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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

Modelling the default risk in large credit portfolios

Acciaio, Beatrice; Herzel, Stefano - In: International journal of risk assessment and management … 14 (2010) 6, pp. 479-503

Persistent link: https://www.econbiz.de/10008821816

Consistent calibration of HJM models to cap implied volatilities

Angelini, Flavio; Herzel, Stefano - In: The journal of futures markets 25 (2005) 11, pp. 1093-1120

Persistent link: https://www.econbiz.de/10003222761

An approximation of caplet implied volatilities in Gaussian models

Angelini, Flavio; Herzel, Stefano - In: Decisions in economics and finance : DEF ; a journal of … 28 (2005) 2, pp. 113-127

Persistent link: https://www.econbiz.de/10003231310

Socially responsible and conventional investment funds : performance comparison and the global financial crisis

Becchetti, Leonardo; Ciciretti, Rocco; Dalò, Ambrogio; … - In: Applied economics 47 (2015) 25/27, pp. 2541-2562

Persistent link: https://www.econbiz.de/10010519660

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

Portfolio management with benchmark related incentives under mean reverting processes

Nicolosi, Marco; Angelini, Flavio; Herzel, Stefano - In: Analytical models for financial modeling and risk management, (pp. 373-394). 2018

Persistent link: https://www.econbiz.de/10011897191

The Value of Knowing the Market Price of Risk

Colaneri, Katia - 2019

This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We solve the problem in continuous time, for an investor with a Constant Relative Risk Aversion (CRRA) utility, under...

Persistent link: https://www.econbiz.de/10012862680

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