynamics and Econometrics · 49 citations
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
published 2008 · Empirical Economics · 49 citations
An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors
published 2008 · Journal of Financial and Quantitative Analysis · 71 citations
with Ren-Raw Chen, Xiaolin Cheng, Bo Liu
Optimal mortgage refinancing: application of bond valuation tools to household risk management
published 2008 · Applied Financial Economics Letters · 10 citations
with Andrew Kalotay, Deane Yang
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
published 2008 · International Journal of Theoretical and Applied Finance · 114 citations
Event of Default Provisions and the Valuation of ABS CDO Tranches
published 2007 · The Journal of Fixed Income · 2 citations
with Laurie S. Goodman, Daniel A. Newman, Douglas J. Lucas
Financial market models with Lévy processes and time-varying volatility
published 2007 · Journal of Banking & Finance · 97 citations
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
published 2007 · International Journal of Theoretical and Applied Finance · 1 citations
Optimal Financial Portfolios
published 2007 · Applied Mathematical Finance · 6 citations
A Primer on Constant Proportion Debt Obligations
published 2007 · The journal of structured finance · 8 citations
with Douglas J. Lucas, Laurie S. Goodman
Real Estate Comes of Age
published 2007 · The Journal of Portfolio Management · 14 citations
with Jim Clayton, Jacques N. Gordon, S. Michael Giliberto, Youguo Liang, Susan Hudson-Wilson
Commercial Real Estate CDOs
published 2007 · The Journal of Portfolio Management · 2 citations
with Douglas J. Lucas, Laurie S. Goodman, Rebecca J. Manning
Stable distributions in the Black–Litterman approach to asset allocation
published 2007 · Quantitative Finance · 63 citations
Relative deviation metrics and the problem of strategy replication
published 2007 · Journal of Banking & Finance · 20 citations
Financial Innovations and the Shaping of Capital Markets
published 2007 · The Journal of Alternative Investments · 3 citations
with Laurie S. Goodman, Douglas J. Lucas
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
published 2007 · Annals of Finance · 35 citations
Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis
published 2007 · Medical Entomology and Zoology · 209 citations
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Portfolio selection with uncertain exit time: A robust CVaR approach
published 2007 · Journal of Economic Dynamics and Control · 82 citations
with Dashan Huang, Shushang Zhu, Masao Fukushima
Sector, Style, Region: Explaining Stock Allocation Performance
published 2007 · Financial Analysts Journal · 66 citations
with Raman Vardharaj
Refunding efficiency: a generalized approach
published 2007 · Applied Financial Economics Letters · 28 citations
with Andrew Kalotay, Deane Yang
How do conflicting theories about financial markets coexist?
published 2007 · Journal of Post Keynesian Economics · 1 citations · first circulated 2006
with Wesley Phoa, Sergio M. Focardi
Robust Portfolio Optimization
published 2007 · The Journal of Portfolio Management · 167 citations
with Petter N. Kolm, Dessislava A. Pachamanova, Sergio M. Focardi
Trends in quantitative equity management: survey results
published 2007 · Quantitative Finance · 45 citations
with Sergio M. Focardi, Caroline Jonas
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns
published 2007 · Journal of Economics and Business · 47 citations
Momentum strategies based on reward–risk stock selection criteria
published 2007 · Journal of Banking & Finance · 126 citations
Credit-Linked Notes
published 2007 · The journal of structured finance · 8 citations
with Henry A. Davis, Moorad Choudhry
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
published 2007 · Annals of economics and finance · 7 citations
no link
Robust Portfolio Optimization and Management
published 2007 · Medical Entomology and Zoology · 409 citations
Sources of Credit Risk
published 2006 · The Journal of Fixed Income · 20 citations
with Ren-Raw Chen, Ging-Ging Pan, Ronald Sverdlove
Exploring the components of credit risk in credit default swaps
published 2006 · Finance research letters · 68 citations
with Xiaolin Cheng, Ren-Raw Chen
Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers’ Characteristics on Incentives Satisfaction and Size of Returns
published 2006 · European Journal of Finance · 3 citations
Hybrid Assets in an ABS CDO
published 2006 · The journal of structured finance
with Douglas J. Lucas, Laurie S. Goodman
An empirical examination of the return distribution characteristics of agency mortgage pass-through securities
published 2006 · Applied Financial Economics · 2 citations
with Borjana Racheva-Iotova, Stoyan V. Stoyanov
Incorporating the Dynamic Link Between Mortgage and Treasury Markets in Pricing and Hedging MBS
published 2006 · The Journal of Fixed Income · 5 citations
