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Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures

Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003583006

Handbook of heavy-tailed distributions in asset management and risk management

Bianchi, Michele Leonardo; Stoyanov, Stoyan V.; … - 2019

Persistent link: https://www.econbiz.de/10012010807

How fat are the tails of equity market indices?

Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200

Persistent link: https://www.econbiz.de/10011960289

Bond portfolio optimization in the presence of duration constraints

Deguest, Romain; Fabozzi, Frank J.; Martellini, Lionel; … - In: The journal of fixed income 28 (2018) 1, pp. 6-26

Persistent link: https://www.econbiz.de/10011905566

Multi-factor equity risk models

Fabozzi, Frank J.; Jones, Frank Joseph; Vardharaj, Raman - In: The theory and practice of investment management, (pp. 343-372). 2002

Persistent link: https://www.econbiz.de/10001730001

Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing

Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005

Persistent link: https://www.econbiz.de/10002817530

A primer on commodity investing

Fabozzi, Frank J.; Füss, Roland; Kaiser, Dieter G. - In: The handbook of commodity investing, (pp. 3-37). 2008

Persistent link: https://www.econbiz.de/10003794992

Simulation and optimization in finance : modeling with MATLAB, Risk, or VBA

Pachamanova, Dessislava A.; Fabozzi, Frank J. - 2010

"An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital...

Persistent link: https://www.econbiz.de/10008699427

Optimal corporate strategy under uncertainty

Chen, Andrew H.; Fabozzi, Frank J.; Huang, Dashan - In: Applied economics 45 (2013) 19/21, pp. 2877-2882

Persistent link: https://www.econbiz.de/10010192369

Commercial real estate risk management with derivatives

Fabozzi, Frank J.; Stanescu, Silvia; Tunaru, Radu - In: The journal of portfolio management : a publication of … 39 (2013) 5, pp. 111-119

Persistent link: https://www.econbiz.de/10010209637

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