Carnegie Mellon University

Frank Fabozzi

Frank J. Fabozzi

Adjunct Professor of Finance

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Address
5000 Forbes Avenue
Pittsburgh, PA 15213

Bio

Professional Designations:

  • Chartered Financial Analyst (1977)
  • Certified Public Accountant (New York, License No: 045402, Date of Licensure: 06/25/82)

Education

  • City University of New York - Ph D (Economics) - 1972
  • City College of New York - MA (Economics) - 1970
  • City College of New York - BA (Economics and Statistics), (magna cum laude and honors in economics), (Elected to Phi Beta Kappa in 1969) - 1970

Publications

  • Real Estate Derivatives: What Can Be Done to Tame Property Price Risk
    (author(s): Frank J. Fabozzi, Robert Shiller, Radu Tunaru)
    Forthcoming in Journal of Economic Perspectives
  • Active Loan Trading
    (author(s): Frank J. Fabozzi, Sven Klingler, Pia Molgaard, Mads Stenbo Nielsen)
    Forthcoming in Journal of Financial Intermediation
  • Multiple Subordinated Modeling of Asset Returns: Implications for Option Pricing
    (author(s): Abootaleb Shirvani, Svetlozar T. Rachev, Frank J. Fabozzi)
    Forthconing in Econometric Reviews
  • Detecting Bubbles in the US and UK Real Estate Markets

    (author(s): Frank Fabozzi, Iason Kynigakis, Ekaterini Panopoulou, Radu Tunaru)
    Journal of Real Estate Finance and Economics 60, 2020; 469-513

  • Can Commodity Price Uncertainty Indexes be Improved by Capturing Media Information? The Case of Oil Price Uncertainty

    (author(s): Yosef Bonaparte, Frank J. Fabozzi, David Koskowski)
    Journal of Alternative Investments 22(4), 2020; 41-58

  • Birth Order and Portfolio Choice

    (author(s): Yosef Bonaparte, Frank J. Fabozzi, David Koskowski)
    Applied Economics 57(7), 2020, 694-709

  • A Complete Model for Pricing CoCo Bonds

    (author(s): Krasimir Milanov, Ognyan Kounchev, Frank J. Fabozzi)
    Journal of Fixed Income 29(3), 2020; 53-67

  • The Market Risk of Corporate Bonds

    (author(s): Marielle de Jong, Frank J. Fabozzi)
    Journal of Portfolio Management 24(2), 2020 (Quantitative Special Issue); 92-105

  • Climate Change and Asset Management

    (author(s): Sergio M. Focardi, Frank J. Fabozzi)
    Journal of Portfolio Management 46(3), 2020 (Ethical Investing Special Issue); 95-107

  • Quantum Option Pricing and Quantum Finance

    (author(s): Sergio Focardi, Frank J. Fabozzi, Davide Mazza)
    Journal of Derivatives 28(1), 2020; 143-159

  • Application of the Merton Model to Estimate the Probability of Breach of Capital Requirements under Basel III

    (author(s): Vincenzo Russo, Valentina Lagasio, Marina Brogi, Frank J. Fabozzi)
    Annals of Finance 16(1), 2020; 141-157

  • Cashing in on Innovation: A Taxonomy of FinTech

    (author(s): Michael Imerman, Frank J Fabozzi)
    Journal of Asset Management 21(3), 2020; 167-177

  • Preparing for Higher Inflation: Portfolio Solutions Using U.S. Equities

    (author(s): Harsh Parikh, Rama Malladi, Frank J. Fabozzi)
    Review of Financial Economics 38(3), 2020; 542-554

Awards and Honors

  • CFA Institute - James R. Vertin Award Recipient (2015)
  • CFA Institute - C. Stewart Sheppard Award Recipient (2007)
  • Inducted into the Fixed Income Analysts Society Hall of Fame (2002)
  • Nova Southeastern University - Honorary Doctorate of Humane Letters Recipient (1994)

Professional Activities

  • Editor - Journal of Portfolio Management
  • Co-Editor (co-founder) - Journal of Financial Data Science
  • Associate Editor - Quantitative Finance
  • Associate Editor - Journal of Fixed Income
  • Consulting Editor - Journal of Structured Finance
  • Editorial Board - Journal of Asset Management
  • Advisory Board - Review of Futures Markets
  • Advisory Board - Journal of Derivatives
  • Honorary Editorial Board - Journal of Mathematical Finance
  • Honorary Editorial Board - Theoretical Economic Letters