Stefano Herzel

University of Rome Tor Vergata - Faculty of Economics

Professor

Via Columbia n.2

Rome, rome 00100

Italy

  • University of Rome Tor Vergata - Faculty of Economics

SCHOLARLY PAPERS

11

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TOTAL CITATIONS
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17

Scholarly Papers (11)

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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 Last Revised: 03 Aug 2020
Leonardo Becchetti, Rocco Ciciretti, Stefano Herzel and Ambrogio Dalò
University of Rome Tor Vergata - Faculty of Economics, Tor Vergata University of Rome - Department of Economics and Finance, University of Rome Tor Vergata - Faculty of Economics and University of Groningen - Faculty of Economics and Business
Downloads 902 (55,784)
Citation 11

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

2.

A Reinforcement Learning Algorithm for Trading Commodities

CEIS Working Paper No. 552
Number of pages: 25 Posted: 21 Feb 2023 Last Revised: 27 Nov 2023
Federico Giorgi, Stefano Herzel and Paolo Pigato
University of Rome Tor Vergata - Department of Economics and Finance, University of Rome Tor Vergata - Faculty of Economics and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 323 (196,255)

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Portfolio Optimization, Reinforcement Learning, SARSA, Commodities, Threshold Models

3.

Convex Incentives in Financial Markets: An Agent-Based Analysis

Downloads 204 (311,434)

Convex Incentives in Financial Markets: An Agent-Based Analysis

Number of pages: 29 Posted: 25 Nov 2014 Last Revised: 26 Nov 2014
Annalisa Fabretti, Tommy Garling, Stefano Herzel and Martin Holmen
University of Rome Tor Vergata - Tor Vergata Economics University Foundation, University of Gothenburg, University of Rome Tor Vergata - Faculty of Economics and University of Gothenburg - Department of Economics
Downloads 139 (434,980)

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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
Annalisa Fabretti, Tommy Garling, Stefano Herzel and Martin Holmen
University of Rome Tor Vergata - Tor Vergata Economics University Foundation, University of Gothenburg, University of Rome Tor Vergata - Faculty of Economics and University of Gothenburg - Department of Economics
Downloads 65 (727,151)

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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 164 (378,920)

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Delegated Portfolio Management, ambiguity, robust optimization

5.

A Reinforcement Learning Algorithm For Option Hedging

CEIS Working Paper No. 586
Number of pages: 20 Posted: 17 Dec 2024
Federico Giorgi, Stefano Herzel and Paolo Pigato
University of Rome Tor Vergata - Department of Economics and Finance, University of Rome Tor Vergata - Faculty of Economics and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 126 (475,044)

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Reinforcement Learning, Dynamic Strategies, Risk management

6.

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 123 (478,088)
Citation 3

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

7.

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 101 (553,213)
Citation 2

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socially responsible investments, optimal portfolios, screening

8.

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 65 (714,199)
Citation 1

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Portfolio optimization, Power utility, Martingale Method, Partial Information

9.

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 53 (788,339)

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

10.

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 46 (839,815)

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Portfolio Management, Optimal Control, Learning

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

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