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Fundamental multifactor equity risk models

Fabozzi, Frank J.; Vardharaj, Raman; Jones, Frank Joseph - 2008

Persistent link: https://www.econbiz.de/10003764728

Yield curve risk measures

Fabozzi, Frank J.; Mann, Steven V. - 2008

Persistent link: https://www.econbiz.de/10003765477

Alternative risk premium fund analysis

Gorman, Stephen A.; Fabozzi, Frank J. - In: The journal of portfolio management : JPM 48 (2022) 7, pp. 195-207

Persistent link: https://www.econbiz.de/10014231878

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...

Persistent link: https://www.econbiz.de/10012842392

Does the corporate bond market overvalue bonds of sin companies?

Fabozzi, Frank J.; Lamba, Asjeet S.; Nishikawa, Takeshi; … - In: Finance research letters 28 (2019), pp. 165-170

Persistent link: https://www.econbiz.de/10012388298

Diversification versus optimality : is there really a diversification puzzle?

Ortobelli Lozza, Sergio; Wong, Wing Keung; Fabozzi, Frank J. - In: Applied economics 50 (2018) 43, pp. 4671-4693

Persistent link: https://www.econbiz.de/10012061607

Carry strategies and the US dollar risk of US and global bonds

Konstantinov, Gueorgui; Fabozzi, Frank J. - In: The journal of fixed income : JFI 30 (2021) 3, pp. 26-46

Persistent link: https://www.econbiz.de/10012423026

The ABC's of the ARP : understanding alternative risk premium

Gorman, Stephen A.; Fabozzi, Frank J. - In: The journal of asset management : a major new, … 22 (2021) 6, pp. 391-404

Persistent link: https://www.econbiz.de/10012659812

Workhorse or Trojan horse? : the alternative risk premium conundrum in multi-asset portfolios

Gorman, Stephen A.; Fabozzi, Frank J. - In: The journal of portfolio management : JPM 48 (2022) 4, pp. 147-182

Persistent link: https://www.econbiz.de/10013175533

Alternative risk premium : specification noise

Gorman, Stephen A.; Fabozzi, Frank J. - In: The journal of asset management : a major new, … 24 (2023) 6, pp. 459-473

Persistent link: https://www.econbiz.de/10014419524