Frank J. Fabozzi
EDHEC Business School
896 Papers
4.5K Citations
Frank J. Fabozzi is an academic researcher from EDHEC Business School. The author has contributed to research in topics: Portfolio & Portfolio optimization. The author has an hindex of 60, co-authored 845 publications. Previous affiliations of Frank J. Fabozzi include Yale University & Hofstra University.
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Papers
•Book
The Handbook of Fixed Income Securities
Frank J. Fabozzi
- 01 Jan 1983
TL;DR: The "Handbook of Fixed Income Securities" as discussed by the authors is the most widely used and widely used reference for fixed income analysis and analysis tools, including the most comprehensive overview of all fixed income securities and strategies.
286
Sin Stock Returns
TL;DR: In this paper, the authors examined the issue of how social values affect economic values and found that a sin portfolio produced an annual return of 19% over the study period, unambiguously outperforming common benchmarks in terms of both magnitude and frequency.
283
Robust portfolios: contributions from operations research and finance
TL;DR: A survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection in terms of the standard mean-variance objective and optimal estimation methods and Bayesian robust approaches is provided.
Size, Value, and Momentum in Emerging Market Stock Returns
TL;DR: In this paper, the authors examined value and momentum effects in 18 emerging stock markets using stock level data from January 1990 to December 2011, and found strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe.
273
Size, value, and momentum in emerging market stock returns
TL;DR: In this article, the authors examined value and momentum effects in 18 emerging stock markets using stock level data from January 1990 to December 2011, and found strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe.
265