Stefano Herzel

University of Rome Tor Vergata - Faculty of Economics

Professor

Via Columbia n.2

Rome, rome 00100

Italy

SCHOLARLY PAPERS

8

DOWNLOADS

751

SSRN CITATIONS

0

CROSSREF CITATIONS

9

Scholarly Papers (8)

1.

Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis

CEIS Working Paper No. 310
Number of pages: 27 Posted: 20 Feb 2014
University of Rome Tor Vergata - Faculty of Economics, Tor Vergata University of Rome - Department of Economics and Finance, University of Rome Tor Vergata - Department of Economics and Finance and University of Rome Tor Vergata - Faculty of Economics
Downloads 444 (64,771)
Citation 3

Abstract:

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Socially Responsible Investment Fund, Jensen's Alpha; Global Financial Crisis

2.

A Non-Stationary Paradigm for the Dynamics of Multivariate Financial Returns

Number of pages: 40 Posted: 24 Feb 2006
Stefano Herzel, Catalin Starica and Reha Tutuncu
University of Rome Tor Vergata - Faculty of Economics, University of Neuchatel - Faculty of Economics and Business and AQR Capital Management, LLC
Downloads 87 (292,426)
Citation 3

Abstract:

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stock returns, volatility, sample autocorrelation, long range dependence, non-parametric regression, kernel estimator, distributional forecast, heavy tails

Convex Incentives in Financial Markets: An Agent-Based Analysis

Number of pages: 29 Posted: 25 Nov 2014 Last Revised: 26 Nov 2014
University of Rome Tor Vergata - Tor Vergata Economics University Foundation, Göteborg University, University of Rome Tor Vergata - Faculty of Economics and University of Gothenburg - Department of Economics
Downloads 39 (441,571)

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incentives, market instability, agent-based simulations

Convex Incentives in Financial Markets: An Agent-Based Analysis

CEIS Working Paper No. 337
Number of pages: 32 Posted: 09 Apr 2015
University of Rome Tor Vergata - Tor Vergata Economics University Foundation, Göteborg University, University of Rome Tor Vergata - Faculty of Economics and University of Gothenburg - Department of Economics
Downloads 37 (450,327)

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incentives, market instability, agent-based simulations.

4.

Delegated Portfolio Management under Ambiguity Aversion

CEIS Working Paper No. 304
Number of pages: 27 Posted: 08 Feb 2014 Last Revised: 17 Feb 2015
Annalisa Fabretti, Stefano Herzel and Mustafa Pinar
University of Rome Tor Vergata - Tor Vergata Economics University Foundation, University of Rome Tor Vergata - Faculty of Economics and Bilkent University - Department of Industrial Engineering
Downloads 66 (342,642)

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Delegated Portfolio Management, ambiguity, robust optimization

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, University of Perugia - Department of Economics and University of Neuchatel - Faculty of Economics and Business
Downloads 55 (375,242)

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socially responsible investments, optimal portfolios, screening

6.

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 15 (555,993)

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

7.

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 8 (600,372)

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Portfolio optimization, Power utility, Martingale Method, Partial Information

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