Marco Nicolosi

Link Campus University

Associate Professor

Via del Casale di San Pio V, 44

Rome, Rome 00165

Italy

  • Link Campus University

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 25,050

SSRN RANKINGS

Top 25,050

in Total Papers Downloads

3,595

SSRN CITATIONS
Rank 33,087

SSRN RANKINGS

Top 33,087

in Total Papers Citations

25

CROSSREF CITATIONS

4

Scholarly Papers (12)

Actions:
Email selected abstracts
1.

Dynamic Portfolio Management with Views at Multiple Horizons

Applied Mathematics and Computation, Volume 274, 1 February 2016, Pages 495-518
Number of pages: 33 Posted: 24 Mar 2015 Last Revised: 10 Dec 2017
Attilio Meucci and Marco Nicolosi
ARPM - Advanced Risk and Portfolio Management and Link Campus University
Downloads 2,391 (10,625)
Citation 1

Abstract:

Loading...

dynamic strategies, discretionary allocation, mean-reversion, multivariate Ornstein-Uhleneck, Kullback Leibler divergence, relative entropy, optimal policy, dynamic programming, calculus of variations

2.

ESG Investing: A Chance To Reduce Systemic Risk

CEIS Working Paper No. 498
Number of pages: 25 Posted: 25 Jun 2020 Last Revised: 04 Aug 2022
Roy Cerqueti, Rocco Ciciretti, Ambrogio Dalò and Marco Nicolosi
University Sapienza Rome, Tor Vergata University of Rome - Department of Economics and Finance, University of Groningen - Faculty of Economics and Business and Link Campus University
Downloads 681 (67,106)
Citation 15

Abstract:

Loading...

ESG investing, Systemic Risk, Market Impact, Network, Indirect Contagion

3.

The Resilience of the Socially Responsible Investment Networks

CEIS Working Paper No. 495
Number of pages: 24 Posted: 25 Jun 2020 Last Revised: 05 Aug 2020
Roy Cerqueti, Rocco Ciciretti, Ambrogio Dalò and Marco Nicolosi
University Sapienza Rome, Tor Vergata University of Rome - Department of Economics and Finance, University of Groningen - Faculty of Economics and Business and Link Campus University
Downloads 154 (326,808)
Citation 1

Abstract:

Loading...

Socially Responsible Investments, ESG criteria, Investment Funds, Financial networks, Resilience.

4.

Expected Shortfall and Portfolio Management in Contagious Markets

Number of pages: 36 Posted: 08 Mar 2018
Alice Buccioli, Thomas Kokholm and Marco Nicolosi
Deloitte | Risk Advisory, Financial Risk Management, School of Business and Social Sciences, Aarhus University and Link Campus University
Downloads 98 (458,332)
Citation 2

Abstract:

Loading...

Hawkes Process, Contagion, Expected Shortfall, Back-Testing, Portfolio Management

5.

The Cost of Sustainability in Optimal Portfolio Decisions

The European Journal of Finance (2012), 18:3-4, 333-349
Number of pages: 32 Posted: 19 Aug 2014
Stefano Herzel, Marco Nicolosi and Catalin Starica
University of Rome Tor Vergata - Faculty of Economics, Link Campus University and University of Neuchatel - Faculty of Economics and Business
Downloads 78 (527,803)
Citation 2

Abstract:

Loading...

socially responsible investments, optimal portfolios, screening

6.

The Value of Knowing the Market Price of Risk

Number of pages: 34 Posted: 27 Sep 2019
Katia Colaneri, Stefano Herzel and Marco Nicolosi
University of Rome Tor Vergata, Department of Economics and Finance, University of Rome Tor Vergata - Faculty of Economics and Link Campus University
Downloads 46 (684,289)
Citation 1

Abstract:

Loading...

Portfolio optimization, Power utility, Martingale Method, Partial Information

7.

On the Relationship Between Financial and Sustainable Variables: Insights From Graphical Gaussian Model

Number of pages: 26 Posted: 04 Jan 2023 Last Revised: 09 Jan 2023
Carmine Da Fermo, Paola Musile Tanzi, Marco Nicolosi and Elena Stanghellini
affiliation not provided to SSRN, SDA Bocconi, Link Campus University and University of Perugia - Department of Economics
Downloads 44 (696,894)

Abstract:

Loading...

Sustainability, Graphical Gaussian Model, Partial Correlation, ESG Disclosure

8.

Optimal Strategy for a Fund Manager with Option Compensation

Nicolosi, M. Decisions Econ Finan., 2017, DOI: 10.1007/s10203-017-0204-x
Number of pages: 22 Posted: 03 Oct 2017 Last Revised: 10 Dec 2017
Marco Nicolosi
Link Campus University
Downloads 36 (751,343)
Citation 1

Abstract:

Loading...

Investment Analysis, Portfolio Management, Optimal Control, Convex Incentives

9.

Implicit Incentives for Fund Managers with Partial Information

Number of pages: 19 Posted: 08 Jan 2021
Katia Colaneri, Flavio Angelini, Stefano Herzel and Marco Nicolosi
University of Rome Tor Vergata, Department of Economics and Finance, University of Perugia - Department of Economics, University of Rome Tor Vergata - Faculty of Economics and Link Campus University
Downloads 34 (766,114)

Abstract:

Loading...

Portfolio Management, Optimal Control, Learning

10.

Portfolio Management with Benchmark Related Incentives Under Mean Reverting Processes

Nicolosi, M., Angelini, F. & Herzel, S. Ann Oper Res (2017). doi/10.1007/s10479-017-2535-y
Number of pages: 32 Posted: 12 Dec 2017
Marco Nicolosi, Flavio Angelini and Stefano Herzel
Link Campus University, University of Perugia - Department of Economics and University of Rome Tor Vergata - Faculty of Economics
Downloads 33 (773,757)

Abstract:

Loading...

Investment Analysis, Portfolio Management, Optimal Control, Mean Reverting Processes, Fourier Transform

11.

Optimal Strategies with Option Compensation Under Mean Reverting Returns or Volatilities

Computational Management Science, pp 1-23, December (2017)
Posted: 10 Jan 2018
Stefano Herzel and Marco Nicolosi
University of Rome Tor Vergata - Faculty of Economics and Link Campus University

Abstract:

Loading...

Investment Analysis, Portfolio Management, Convex incentives, Optimal Control, Fourier transform, Mean reverting processes

12.

Item Response Models to Measure Corporate Social Responsibility

Applied Financial Economics, 2014
Posted: 21 Aug 2014 Last Revised: 29 Aug 2014
Marco Nicolosi, Stefano Grassi and Elena Stanghellini
Link Campus University, Aarhus University - CREATES and University of Perugia - Department of Economics

Abstract:

Loading...

Item Response Theory, Latent Variable Models, Portfolio management, Ranking, Socially Responsible Investment