with Anand K. Bhattacharya, Aryasomayajula Sekhar
A Framework for Evaluating Trades in the Credit Derivatives Market
published 2006 · The Journal of Trading · 1 citations
with Douglas J. Lucas, Laurie S. Goodman
A Simple Framework for Time Diversification
published 2006 · The Journal of Investing · 12 citations
with Sergio M. Focardi, Petter N. Kolm
The value, size, and momentum spread during distressed economic periods
published 2006 · Finance research letters · 20 citations
with Bala Arshanapalli, William Nelson
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
published 2006 · European Journal of Operational Research · 6 citations
with Dashan Huang, Yoshitaka Kai, Masao Fukushima
Chinese equity market and the efficient frontier
published 2006 · Applied Financial Economics Letters · 9 citations
Macroeconomic news effects on conditional volatilities in the bond and stock markets
published 2006 · Applied Financial Economics · 29 citations
with Bala Arshanapalli, Edmond L. d’Ouville, Lorne N. Switzer
On risk management problems related to a coherence property
published 2006 · Quantitative Finance · 7 citations
The proper use of the risk measures in the Portfolio Theory
published 2005 · International Journal of Theoretical and Applied Finance · 72 citations
CMBS Total Return Swaps
published 2005 · The Journal of Portfolio Management · 11 citations
with Laurie S. Goodman
Implementable Quantitative Research
published 2005 · The Journal of Alternative Investments · 7 citations
with Sergio M. Focardi, K. Christopher
Privately Traded Real Estate Equity
published 2005 · The Journal of Portfolio Management · 6 citations
with Mark J. P. Anson, Susan Hudson-Wilson
Use of Interest Rate Derivatives in Securitization Transactions
published 2005 · The journal of structured finance · 4 citations
with Raymond M. Morel, Brian Grow
Predictability in the Shape of the Term Structure of Interest Rates
published 2005 · The Journal of Fixed Income · 91 citations
with Lionel Martellini, Philippe Priaulet
An autoregressive conditional duration model of credit‐risk contagion
published 2005 · The Journal of Risk Finance · 17 citations
with Sergio M. Focardi
The Structured Finance Market: An Investor's Perspective
published 2005 · Financial Analysts Journal · 23 citations
Modernizing the Defined-Benefit Pension System
published 2005 · The Journal of Portfolio Management · 18 citations
with John M. Mulvey, William R. Pauling, Koray D. Simsek, Zhuojuan Zhang
AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
published 2004 · International Journal of Theoretical and Applied Finance · 73 citations
with Andrew Kalotay, Deane Yang
Short Selling: Strategies, Risks, and Rewards
published 2004 · Medical Entomology and Zoology · 38 citations
no link
A percolation approach to modeling credit loss distribution under contagion
published 2004 · The Journal of Risk · 14 citations
with Sergio M. Focardi
Default Rates on Structured Finance Securities
published 2004 · The Journal of Fixed Income · 6 citations
with Douglas J. Lucas, Laurie S. Goodman
A methodology for index tracking based on time-series clustering
published 2004 · Quantitative Finance · 70 citations
with Sergio M. Focardi
Trends in Quantitative Asset Management in Europe
published 2004 · The Journal of Portfolio Management · 5 citations
with Sergio M. Focardi, Caroline Jonas
Analytical Challenges in Secondary-Market CDO Trading
published 2004 · The journal of structured finance
with Douglas J. Lucas, Laurie S. Goodman
Determinants of Tracking Error for Equity Portfolios
published 2004 · The Journal of Investing · 50 citations
with Raman Vardharaj, Frank J. Jones
The Mathematics of Financial Modeling and Investment Management
published 2004 · Medical Entomology and Zoology · 106 citations
with Sergio M. Focardi
no link
New Kids on the Block
published 2004 · The Journal of Portfolio Management · 4 citations
with Sergio M. Focardi, Petter N. Kolm
Credit Derivatives: Instruments, Applications, and Pricing
published 2004 · Medical Entomology and Zoology · 44 citations
with Mark J. P. Anson, Moorad Choudhry
no link
Modeling Volatility for the Chinese Equity Markets
published 2004 · Annals of economics and finance · 26 citations
no link
Managing a Portfolio of Collateralized Debt Obligations
published 2003 · The Journal of Investing · 1 citations
with Laurie S. Goodman
Originating Collateralized Debt Obligations for Balance Sheet Management
published 2003 · The journal of structured finance · 13 citations
with Moorad Choudhry
A Note on Common Interest Rate Risk Measures
published 2003 · The Journal of Fixed Income · 3 citations
with Gerald W. Buetow, Bernd Hanke
A Primer on Securitization
published 2003 · The journal of structured finance · 39 citations
with W. Alexander Roever
Fat Tails, Scaling, and Stable Laws: A Critical Look at Modeling Extremal Events in Financial Phenomena
published 2003 · The Journal of Risk Finance · 18 citations
with Sergio M. Focardi
Why Real Estate?
