[PDF][PDF] The legacy of modern portfolio theory

FJ Fabozzi, F Gupta, HM Markowitz - The journal of investing, 2002 - academia.edu
Copyright@ Institutional Investor, Inc. All rights reserved. investment). However, it is critically
important to understand that MPT is a theory that is independent of any theories about asset …

Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction

A Sun, M Lachanski, FJ Fabozzi - International Review of Financial …, 2016 - Elsevier
We investigate the potential use of textual information from user-generated microblogs to
predict the stock market. Utilizing the latent space model proposed by Wong et al. (2014), we …

[BOOK][B] Bond markets, analysis, and strategies

FJ Fabozzi, FA Fabozzi - 2021 - books.google.com
The updated edition of a widely used textbook that covers fundamental features of bonds,
analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers …

[BOOK][B] Robust portfolio optimization and management

FJ Fabozzi, PN Kolm, DA Pachamanova, SM Focardi - 2007 - books.google.com
… For example, Vardharaj, Fabozzi, and Jones show that if portfolio risk is measured by the
tracking error of the portfolio to a benchmark, more than 300 assets may be necessary in order …

[BOOK][B] Financial management and analysis

FJ Fabozzi, PP Peterson - 2003 - books.google.com
… Professor Fabozzi is a Fellow ofthe International Center for Finance at Yale University and
the editor of the Journal of Portfolio Management. He earned a doctorate in economics from …

60 years of portfolio optimization: Practical challenges and current trends

PN Kolm, R Tütüncü, FJ Fabozzi - European Journal of Operational …, 2014 - Elsevier
The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light of the …

Beta as a random coefficient

FJ Fabozzi, JC Francis - Journal of Financial and Quantitative …, 1978 - cambridge.org
After Markowitz [14, p. 100] and Sharpe [19, 20] suggested estimating the beta systematic risk
coefficient for market assets, finance professors, stock brokers, investment managers, and …

Stability tests for alphas and betas over bull and bear market conditions

FJ Fabozzi, JC Francis - The Journal of Finance, 1977 - JSTOR
THIS PAPER EMPLOYS standard econometric significance tests to determine whether the
regression statistics from a sample of 700 NYSE stocks differ significantly when measured …

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

ST Rachev, C Menn, FJ Fabozzi - 2005 - books.google.com
… Frank Fabozzi received various forms of assistance from the International Center for
Finance at Yale University We thank Megan Orem for her skillful typesetting of this book. …

The investment performance of US equity pension fund managers: An empirical investigation

TD Coggin, FJ Fabozzi, S Rahman - The Journal of Finance, 1993 - Wiley Online Library
This paper presents an empirical examination of the selectivity and market timing performance
of a sample of US equity pension fund managers. Regardless of the choice of benchmark …