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Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10009514126
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Measuring and forecasting yield volatility
Fabozzi, Frank J.; Lee, Wai - In: Interest rate, term structure, and valuation modeling, (pp. 187-212). 2002
Persistent link: https://www.econbiz.de/10001734175
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Welfare measurement in imperfect markets : a growth theoretical approach
Aronsson, Thomas; Löfgren, Karl-Gustaf; Backlund, Kenneth - 2004
Persistent link: https://www.econbiz.de/10001892261
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Portfolio selection problems consistent with given preference orderings
Lozza, Sergio Ortobelli; Shalit, Haim; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-38
Persistent link: https://www.econbiz.de/10009783998
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Welfare measurement, involuntary unemployment, and heterogeneity
Aronsson, Thomas - In: The review of income and wealth : journal of the … 56 (2010) 3, pp. 559-571
Persistent link: https://www.econbiz.de/10008797734
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The proper use of risk measures in portfolio theory
Ortobelli, Sergio; Račev, Svetlozar T.; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1107-1133
Persistent link: https://www.econbiz.de/10003280039
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Measuring interest-rate risk
Fabozzi, Frank J.; Buetow, Gerald W.; Johnson, Robert R. - In: The handbook of fixed income securities, (pp. 183-226). 2005
Persistent link: https://www.econbiz.de/10003054210
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Risk measures and portfolio selection
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765462
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Measuring and Explaining Pension System Risk
Fabozzi, Frank J. - 2013
We discuss pension system risk in the United States by 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 modifying the Pension Insurance Modeling...
Persistent link: https://www.econbiz.de/10013074826
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Welfare measurement in imperfect markets : a growth theoretical approach
Aronsson, Thomas; Löfgren, Karl-Gustaf; Backlund, Kenneth - 2004
This book cleverly integrates the research on welfare measurement and social accounting in imperfect market economies …. In their previously acclaimed volume, Welfare Measurement, Sustainability and Green National Accounting, the authors … emerging issues in social accounting -- 9. Welfare measurement under uncertainty …
Persistent link: https://www.econbiz.de/10011851736