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1、FrankJ.Fabozzi,CFAYaleUniversityandJournalofPortfolioManagementSergioM.FocardiTheIntertekGroupPetterN.KolmYaleUniversityTrendsinQuantitativeFinanceStatementofPurposeTheResearchFoundationofCFAInstituteisanot-for-profitorganizationestablishedtopromotethedevelopmentanddisseminationofre
2、levantresearchforinvestmentpractitionersworldwide.TheResearchFoundationofCFAInstituteandtheResearchFoundationlogoaretrademarksownedbyTheResearchFoundationofCFAInstitute.CFA®,CharteredFinancialAnalyst®,AIMR-PPS®,andGIPS®arejustafewofthetrademarksownedbyCFAInstitute.ToviewalistofCFAIn
3、stitutetrademarksandaGuidefortheUseofCFAInstituteMarks,pleasevisitourwebsiteatwww.cfainstitute.org.©2006TheResearchFoundationofCFAInstituteAllrightsreserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmitted,inanyformorbyanymeans,electronic,mechanical,phot
4、ocopying,recording,orotherwise,withoutthepriorwrittenpermissionofthecopyrightholder.Thispublicationisdesignedtoprovideaccurateandauthoritativeinformationinregardtothesubjectmattercovered.Itissoldwiththeunderstandingthatthepublisherisnotengagedinrenderinglegal,accounting,orotherprofe
5、ssionalservice.Iflegaladviceorotherexpertassistanceisrequired,theservicesofacompetentprofessionalshouldbesought.ISBN978-1-932495-49-2PrintedintheUnitedStatesofAmerica21April2006EditorialStaffElizabethA.CollinsBookEditorDavidL.HessKaraH.MorrisAssistantEditorProductionManagerLoisCarri
6、erProductionSpecialistBiographiesFrankJ.Fabozzi,CFA,CPA,isadjunctprofessoroffinanceandBectonFellowintheSchoolofManagementatYaleUniversityandeditoroftheJournalofPortfolioManagement.PriortojoiningtheYalefaculty,hewasavisitingprofessoroffinanceintheSloanSchoolattheMassachusettsInstitut
7、eofTechnology.ProfessorFabozziisontheadvisorycouncilfortheDepartmentofOperationsResearchandFinancialEngineeringatPrincetonUniversityandhasauthoredandeditednumerousbooksinfinance.In2002,hewasinductedintotheFixedIncomeAnalystsSociety’sHallofFame.ProfessorFabozziholdsadoctorateineconom
8、icsfromtheCityUnive