published 2003 · The Journal of Portfolio Management · 60 citations
with Susan Hudson-Wilson, Jacques N. Gordon, Mark J. P. Anson, S. Michael Giliberto
The Impact of Structuring on CMBS Class Performance
published 2003 · The Journal of Portfolio Management · 9 citations
with David P. Jacob
The Legacy of Modern Portfolio Theory
published 2002 · The Journal of Investing · 303 citations
with Francis Gupta, Harry M. Markowitz
Rethinking Pension Liabilities and Asset Allocation
published 2002 · The Journal of Portfolio Management · 37 citations
with Ronald J. Ryan
Impact of Different Interest Rate Models on Bond Value Measures
published 2001 · The Journal of Fixed Income · 19 citations
with Gerald W. Buetow, Bernd Hanke
Trends in Commercial Mortgage-Backed Securities
published 2001 · Medical Entomology and Zoology · 3 citations
with Robert Paul Molay
no link
Equity Manager Selection and Performance
published 2000 · Review of Quantitative Finance and Accounting · 19 citations
with Bruce M. Collins
Fixed Income Analysis for the Chartered Financial Analyst Program
published 2000 · Medical Entomology and Zoology · 18 citations
no link
Floating-Rate Securities
published 2000 · Medical Entomology and Zoology · 17 citations
with Steven V. Mann
no link
Derivatives and Risk Management
published 1999 · The Journal of Portfolio Management · 16 citations
with Bruce M. Collins
Issuer Perspectives on Securitization
published 1999 · Medical Entomology and Zoology · 14 citations
no link
Handbook of Structured Financial Products
published 1998 · Medical Entomology and Zoology · 16 citations
no link
Perspectives on Interest Rate Risk Management for Money Managers and Traders
published 1998 · Medical Entomology and Zoology · 6 citations
no link
Treasury Securities and Derivatives
published 1997 · Medical Entomology and Zoology · 10 citations
no link
Credit Union Investment Management
published 1997 · Medical Entomology and Zoology · 1 citations
with Mark B. Wickard
no link
International Corporate Finance.
published 1996 · The Journal of Finance · 6 citations
with Michael R. Vetsuypens, Mark R. Eaker, Dwight Grant
The Risk-Point Method for Measuring and Controlling Yield Curve Risk
published 1995 · Financial Analysts Journal · 18 citations
with Ravi E. Dattatreya
Valuation of Fixed Income Securities.
published 1995 · The Journal of Finance · 6 citations
with Arthur Warga
Predicting Intraday Price Reversals
published 1995 · The Journal of Portfolio Management · 34 citations
with K. Christopher, William Chittenden, Roberta Pace
Foundations of Financial Markets and Institutions.
published 1994 · The Journal of Finance · 197 citations
with Ronald L. Moy, Franco Modigliani, Michael G. Ferri
Municipal Bond Portfolio Management
published 1994 · Medical Entomology and Zoology · 12 citations
with T. Dessa Fabozzi, Sylvan G. Feldstein
no link
Collateralized Mortgage Obligations: Structures and Analysis.
