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Active management of socially responsible portfolios

Fabretti, Annalisa; Herzel, Stefano - In: Entrepreneurship, finance, governance and ethics, (pp. 213-236). 2013

Persistent link: https://www.econbiz.de/10009719084

Delegated Portfolio Management under Ambiguity Aversion

Fabretti, Annalisa - 2015

We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity-robust portfolio choices with respect to estimation errors in expected returns. We consider a one-period model with a set of risky assets (with multivariate normal...

Persistent link: https://www.econbiz.de/10013034240

Equilibrium in an ambiguity-averse mean-variance investors market

Pınar, Mustafa Ç. - In: European journal of operational research : EJOR 237 (2014) 3, pp. 957-965

Persistent link: https://www.econbiz.de/10010384652

Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

Paç, A. Burak; Pınar, Mustafa Ç. - In: Top : transactions in operations research 22 (2014) 3, pp. 875-891

Persistent link: https://www.econbiz.de/10010437113

On robust portfolio and naïve diversification : mixing ambiguous and unambiguous assets

Paç, A. Burak; Pınar, Mustafa Ç. - In: Analytical models for financial modeling and risk management, (pp. 223-253). 2018

Persistent link: https://www.econbiz.de/10011897175

A reinforcement learning algorithm for option hedging

Giorgi, Federico; Herzel, Stefano; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de/10015326213

A socially responsible portfolio selection strategy

Herzel, Stefano; Nicolosi, Marco - In: Entrepreneurship, finance, governance and ethics, (pp. 237-252). 2013

Persistent link: https://www.econbiz.de/10009719082

The cost of sustainability in optimal portfolio decisions

Herzel, Stefano; Nicolosi, Marco; Starica, Catalin - In: The European journal of finance 18 (2012) 3/4, pp. 333-349

Persistent link: https://www.econbiz.de/10009667520

Delegated portfolio management with socially responsible investment contraints

Fabretti, A.; Herzel, Stefano - In: The European journal of finance 18 (2012) 3/4, pp. 293-309

Persistent link: https://www.econbiz.de/10009667526

Optimal strategies with option compensation under mean reverting returns or volatilities

Herzel, Stefano; Nicolosi, Marco - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 47-69

Persistent link: https://www.econbiz.de/10011993415