Professor in the Practice of Finance & Becton Fellow
Frank Fabozzi specializes in investment management and structured finance. He is editor of the Journal of Portfolio Management and has authored and edited many acclaimed books, three of which were coauthored with the late Franco Modigliani and co-edited with Harry Markowitz, including Investment Management: Theory and Practice. The following books, co-authored by Fabozzi, were published during the 2006-2007 year: Financial Econometrics: From Basics to Advanced Modeling Techniques (2007), Robust Portfolio Optimization and Management (2007), Developments in the Collateralized Debt Obligations Markets: New Products and Insights (2007), Financial Modeling of the Equity Market: From CAPM to Cointegration (2006; selected by Financial Engineering News as one of the top 10 technical books in 2006), Introduction to Structured Finance (2006), Collateralized Debt Obligations: Structures and Analysis: Second Edition (2006), and Trends in Quantitative Finance (2006).
Professor Fabozzi is a consultant to several financial institutions, is on the board of directors of the BlackRock complex of closed-end funds, and is a senior advisor to IndexIQ (a developer of next-generation indexes and innovative quantitative investment strategies).
He was inducted into the Fixed Income Analysts Society Hall of Fame in November 2002 and is the 2007 recipient of the C. Stewart Sheppard Award given by the CFA Institute. Prior to his appointment at Yale, he was a visiting professor of finance at MIT's Sloan School of Management. Professor Fabozzi is a Chartered Financial Analyst and Certified Public Accountant.
Achievements and Awards
CFA Institute, C. Stewart Sheppard Award, 2007
Journal of Asset Management, Editorial Board
Financial Econometrics: From Basics to Advanced Modeling Techniques (with S.T. Rachev, S. Mittnik, S.M. Focardi, and T. Jasic), John Wiley & Sons, 2007
Robust Portfolio Optimization and Management (with P.N. Kolm, D. Pachamanova, and S.M. Focardi), John Wiley & Sons, 2007
Developments in the Collateralized Debt Obligations Markets: New Products and Insights (with D. Lucas, L. Goodman, and Rebecca Manning), John Wiley & Son, 2007
Bond Markets, Analysis and Strategies, Sixth Edition, Prentice Hall, 2006
Fixed Income Mathematics: Analytical and Statistical Techniques, Fourth Edition, McGraw Hill Publishing, 2006
"The Importance of the Sector Allocation Decision" (with R. Vardharaj), Financial Analysts Journal, 59-70, May-June, 2007
"Exploring the Components of Credit Risk in Credit Default Swaps" (with X. Cheng and R. Chen), Finance Research Letters, Vol. 4, 10-18, 2007
"Robust Portfolio Optimization" (with P.N. Kolm, D.A. Pachamanova, and S.M. Focardi), Journal of Portfolio Management, 40-48, Spring, 2007
"An Optimal Design of Collateralized Mortgage Obligation with PAC-Companion Structure Using Dynamic Cash Reserve" (with D. Huang, Y. Kai, and M. Fukushima), European Journal of Operational Research, Vol. 177, No. 2, 1134-1152, March, 2007
"Trends in Quantitative Equity Management: Survey Results" (with S.M. Focardi and C. Jonas), Vol.7, No. 1, Quantitative Finance, February, 2007 (The results reported in this article were the subject of a feature story in CFA Institute Magazine by Susan Trammell, "Perpetual Motions: A New Study Looks at Trends in Equity Portfolio Modeling" 39-44, January-February, 2007)
PhD City University of New York, 1972