About the Editor
Frank J. Fabozzi is Professor of Finance at EDHEC Business School and a member of the EDHEC Risk Institute. Prior to joining EDHEC in August 2011, he held various professorial positions in finance at Yale University's School of Management from 1994 to 2011 and from 1986 to 1992 was a visiting professor of finance and accounting at MIT's Sloan School of Management. From 2008 to 2011, he was an affiliated professor in the Institute of Statistics, Econometrics, and Mathematical Finance at the University of Karlsruhe in Germany. Prior to 1986 he held professorial positions at Lafayette College, Fordham University, Queens College (CUNY), and Hofstra University. From 2003 to 2011, he served on Princeton University's Advisory Council for the Department of Operations Research and Financial Engineering and since then has been a visiting fellow in that department.
Professor Fabozzi is the editor of the Journal of Portfolio Management, as well as on the editorial board of the Journal of Fixed Income, Journal of Asset Management, Quantitative Finance, Review of Futures Markets, Journal of Mathematical Finance, Journal of Structured Finance, Annals of Financial Economics, and Theoretical Economic Letters.
He has authored and edited a number of books in asset management and quantitative finance. His coauthored books in quantitative finance include A Probability Metrics Approach to Financial Risk Measures (2011), Financial Modeling with Lévy Processes and Volatility Clustering (2011), Quantitative Equity Investing: Techniques and Strategies (2010), Probability and Statistics for Finance (2010), Simulation and Optimization Modeling in Finance (2010), Bayesian Methods in Finance (2008), Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk (2008), Financial Econometrics: From Basics to Advanced Modeling Techniques (2007), Robust Portfolio Optimization and Management (2007), and Mathematics of Financial Modeling and Investment Management (2004). His books in applied mathematics include The Methods of Distances in the Theory of Probability and Statistics (2013) and Robust and Non-Robust Models in Statistics (2009). He coauthored three monographs for the Research Foundation of the CFA Institute: The Impact of the Financial Crisis on the Asset Management Industry (2010), Challenges in Quantitative Equity Management (2008), and Trends in Quantitative Finance (2006).
Professor Fabozzi's research papers have appeared in numerous journals, including Journal of Finance, Journal of Finance and Quantitative Analysis, Econometric Theory, Operations Research}, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Studies in Nonlinear Dynamics and Econometrics, European Journal of Operational Research, Annals of Operations Research, Quantitative Finance, European Financial Management, and The Econometric Journal. His 2010 article published in European Financial Management with Professors Robert Shiller, and Radu Tunaru, ‘Property Derivatives for Managing European Real-Estate Risk,’ received the Best Paper Award and his paper with the same coauthors entitled ‘A Pricing Framework for Real Estate Derivatives’ was awarded Best Research Paper at the 10th Research Conference Campus for Finance held annually at WHU Otto Beisheim School of Management, Vallendar, Germany. An article coauthored with Dr. Sergio Focardi, ‘An Autoregressive Conditional Duration Model of Credit Risk Contagion,’ published in 2005 in Journal of Risk Finance was the winner of the 2006 Outstanding Paper by Emerald Literati Network.
He has received several awards and honors for his body of work. In 1994 he was awarded an Honorary Doctorate of Humane Letters from Nova Southeastern University. In 2002 he was inducted into the Fixed Income Analysts Society's Hall of Fame, established by the society ‘to recognize the lifetime achievements of outstanding practitioners in the advancement of the analysis of fixed-income securities and portfolios.’ In 2007 he was the recipient of the C. Stewart Sheppard Award given by the CFA Institute ‘in recognition of outstanding contribution to continuing education in the CFA profession.’ He was the cover story in the July 1999 issue of Bloomberg Magazine entitled ‘The Boswell of Bonds.’
Professor Fabozzi was the co-founder of Information Management Network (now a subsidiary of Euromoney), a conference company specializing in financial topics. He is a trustee for the BlackRock family of closed-end funds where he is the chair of the performance committee and a member of the audit committee. He was a director of Guardian Mutual Funds and Guardian Annuity Funds.
He earned both an M.A. and B.A. in economics and statistics in June 1970 from the City College of New York and elected to Phi Beta Kappa in 1969. He earned a Ph.D. in Economics in September 1972 from the City University of New York. Professor Fabozzi holds two professional designations: Chartered Financial Analyst (1977) and Certified Public Accountant (1982).