Prof. Frank J. Fabozzi

Carey School of Business

Johns Hopkins University, USA

Professor of Practice

Email: fabozzi321@aol.com

Qualifications

1972 Ph.D., Economics, City University of New York, USA

1970 M.A., Economics, City College of New York, USA

1970 B.A., Economics and Statistics, City College of New York, USA

Publications (Selected)

1. Pachamanova, D. A., Fabozzi, F. J., & Fabozzi, F. A. (2025). Simulation, Optimization, and Machine Learning for Finance.
2. Deep, A., Shirvani, A., Monico, C., Rachev, S., & Fabozzi, F. (2025). Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading. Journal of Risk and Financial Management, 18(3), 142.
3. Bonaparte, Y., Fabozzi, F. J., & Peron, M. (2025). Measuring transitory inflation: Implications for monetary policy and stock market volatility. Journal of International Money and Finance, 103284.
4. Jha, A., Shirvani, A., Rachev, S. T., & Fabozzi, F. J. (2024). Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets. Journal of Risk and Financial Management, 18(1), 11.
5. Fabozzi, F. J., Fallahgoul, H., Franstianto, V., & Loeper, G. (2024). Asymptotic Properties of ReLU FFN Sieve Estimators. Studies in Nonlinear Dynamics & Econometrics, (0).
6. Bonaparte, Y., Fabozzi, F. J., Koslowsky, D., & Parthasarathy, M. (2024). The gender wage gap and its effect on women’s entrepreneurship. Applied Economics, 56(38), 4563-4575.
7. Hwang, Y., Park, J., Kim, J. H., Lee, Y., & Fabozzi, F. J. (2024). Heterogeneous trading behaviors of individual investors: A deep clustering approach. Finance Research Letters, 65, 105481.
8. Nazemi, A., & Fabozzi, F. J. (2024). Interpretable machine learning for creditor recovery rates. Journal of Banking & Finance, 164, 107187.
9. Banerjee, A. K., Pradhan, H. K., Sensoy, A., Fabozzi, F., & Mahapatra, B. (2024). Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints. Annals of Operations Research, 337(1), 1-22.
10. Hu, Y., Lindquist, W. B., Rachev, S. T., & Fabozzi, F. J. (2024). Option Pricing Using a Skew Random Walk Binary Tree. Journal of Risk and Financial Management, 17(4), 138.
11. Fabozzi, F. J., Huang, D., Jiang, F., & Wang, J. (2024). What difference do new factor models make in portfolio allocation?. Journal of International Money and Finance, 140, 102997.
12. Lee, Y., Thompson, J. R., Kim, J. H., Kim, W. C., & Fabozzi, F. A. (2023). An Overview of Machine Learning for Asset Management. Journal of Portfolio Management, 49(9).
13. Hwang, Y., Lee, Y., & Fabozzi, F. J. (2023). Identifying household finance heterogeneity via deep clustering. Annals of Operations Research, 325(2), 1255-1289.
14. Russo, V., & Fabozzi, F. J. (2023). The Transition from Interbank Offered Rates to Risk-Free Rates: Evolution in Pricing Models for Interest Rate Derivatives. Journal of Fixed Income, 32(4).
15. Jakubik, J., Nazemi, A., Geyer-Schulz, A., & Fabozzi, F. J. (2023). Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks. Quantitative Finance, 23(2), 335-349.
16. Chung, M., Lee, Y., Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2022). The effects of errors in means, variances, and correlations on the mean-variance framework. Quantitative Finance, 22(10), 1893-1903.
17. Fabozzi, F. J., Focardi, S., Ponta, L., Rivoire, M., & Mazza, D. (2022). The economic theory of qualitative green growth. Structural Change and Economic Dynamics, 61, 242-254.
18. Hu, Y., Lindquist, W. B., Rachev, S. T., Shirvani, A., & Fabozzi, F. J. (2022). Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis. Journal of Economic Dynamics and Control, 137, 104345.

Profile Details

WoS Researcher: COF-3578-2022

https://www.edhec.edu/en/research-and-faculty/faculty/professors-and-researchers/frank-fabozzi

https://en.wikipedia.org/wiki/Frank_J._Fabozzi

https://scholar.google.com/citations?user=tqXS4IMAAAAJ&hl=en