published 1994 · The Journal of Finance · 7 citations
with Manoj K. Singh, Charles A. Ramsey, Frank B. Ramirez
Holiday Trading in Futures Markets
published 1994 · The Journal of Finance · 65 citations
with K. Christopher, James E. Briley
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation
published 1993 · The Journal of Finance · 247 citations
with T. Daniel Coggin, Shafiqur Rahman
A Model for Valuing Bonds and Embedded Options
published 1993 · Financial Analysts Journal · 88 citations
with Andrew Kalotay, George O. Williams
Recent Evidence on the Distribution Patterns in Chapter 11 Reorganizations
published 1993 · The Journal of Fixed Income · 9 citations
with Jane Tripp Howe, Takashi Makabe, Toshihide Sudo
Capital Markets: Institutions and Instruments.
published 1992 · The Journal of Finance · 127 citations
with Harold A Black, Franco Modigliani
Original Issue High-Yield Bonds
published 1992 · The Journal of Fixed Income · 10 citations
with Rayner Cheung, Joseph C. Bencivenga
The international government bond markets : an overview and analysis of the world's leading public debt markets
published 1992 · Medical Entomology and Zoology · 1 citations
with Frank J. Jones
no link
Mortgage and mortgage-backed securities markets
published 1992 · Medical Entomology and Zoology · 103 citations
with Walter N. Torous, Franco Modigliani
The Trading and Securitization of Senior Bank Loans
published 1992 · Medical Entomology and Zoology · 9 citations
with John H. Carlson
no link
A Methodology for Measuring Transaction Costs
published 1991 · Financial Analysts Journal · 107 citations
with Bruce M. Collins
EFFECTIVE CAPITAL GAINS TAX RATES: A REPLY
published 1991 · National Tax Journal · 3 citations
with Christopher J. Coyne, Uzi Yaari
The New Corporate Bond Market: A Complete and Insightful Analysis of the Latest Trends, Issues and Advances
published 1990 · Medical Entomology and Zoology · 4 citations
with Richard S. Wilson
no link
Considerations in Selecting a Small-Capitalization Benchmark
published 1990 · Financial Analysts Journal · 3 citations
with Bruce M. Collins
The Handbook of U.S. Treasury & government agency securities : instruments, strategies, and analysis
published 1990 · Medical Entomology and Zoology · 1 citations
no link
Interest Rate Futures and Options
published 1990 · Medical Entomology and Zoology · 6 citations
with Mark Pitts
no link
TAXATION OF CAPITAL GAINS WITH DEFERRED REALIZATION
published 1989 · National Tax Journal
with Christopher J. Coyne, Uzi Yaari
Bond Markets, Analysis and Strategies.
published 1989 · The Journal of Finance · 363 citations
with Michael J. Stutzer, T. Dessa Fabozzi, Edward J. Sullivan
OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH
published 1989 · The Journal of Financial Research · 4 citations
with Jongmoo Jay Choi, Uzi Yaari
A simplified model for valuing debt options
published 1989 · The Journal of Portfolio Management · 7 citations
with Ravi E. Dattatreya
Active total return management of fixed-income portfolios
published 1989 · Medical Entomology and Zoology · 8 citations
with Ravi E. Dattatreya
no link
A Note on Unsuccessful Tender Offers and Stockholder Returns
published 1988 · The Journal of Finance · 23 citations
with Michael G. Ferri, T. Dessa Fabozzi, Julia Tucker
THE OVER‐THE‐COUNTER MARKET AND NEW YORK STOCK EXCHANGE TRADING HALTS
published 1988 · Financial Review · 20 citations
with K. Christopher
Market Uncertainty and the Least‐Cost Offering Method of Public Utility Debt: A Note
published 1988 · The Journal of Finance · 2 citations
with Eileen Moran, K. Christopher
Advances in Futures and Options Research
published 1987 · Medical Entomology and Zoology · 175 citations
no link
The Dow Jones-Irwin Guide to Municipal Bonds
published 1987 · Medical Entomology and Zoology · 6 citations
with Sylvan G. Feldstein, Dow Jones-Irwin
no link
The Dow Jones-Irwin guide to bond and money market investments
published 1987 · Medical Entomology and Zoology · 7 citations
with Marcia L. Stigum
no link
State Taxes and Reserve Requirements as Major Determinants of Yield Spreads Among Money Market Instruments
