Frank-Fabozzi

Frank Fabozzi, PhD

Professor of Practice
Academic AreaFinance

Prior to joining the faculty of the Carey Business School, Frank taught at Yale, MIT, Princeton, and EDHEC Business School. A CFA and CPA,  professional designations. He is the editor of The Journal of Portfolio Management, The Journal of Financial Data Science, and Annals of Operations Research. Frank has authored over 150 books. In 2025, he authored the following books: Networks in Finance (Wiley), The Economics of FinTech (MIT Press) Capital Markets (MIT Press), Introduction to Fixed Income Analysis and Portfolio Management (MIT Press), Simulation, Optimization, and Machine Learning  for Finance (MIT Press). In 2025, he edited Derivatives Applications in Asset Management: From Theory to Practice (Palgrave Macmillan) and is the editor the popular industry reference book  Handbook of Fixed Income Securities. His articles have appeared in the Journal of Finance, Journal of Financial and Quantitative Analysis, Econometric Theory, Journal of Banking & Finance, Review of Finance, Operations Research,  Journal of Economic Perspectives, and Econometrics Journal. Recognized as one of the top 1.3% most cited scientists globally out of approximately 6.5 million researchers worldwide, he has coauthored works with four Nobel Laureates in Economics (Harry Markowitz, Franco Modigliani, Robert Shiller, and Robert Engle).

Education

  • PhD, Economics, Graduate Center of the City University of New York
  • MA,Economics,  City College of New York
  • BA, Economics, City College of New York

Research

Selected publications 

  • Abdolreza Nazemi and Frank J. Fabozzi, “Macroeconomic Variable Selection for Creditor Recovery Rates” Journal of Banking & Finance, Vol. 89, April 2018, pp. 14-25.
  • Jeroen Jansen, Sanjiv R. Das, and Frank J. Fabozzi, “Local Volatility and the Recovery Rate of Corporate Bonds,” Journal of Economic Dynamics and Control, 92 (July 2018), pp. 1-29.
  • Vygantas Paulauskas, Svetlozar Rachev, and Frank J. Fabozzi, “Comment on ‘Weak Convergence to a Matrix Stochastic Integral with Stable Processes’.”  Econometric Theory  27 (2011),  pp. 907-911.
  • John Mulvey, Koray Simsek, Zhoujuan Zhang, Frank J. Fabozzi, and Bill Pauling, “Assisting Underfunded U.S. Pension Plans.” Operations Research, Vol. 56 (September-October 2008), pp. 1066-1078.
  • Ren-Raw Chen, Xiaolin Cheng, Frank J. Fabozzi and Bo Liu, "An Explicit, Multi Factor Credit Default Swap Pricing Model with Correlated Factors.” Journal of Financial and Quantitative Analysis, Vol. 43, No. 1 (March 2008), pp. 123-160.

Working papers

  • Frank J. Fabozzi, Robert J. Shiller, and Radu Tunaru, “On The Discount Rate Linking Pre-Paid Forward Prices To Spot House Prices In The Real-Estate Market”
  • Marcos Lopez de Prado, Joseph Simonian, Francesco A. Fabozzi, and Frank J. Fabozzi, Enhancing Markowitz's Portfolio Selection Paradigm with Machine Learning”

Teaching

Current

  • Derivatives
  • Investments
  • Corporate Finance
  • Advanced Portfolio Management
  • Entrepreneurial Finance 

Honors and distinctions

  • Recipient of the 2015 James R. Vertin Award given by the CFA Institute
  • Recipient of the 2007 C. Stewart Sheppard Award given by the CFA Institute
  • Inducted into the Fixed Income Analysts Society Hall of Fame
  • Honorary Doctorate of Humane Letters, Nova Southeastern University
  • Honorary Adjunct Professor in the Department of Mathematics and Statistics, Texas Tech University

Impact and engagement

  • Conversations with Frank Fabozzi, sponsored by the CFA Institute
  • Board of Directors/Trustees, BlackRock Fixed Income Complex
  • Board of Directors, BlackRock BCIA Funds Board
  • Conversations with Frank Fabozzi, sponsored by Portfolio Management Research, (https://www.pm-research.com/conversationswith)

In the media

Research cited in

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