Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Frank J. Fabozzi"'
Publikováno v:
The Journal of Portfolio Management. 47:162-171
This study observes the impact of the largest public firm in a country, especially focusing on the case when the largest firm is disproportionately large. Although the size factor of stock returns is widely recognized, the largest firm may provide fu
Publikováno v:
The Journal of Alternative Investments. 24:75-93
The authors demonstrate the construction of an optimal dynamic portfolio of cryptoassets that minimizes either return variance or conditional value at risk. One can view such a portfolio as a minimum-risk index for this asset class. They carefully ba
Publikováno v:
The Journal of Derivatives. 26:7-21
Real estate derivatives have the potential to stabilize one of the most influential risks present in economies worldwide—real estate risk. Commercial and residential real estate represent a very large proportion of wealth in developed economies. In
Publikováno v:
Journal of Financial Research. 38:511-527
There are varying views on the relative importance of cash flow versus earnings in the pricing of stocks. In this article, we identify which financial metric—cash flow or earnings—is more often used by investors in equity valuation and then inves
In this paper, we provide a general valuation of the diversification attitude of investors. First, we empirically examine the diversification of mean-variance optimal choices in the US stock market...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::533dc99205c45218ecacf5d1489b6bca
http://hdl.handle.net/10446/122794
http://hdl.handle.net/10446/122794
Publikováno v:
Quantitative Finance. 15:1093-1102
In this paper, we provide analytical valuation results for barrier options with three different types of information: continuous observations of the underlying asset value, delayed continuous observations and multiple discrete observations. Market, c
Autor:
Frank J. Fabozzi
Publikováno v:
Journal of Pension Economics and Finance. 14:161-171
We discuss pension system risk in the USA, focusing on the investment policy and the methodology for the valuation of the liabilities of the Pension Benefit Guaranty Corporation (PBGC). We offer suggestions as to how the PBGC should consider modifyin
Publikováno v:
The Journal of Fixed Income. 22:79-94
In this article, we derive a binary tree–based model for convertible bond valuation subject to credit risk modeling. Our model, which belongs to the framework known as equity to credit risk, is based on the so-called reduced-form (constant intensit
Autor:
Frank J. Fabozzi, Steven V. Mann
Publikováno v:
The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies, Second Edition
Publikováno v:
The Theory and Practice of Investment Management