published 1986 · Journal of Financial and Quantitative Analysis · 21 citations
with Thom B. Thurston
Uniformity in Weak and Vague Convergence
published 1986 · Theory of Probability and Its Applications · 1 citations
The complete investment book
published 1986 · The Journal of Portfolio Management · 6 citations
Floating rate instruments: Characteristics, valuation, and portfolio strategies
published 1986 · Medical Entomology and Zoology · 1 citations
no link
Analyzing the Credit Worthiness of Short-Term Tax-Exempt Obligations
published 1985 · Financial Analysts Journal
with Sylvan G. Feldstein
How to enhance bond returns with naive strategies
published 1985 · The Journal of Portfolio Management
with H. Gifford Fong
Winning the interest rate game : a guide to debt options
published 1985 · Medical Entomology and Zoology · 6 citations
no link
Overview of the Seminar
published 1985 · ICFA Continuing Education Series
How to apply duration to equity analysis
published 1984 · The Journal of Portfolio Management · 28 citations
with Patrick A. Casabona, Jack Clark Francis
The stability of the systematic risk of individual stocks:an application of ridge regression
published 1984 · Communication in Statistics-Theory and Methods · 3 citations
with Raj Baldev, Hrishikesh D. Vinod
The Municipal bond handbook
published 1983 · Medical Entomology and Zoology · 52 citations
with Sylvan G. Feldstein
Valuation of Safe Harbor Tax Benefit Transfer Leases
published 1983 · The Journal of Finance
with Uzi Yaari
Have you seen any good quarterly statements lately?
published 1983 · The Journal of Portfolio Management · 1 citations
with Robert Fonfeder
The Economic Effects on Lessees of FASB Statement No. 13, Accounting for Leases.
published 1982 · The Journal of Finance · 64 citations
with A. Rashad Abdel-Khalik
A note on the association between systematic risk and common stock and bond rating classifications
published 1982 · Journal of Economics and Business · 2 citations
Negotiated Versus Competitive Underwritings of Public Utility Bonds: Just One More Time
published 1981 · Journal of Financial and Quantitative Analysis · 22 citations
with Richard West
Does Listing on the AMEX Increase the Value of Equity?
published 1981 · Financial Management · 39 citations
Generalized Functional Form for Mutual Fund Returns
published 1980 · Journal of Financial and Quantitative Analysis · 1 citations
with Jack Clark Francis, Cheng-Few Lee
Stability of mutual fund systematic risk statistics
published 1980 · Journal of Business Research · 20 citations
with Jack Clark Francis
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination
published 1979 · The Journal of Finance · 143 citations
with Jack Clark Francis
The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model
published 1979 · Journal of Financial and Quantitative Analysis · 5 citations
with Jack Clark Francis
Mathematical programming models to determine civil service salaries
published 1979 · European Journal of Operational Research · 8 citations
with Alfred W. Bachner
Quality of Earnings
published 1978 · The Journal of Portfolio Management · 9 citations
Beta as a Random Coefficient
published 1978 · Journal of Financial and Quantitative Analysis · 19 citations
with Jack Clark Francis
A Portfolio Approach to Capital Budgeting: An Application to the Expansion to Additional Product Lines
published 1978 · Journal of the Operational Research Society · 3 citations
The use of Operational Research Techniques for Capital Budgeting Decisions. A Sample Survey
published 1978 · Journal of the Operational Research Society · 5 citations
STABILITY TESTS FOR ALPHAS AND BETAS OVER BULL AND BEAR MARKET CONDITIONS
published 1977 · The Journal of Finance · 307 citations
with Jack Clark Francis
THE BRAZILIAN STOCK EXCHANGE FROM ORIGIN TO THE ENTRY OF FOREIGN CAPITAL
published 1977 · The Developing Economies
with Joseph K. Tucker
PARTIAL ELASTICITIES OF FACTOR SUBSTITUTION BASED ON THE CES PRODUCTION FUNCTION: SOME EMPIRICAL EVIDENCE*
published 1972 · Bulletin of Economic Research
with Damodar Gujarati
Portfolio Selection.
published 1960 · Economica · 21 citations
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