Trends in Quantitative Finance

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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 the Massachusetts Institute of Technology. Professor Fabozzi is on the advisory council for the Department of Operations Research and Financial Engineering at Princeton University and has authored and edited numerous books in finance. In 2002, he was inducted into the Fixed Income Analysts Society’s Hall of Fame. Professor Fabozzi holds a doctorate in economics from the City University of New York. Sergio M. Focardi is a founding partner of the Paris-based consulting firm The Intertek Group. Mr. Focardi lectures at the Center for Interdisciplinary Research in Economics and Finance at the University of Genoa (Italy) and is a member of the editorial board of the Journal of Portfolio Management. He has written numerous articles on econophysics and is the coauthor of Modeling the Markets: New Theories and Techniques; Risk Management: Framework, Methods and Practice; The Mathematics of Financial Modeling and Investment Management; and Financial Modeling of the Equity Markets: From CAPM to Cointegration. Mr. Focardi holds a degree in electronic engineering from the University of Genoa and a postgraduate degree in communications from the Galileo Ferraris Electrotechnical Institute, Turin, Italy. Petter N. Kolm is a doctoral student in finance at the School of Management, Yale University, and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies group at Goldman Sachs Asset Management, where his responsibilities included research and development of new quantitative investment strategies for the group’s hedge fund. Dr. Kolm is a member of the editorial board of the Journal of Portfolio Management and is a coauthor of Financial Modeling of the Equity Markets: From CAPM to Cointegration. He holds a doctorate in mathematics from Yale University, an MPhil in applied mathematics from the Royal Institute of Technology in Stockholm, and an MS in mathematics from ETH Zurich.

Contents
Foreword . . . . . . . . . . . . . . . . . . . . . . ....
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