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~person:"Fabozzi, Frank J."
~person:"Koopman, Siem Jan"
~subject:"Risk premium"
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Risk premium
Kreditrisiko
86
Theorie
85
Theory
83
Credit risk
79
Portfolio-Management
71
Portfolio selection
70
Risikomanagement
53
Risk management
49
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credit risk
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frailty-correlated defaults
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English
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Fabozzi, Frank J.
Koopman, Siem Jan
Bekaert, Geert
60
Zhou, Hao
60
Bansal, Ravi
49
Sarno, Lucio
41
Lustig, Hanno
39
Yaron, Amir
39
Zaremba, Adam
38
Campbell, John Y.
37
Verdelhan, Adrien
37
Chernov, Mikhail
36
Bernoth, Kerstin
34
Bollerslev, Tim
34
Hördahl, Peter
33
Jacobs, Kris
32
Mehra, Rajnish
32
Veronesi, Pietro
32
Bali, Turan G.
30
Harvey, Campbell R.
29
Longstaff, Francis A.
28
Farhi, Emmanuel
27
Shaliastovich, Ivan
27
Wachter, Jessica
27
Ang, Andrew
26
Hagen, Jürgen von
26
Lettau, Martin
26
Taylor, Alan M.
26
Gollier, Christian
25
Londono, Juan M.
25
Ludvigson, Sydney C.
25
Piazzesi, Monika
24
Wagner, Christian
24
Zhou, Guofu
24
Zinna, Gabriele
24
Almeida, Caio
23
Prokopczuk, Marcel
23
Todorov, Viktor
22
Wachter, Jessica A.
22
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22
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21
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The journal of asset management : a major new, international quarterly journal for the financial community
3
Applied economics
2
Finance research letters
2
The journal of portfolio management : JPM
2
Applied financial economics
1
European journal of operational research : EJOR
1
IMES discussion paper series / Englische Ausgabe
1
Insurance / Mathematics & economics
1
International review of financial analysis
1
Investment management and financial management
1
Journal of international money and finance
1
Review of quantitative finance and accounting
1
The journal of fixed income
1
The journal of fixed income : JFI
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ECONIS (ZBW)
25
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1
Intertemporal defaulted bond recoveries prediction via machine learning
Nazemi, Abdolreza
;
Baumann, Friedrich
;
Fabozzi, Frank J.
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1162-1177
Persistent link: https://www.econbiz.de/10013263044
Saved in:
2
Alternative
risk
premium : specification noise
Gorman, Stephen A.
;
Fabozzi, Frank J.
- In:
The journal of asset management : a major new, …
24
(
2023
)
6
,
pp. 459-473
Persistent link: https://www.econbiz.de/10014419524
Saved in:
3
The ICA-based factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.
;
Giacometti, Rosella
;
Tsuchida, Naoshi
-
2015
Persistent link: https://www.econbiz.de/10011375946
Saved in:
4
The ABC's of the ARP : understanding alternative
risk
premium
Gorman, Stephen A.
;
Fabozzi, Frank J.
- In:
The journal of asset management : a major new, …
22
(
2021
)
6
,
pp. 391-404
Persistent link: https://www.econbiz.de/10012659812
Saved in:
5
The ABC's of the alternative
risk
premium : academic roots
Gorman, Stephen A.
;
Fabozzi, Frank J.
- In:
The journal of asset management : a major new, …
22
(
2021
)
6
,
pp. 405-436
Persistent link: https://www.econbiz.de/10012659814
Saved in:
6
Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T.
-
2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
Saved in:
7
Equity Premium Puzzle or Faulty Economic Modelling?
Shirvani, Abootaleb
-
2020
demonstrate that the high-
risk
aversion value observed by Mehra and Prescott may be attributable to the problem of fitting a … large equity
risk
premium and thereby explains the puzzle …
Persistent link: https://www.econbiz.de/10012842459
Saved in:
8
Diversification versus optimality : is there really a diversification puzzle?
Ortobelli Lozza, Sergio
;
Wong, Wing Keung
;
Fabozzi, Frank J.
- In:
Applied economics
50
(
2018
)
43
,
pp. 4671-4693
Persistent link: https://www.econbiz.de/10012061607
Saved in:
9
Factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.
;
Giacometti, Rosella
;
Tsuchida, Naoshi
- In:
Journal of international money and finance
65
(
2016
),
pp. 1-23
Persistent link: https://www.econbiz.de/10011668394
Saved in:
10
Carry strategies and the US dollar
risk
of US and global bonds
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
30
(
2021
)
3
,
pp. 26-46
Persistent link: https://www.econbiz.de/10012423026
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