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Trends in Quantitative Finance

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Trends in Quantitative Finance
Frank J. Fabozzi, CFA
Yale University and Journal of Portfolio Management

Sergio M. Focardi The Intertek Group Petter N. Kolm Yale University

Trends in Quantitative Finance

Statement of Purpose
The Research Foundation of CFA Institute is a not-for-profit organization established to promote the development and dissemination of relevant research for investment practitioners worldwide.

The Research Foundation of CFA Institute and the Research Foundation logo are trademarks owned by The Research Foundation of CFA Institute. CFA®, Chartered Financial Analyst®, AIMR-PPS®, and GIPS® are just a few of the trademarks owned by CFA Institute. To view a list of CFA Institute trademarks and a Guide for the Use of CFA Institute Marks, please visit our website at www.cfainstitute.org. © 2006 The Research Foundation of CFA Institute All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of the copyright holder. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold with the understanding that the publisher is not engaged in rendering legal, accounting, or other professional service. If legal advice or other expert assistance is required, the services of a competent professional should be sought. ISBN 978-1-932495-49-2 Printed in the United States of America 21 April 2006
Editorial Staff Elizabeth A. Collins Book Editor David L. Hess Assistant Editor Kara H. Morris Production Manager

Lois Carrier Production Specialist

Biographies
Frank J. Fabozzi, CFA, CPA, is adjunct professor of finance and Becton Fellow in the School of Management at Yale University and editor of the Journal of Portfolio Management. Prior to joining the Yale faculty, he was a visiting professor of finance in the Sloan School at


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