Marco Nicolosi

University of Perugia - Department of Economics

via Pascoli, 20

PG 06123 Perugia, 06123

Italy

SCHOLARLY PAPERS

9

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2,193

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (9)

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 2,020 (7,457)
Citation 1

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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
Nordea Bank | Model Validation, School of Business and Social Sciences, Aarhus University and University of Perugia - Department of Economics
Downloads 68 (347,077)
Citation 1

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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 56 (382,719)

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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 20 (541,373)
Citation 1

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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 16 (565,834)

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

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 University of Perugia - Department of Economics
Downloads 12 (591,650)

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Portfolio optimization, Power utility, Martingale Method, Partial Information

7.

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 (674,918)
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8.

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

9.

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