Fabozzi Frank

Frank Fabozzi

Information about the author Frank Fabozzi will soon be added to the site.
Found 3 papers in total
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
2013
Risk management through marginal rebalancing is important for institutional investors...
What do robust equity portfolio models really do?
What do robust equity portfolio models really do?
2013
Most of previous work on robust equity portfolio optimization has focused on its...
Measuring financial risk and portfolio optimization with a non‐Gaussian multivariate model
Measuring financial risk and portfolio optimization with a non‐Gaussian multivariate model
2012
In this paper, we propose a multivariate market model with returns assumed to follow a...
Papers per page: