[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 …
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 …
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 …
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 …
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 …
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
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 …
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 …
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 …
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. …
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 …
of a sample of US equity pension fund managers. Regardless of the choice of benchmark …