Marco Nicolosi

University of Perugia - Department of Economics

via Pascoli, 20

PG 06123 Perugia, 06123

Italy

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 22,215

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Top 22,215

in Total Papers Downloads

2,098

CITATIONS

4

Scholarly Papers (8)

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 University of Perugia - Department of Economics
Downloads 1,959 (7,360)

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

2.

Expected Shortfall and Portfolio Management in Contagious Markets

Number of pages: 36 Posted: 08 Mar 2018
Alice Buccioli, Thomas Kokholm and Marco Nicolosi
Department of Economics and Business Economics, Aarhus BSS, School of Business and Social Sciences, Aarhus University and University of Perugia - Department of Economics
Downloads 55 (367,592)

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

3.

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, University of Perugia - Department of Economics and University of Neuchatel - Faculty of Economics and Business
Downloads 53 (373,795)
Citation 2

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socially responsible investments, optimal portfolios, screening

4.

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
University of Perugia - Department of Economics
Downloads 17 (532,825)

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Investment Analysis, Portfolio Management, Optimal Control, Convex Incentives

5.

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
University of Perugia - Department of Economics, University of Perugia - Department of Economics and University of Rome Tor Vergata - Faculty of Economics
Downloads 13 (556,281)
Citation 2

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

6.

On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error

Economic Notes, Vol. 39, Issue 3, pp. 203-226, 2010
Number of pages: 24 Posted: 18 Apr 2011
Flavio Angelini and Marco Nicolosi
University of Perugia - Department of Economics and University of Perugia - Department of Economics
Downloads 1 (643,830)
Citation 1
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7.

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 University of Perugia - Department of Economics

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

8.

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
University of Perugia - Department of Economics, Aarhus University - CREATES and University of Perugia - Department of Economics

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