Stefano Herzel : Citation Profile


Are you Stefano Herzel?

Università degli Studi di Roma "Tor Vergata"

6

H index

4

i10 index

119

Citations

RESEARCH PRODUCTION:

17

Articles

17

Papers

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 5
   Journals where Stefano Herzel has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 9 (7.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phe192
   Updated: 2022-06-22    RAS profile: 2022-03-23    
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Relations with other researchers


Works with:

nicolosi, marco (6)

fabretti, annalisa (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stefano Herzel.

Is cited by:

nicolosi, marco (9)

Salustri, Francesco (7)

Becchetti, Leonardo (7)

Pompei, Fabrizio (6)

Venturini, Francesco (6)

Pieri, Fabio (5)

Castellani, Davide (5)

Corneo, Giacomo (3)

Reboredo, Juan (3)

Lahiani, Amine (3)

Goutte, Stéphane (3)

Cites to:

nicolosi, marco (7)

Basak, Suleyman (5)

Pavlova, Anna (5)

Duffie, Darrell (4)

Wachter, Jessica (3)

Kaniel, Ron (3)

merton, robert (3)

Chevalier, Judith (3)

Ellison, Glenn (3)

Stein, Jeremy (3)

Allen, Franklin (2)

Main data


Where Stefano Herzel has published?


Journals with more than one article published# docs
Decisions in Economics and Finance4
Computational Management Science2
Annals of Operations Research2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
Quaderni del Dipartimento di Economia, Finanza e Statistica / Universit di Perugia, Dipartimento Economia8
CEIS Research Paper / Tor Vergata University, CEIS3
Papers / arXiv.org2

Recent works citing Stefano Herzel (2021 and 2020)


YearTitle of citing document
2021An approximate solution for the power utility optimization under predictable returns. (2019). Ivasiuk, Dmytro. In: Papers. RePEc:arx:papers:1911.06552.

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2021Effect of Labour Income on the Optimal Bankruptcy Problem. (2021). Marazzina, Daniele ; Ding, Guodong. In: Papers. RePEc:arx:papers:2106.15426.

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2021Persistence in ESG and Conventional Stock Market Indices. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Makarenko, Inna ; Plastun, Alex. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9098.

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2020The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis. (2020). Sherif, Mohamed. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303300.

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2021Dynamic portfolio strategy by loss-averse fund managers facing performance-induced fund flows. (2021). Bian, Yun ; Xu, SI ; Sheng, Jiliang ; Yang, Jun. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302520.

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2021A model of delegation with a VaR constraint. (2021). Qiu, Zhigang ; Wang, Hefei ; Li, AO ; Jiang, Ying ; Guo, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317098.

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2021Does responsible investing pay during economic downturns: Evidence from the COVID-19 pandemic. (2021). Nakai, Miwa ; Roca, Eduardo ; Omura, Akihiro. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317281.

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2021ESG investing: A chance to reduce systemic risk. (2021). Nicolosi, Marco ; Dalo, Ambrogio ; Ciciretti, Rocco ; Cerqueti, Roy. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000474.

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2021Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey. (2021). Karan, Mehmet Baha ; Arslan-Ayaydin, Ozgur ; Pirgaip, Burak. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028319303151.

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2022Asymmetric multifractal behaviour and network connectedness between socially responsible stocks and international oil before and during COVID-19. (2022). Vo, Xuan Vinh ; Ahmad, Nasir ; Ur, Mobeen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007627.

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2020.

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2020Sustainable Funds’ Performance Evaluation. (2020). Merkyte, Justina ; Teresiene, Deimante ; Han, Yan ; Yue, Xiao-Guang ; Liu, Wei. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:19:p:8034-:d:421326.

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2020Performance and Resilience of Socially Responsible Investing (SRI) and Conventional Funds during Different Shocks in 2016: Evidence from Japan. (2020). Shimada, Koji ; Arefeen, Saiful. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:2:p:540-:d:307507.

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2020Does the Asset Allocation Policy Affect the Performance of Climate-Themed Funds? Empirical Evidence from the Scandinavian Mutual Funds Market. (2020). Ilczuk, Daria ; Mosionek-Schweda, Magdalena ; Dopieraa, Ukasz. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:2:p:654-:d:309344.

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2021Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis. (2021). Pisani, Fabio ; Russo, Giorgia. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:23:p:13253-:d:691546.

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2021The Impact of COVID-19 Lockdowns on Sustainable Indexes. (2021). de Palma, Leonardo ; Vento, Gianfranco ; Chiappini, Helen. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:4:p:1846-:d:495836.

