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Momentum strategies based on reward-risk stock selection criteria

Račev, Svetlozar T.; Jašić, Teo; Stoyanov, Stoyan; … - In: Journal of banking & finance 31 (2007) 8, pp. 2325-2346

Persistent link: https://www.econbiz.de/10003522928

CVaR sensitivty with respect to tail thickness

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of banking & finance 37 (2013) 3, pp. 977-988

Persistent link: https://www.econbiz.de/10009708724

Deciphering robust portfolios

Kim, Woo Chang; Kim, Jang Ho; Fabozzi, Frank J. - In: Journal of banking & finance 45 (2014), pp. 1-8

Persistent link: https://www.econbiz.de/10010466688

A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance

Focardi, Sergio M.; Fabozzi, Frank J.; Mitov, Ivan K. - In: Journal of banking & finance 65 (2016), pp. 134-155

Persistent link: https://www.econbiz.de/10011634338

Macroeconomic variable selection for creditor recovery rates

Nazemi, Abdolreza; Fabozzi, Frank J. - In: Journal of banking & finance 89 (2018), pp. 14-25

Persistent link: https://www.econbiz.de/10011963062

Financial advice and investment decisions : a manifesto for change

Wilcox, Jarrod W.; Fabozzi, Frank J. - 2013 - Online-Ausg.

. While there are many qualitative discussions, the authors present strong quantitative theory and practice in the form of …

Persistent link: https://www.econbiz.de/10012678514

Quantitative equity investing : techniques and strategies

Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010

portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz … FINANCE -- CAUSALITY -- SUMMARY -- Chapter 4: Common Pitfalls in Financial Modeling -- THEORY AND ENGINEERING -- ENGINEERING …

Persistent link: https://www.econbiz.de/10012683140