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 …

[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
Praise for Robust Portfolio Optimization and Management" In the half century since Harry
Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have …

[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 …

[BOOK][B] Financial management and analysis

FJ Fabozzi, PP Peterson - 2003 - books.google.com
Financial Management and Analysis, Second Edition covers many important financial topics
that are neglected elsewhere--from raising funds via securitization to managing a financial …

[BOOK][B] The handbook of mortgage-backed securities

FJ Fabozzi - 2016 - books.google.com
frank J. fabozzi is Professor of finance at edheC business School and a senior scientific …
a Cfa and CPa holder, fabozzi is a trustee of the blackrock closed-end fund complex since its …

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 …

Robust portfolios: contributions from operations research and finance

FJ Fabozzi, D Huang, G Zhou - Annals of operations research, 2010 - Springer
In this paper we provide a survey of recent contributions to robust portfolio strategies from
operations research and finance to the theory of portfolio selection. Our survey covers results …

[BOOK][B] The basics of financial econometrics: Tools, concepts, and asset management applications

FJ Fabozzi, SM Focardi, ST Rachev, BG Arshanapalli - 2014 - books.google.com
An accessible guide to the growing field of financial econometrics As finance and financial
products have become more complex, financial econometrics has emerged as a fast-growing …

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 …