6
H index
4
i10 index
116
Citations
Università degli Studi di Roma "Tor Vergata" | 6 H index 4 i10 index 116 Citations RESEARCH PRODUCTION: 17 Articles 17 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Stefano Herzel. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Decisions in Economics and Finance | 4 |
Annals of Operations Research | 2 |
The European Journal of Finance | 2 |
Computational Management Science | 2 |
Working Papers Series with more than one paper published | # docs |
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Quaderni del Dipartimento di Economia, Finanza e Statistica / Università di Perugia, Dipartimento Economia | 8 |
CEIS Research Paper / Tor Vergata University, CEIS | 3 |
Papers / arXiv.org | 2 |
Year | Title of citing document |
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2021 | An approximate solution for the power utility optimization under predictable returns. (2019). Ivasiuk, Dmytro. In: Papers. RePEc:arx:papers:1911.06552. Full description at Econpapers || Download paper |
2021 | Effect of Labour Income on the Optimal Bankruptcy Problem. (2021). Marazzina, Daniele ; Ding, Guodong. In: Papers. RePEc:arx:papers:2106.15426. Full description at Econpapers || Download paper |
2021 | Persistence 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2021 | Dynamic 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | Does 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. Full description at Econpapers || Download paper |
2021 | ESG 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. Full description at Econpapers || Download paper |
2021 | Do 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. Full description at Econpapers || Download paper |
2022 | Asymmetric 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. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2020 | Sustainable 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. Full description at Econpapers || Download paper |
2020 | Performance 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. Full description at Econpapers || Download paper |
2020 | Does 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. Full description at Econpapers || Download paper |
2021 | Sustainable 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2020 | Idiosyncratic 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. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Sustainable 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. Full description at Econpapers || Download paper |
2021 | Performances 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | The value of knowing the market price of risk In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | The value of knowing the market price of risk.(2021) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2020 | Implicit Incentives for Fund Managers with Partial Information In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Implicit incentives for fund managers with partial information.(2021) In: Computational Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2017 | Portfolio allocation in actively managed funds In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
2010 | Delegated Portfolio Management with Socially Responsible Investment Constraints In: Sustainable Investment and Corporate Governance Working Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Delegated portfolio management with socially responsible investment constraints.(2012) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2010 | The cost of sustainability on optimal portfolio choices In: Sustainable Investment and Corporate Governance Working Papers. [Full Text][Citation analysis] | paper | 10 |
2011 | The cost of sustainability on optimal portfolio choices.(2011) In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2012 | The cost of sustainability in optimal portfolio decisions.(2012) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2017 | An Agent Based Model for a Double Auction with Convex Incentives In: Journal of Artificial Societies and Social Simulation. [Full Text][Citation analysis] | article | 1 |
2005 | Implied Volatilities of Caps: a Gaussian approach. In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 6 |
2012 | Delta Hedging in Discrete Time under Stochastic Interest Rate In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 1 |
2013 | Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 0 |
2007 | Measuring the error of dynamic hedging: a Laplace transform approach In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 11 |
2007 | The IGARCH e®ect: Consequences on volatility forecasting and option trading In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 5 |
2007 | Explicit formulas for the minimal variance hedging strategy in a martingale case In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 7 |
2010 | Explicit formulas for the minimal variance hedging strategy in a martingale case.(2010) In: Decisions in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2009 | Evaluating Discrete Dynamic Strategies in Affine Models In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 6 |
2015 | Evaluating discrete dynamic strategies in affine models.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2014 | Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis In: Working Paper series. [Full Text][Citation analysis] | paper | 34 |
2014 | Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis.(2014) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2015 | Socially responsible and conventional investment funds: performance comparison and the global financial crisis.(2015) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | article | |
2014 | Delegated Portfolio Management under Ambiguity Aversion In: CEIS Research Paper. [Full Text][Citation analysis] | paper | 2 |
2015 | Convex Incentives in Financial Markets: an Agent-Based Analysis In: CEIS Research Paper. [Full Text][Citation analysis] | paper | 0 |
2017 | Convex incentives in financial markets: an agent-based analysis.(2017) In: Decisions in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2018 | Portfolio management with benchmark related incentives under mean reverting processes In: Annals of Operations Research. [Full Text][Citation analysis] | article | 8 |
2019 | Optimal strategies with option compensation under mean reverting returns or volatilities In: Computational Management Science. [Full Text][Citation analysis] | article | 1 |
2000 | Option pricing with stochastic volatility models In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 2 |
2006 | Notes and Comments: An approximation of caplet implied volatilities in Gaussian models In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2002 | Efficient option valuation using trees In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
2005 | Consistent calibration of HJM models to cap implied volatilities In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
2005 | Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics. [Full Text][Citation analysis] | paper | 12 |
1998 | A Simple Model for Option Pricing with Jumping Stochastic Volatility In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 2 |
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