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2022Mitigating Contagion Risk by ESG Investing. (2022). Nicolosi, Marco ; Dalo, Ambrogio ; Ciciretti, Rocco ; Cerqueti, Roy. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:7:p:3805-:d:777967.

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2020Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility. (2020). Despoudi, Stella ; Sivarajah, Uthayasankar ; Lee, Habin ; Bozhkov, Stanislav ; Nandy, Monomita. In: Annals of Operations Research. RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-018-2846-7.

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2021Optimal investment strategies with a minimum performance constraint. (2021). Mastrogiacomo, Elisa ; Marazzina, Daniele ; Barucci, Emilio. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03348-2.

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2021The level of sustainability and mutual fund performance in Europe: An empirical analysis using ESG ratings. (2021). Ferrari, Pierpaolo ; Basile, Ignazio ; Abate, Guido. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:28:y:2021:i:5:p:1446-1455.

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2021Sustainable disclosure versus ESG intensity: Is there a cross effect between holding and SRI funds?. (2021). Ferri, Giovanni ; Intonti, Mariantonietta ; D'Apice, Vincenzo. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:28:y:2021:i:5:p:1496-1510.

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2021Performances and risk of socially responsible investments across regions during crisis. (2021). Pizzutilo, Fabio ; Lean, Hooi Hooi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3556-3568.

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Works by Stefano Herzel:


YearTitleTypeCited
2019The value of knowing the market price of risk In: Papers.
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paper0
2021The value of knowing the market price of risk.(2021) In: Annals of Operations Research.
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article
2020Implicit Incentives for Fund Managers with Partial Information In: Papers.
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2021Implicit incentives for fund managers with partial information.(2021) In: Computational Management Science.
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article
2017Portfolio allocation in actively managed funds In: Economics Bulletin.
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article1
2010Delegated Portfolio Management with Socially Responsible Investment Constraints In: Sustainable Investment and Corporate Governance Working Papers.
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paper2
2012Delegated portfolio management with socially responsible investment constraints.(2012) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 2
article
2010The cost of sustainability on optimal portfolio choices In: Sustainable Investment and Corporate Governance Working Papers.
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paper11
2011The cost of sustainability on optimal portfolio choices.(2011) In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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This paper has another version. Agregated cites: 11
paper
2012The cost of sustainability in optimal portfolio decisions.(2012) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 11
article
2017An Agent Based Model for a Double Auction with Convex Incentives In: Journal of Artificial Societies and Social Simulation.
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article1
2005Implied Volatilities of Caps: a Gaussian approach. In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper6
2012Delta Hedging in Discrete Time under Stochastic Interest Rate In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper1
2013Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper0
2007Measuring the error of dynamic hedging: a Laplace transform approach In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper11
2007The IGARCH e®ect: Consequences on volatility forecasting and option trading In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper5
2007Explicit formulas for the minimal variance hedging strategy in a martingale case In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper7
2010Explicit formulas for the minimal variance hedging strategy in a martingale case.(2010) In: Decisions in Economics and Finance.
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This paper has another version. Agregated cites: 7
article
2009Evaluating Discrete Dynamic Strategies in Affine Models In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper6
2015Evaluating discrete dynamic strategies in affine models.(2015) In: Quantitative Finance.
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This paper has another version. Agregated cites: 6
article
2014Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis In: Working Paper series.
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paper36
2014Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis.(2014) In: CEIS Research Paper.
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This paper has another version. Agregated cites: 36
paper
2015Socially responsible and conventional investment funds: performance comparison and the global financial crisis.(2015) In: Applied Economics.
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This paper has another version. Agregated cites: 36
article
2014Delegated Portfolio Management under Ambiguity Aversion In: CEIS Research Paper.
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paper2
2015Convex Incentives in Financial Markets: an Agent-Based Analysis In: CEIS Research Paper.
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paper0
2017Convex incentives in financial markets: an agent-based analysis.(2017) In: Decisions in Economics and Finance.
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This paper has another version. Agregated cites: 0
article
2018Portfolio management with benchmark related incentives under mean reverting processes In: Annals of Operations Research.
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article8
2019Optimal strategies with option compensation under mean reverting returns or volatilities In: Computational Management Science.
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article1
2000Option pricing with stochastic volatility models In: Decisions in Economics and Finance.
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article2
2006Notes and Comments: An approximation of caplet implied volatilities in Gaussian models In: Decisions in Economics and Finance.
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article0
2002Efficient option valuation using trees In: Applied Mathematical Finance.
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article0
2005Consistent calibration of HJM models to cap implied volatilities In: Journal of Futures Markets.
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article5
2005Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics.
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1998A Simple Model for Option Pricing with Jumping Stochastic Volatility In: International Journal of Theoretical and Applied Finance (IJTAF).
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article2

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