Stefano Herzel : Citation Profile

Università degli Studi di Roma "Tor Vergata"

7

H index

5

i10 index

166

Citations

RESEARCH PRODUCTION:

17

Articles

17

Papers

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 7
   Journals where Stefano Herzel has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 10 (5.68 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phe192
   Updated: 2026-01-17    RAS profile: 2022-03-23    
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Relations with other researchers

Works with:

nicolosi, marco (3)

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 (10)

Becchetti, Leonardo (8)

Salustri, Francesco (8)

Venturini, Francesco (6)

Pompei, Fabrizio (6)

Pieri, Fabio (5)

Castellani, Davide (5)

Pizzutilo, Fabio (3)

Goutte, Stéphane (3)

Reboredo, Juan (3)

Xu, Ke-Li (3)

Cites to:

nicolosi, marco (7)

Pavlova, Anna (5)

Basak, Suleyman (5)

Wachter, Jessica (4)

Duffie, Darrell (4)

Kaniel, Ron (3)

Kirchler, Michael (3)

Stein, Jeremy (3)

French, Kenneth (3)

Ellison, Glenn (3)

merton, robert (3)

Main data

Where Stefano Herzel has published?

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

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 (2025 and 2024)

YearTitle of citing document
2024Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift. (2024). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2205.08614.

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2024Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift. (2024). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2301.06847.

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2024Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results. (2024). Wunderlich, Ralf ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2308.02049.

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2024The geometry of multi-curve interest rate models. (2024). Lanaro, Giacomo ; Fontana, Claudio ; Murgoci, Agatha. In: Papers. RePEc:arx:papers:2401.11619.

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2024Mean-Variance Environmental Investment Optimization of Bulgarian Private Pension Funds. (2024). Kirov, Stoyan ; Beneva, Milena. In: Economic Studies journal. RePEc:bas:econst:y:2024:i:6:p:88-112.

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2024Sustainable finance disclosure regulation insights: Unveiling socially responsible funds performance during COVID‐19 pandemic and Russia–Ukraine war. (2024). Rimo, Giuseppe ; Gentile, Vincenzo ; Cosma, Simona ; Cucurachi, Paolo. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:4:p:3242-3257.

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2024Impact of ESG preferences on investments and emissions in a DSGE framework. (2024). Bian, Yuxiang ; Xiong, Xiong ; Wang, Ren. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000877.

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2025The role of ESG factor in stock clustering based on risk-return-liquidity dimensions. (2025). Horváth, Matúš ; Staek, Daniel ; Horvth, Mat ; Gynyr, Lucie Stank ; Stacho, Martin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002754.

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2024Across-time risk-aware strategies for outperforming a benchmark. (2024). Li, Yuying ; van Staden, Pieter M ; Forsyth, Peter A. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:776-800.

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2024ESG investment preference and fund vulnerability. (2024). Wang, HU. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005185.

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2024Why do life insurers hold sin bonds? Evidence from investment delegation. (2024). Wang, Shuai ; Brisker, Eric. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013375.

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2024Social responsibility and bank resiliency. (2024). Iannino, Maria Chiara ; Gehrig, Thomas ; Unger, Stephan. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000918.

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2024ESG integration in portfolio selection: A robust preference-based multicriteria approach. (2024). Tardella, Fabio ; Pla-Santamaria, David ; Garcia-Bernabeu, Ana ; Hilario-Caballero, Adolfo. In: Operations Research Perspectives. RePEc:eee:oprepe:v:12:y:2024:i:c:s2214716024000095.

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2025Resilience or returns: Assessing green equity index performance across market regimes. (2025). Thuy, An Thi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024008232.

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2024The impact of ESG on the default risk of family firms: International evidence. (2024). Arias, Jose T ; Espinosa-Mendez, Christian ; Maquieira, Carlos P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002623.

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2024Socially responsible investments: doing good while doing well in developed versus emerging markets?. (2024). Frömmel, Michael ; Frommel, Michael ; Lestari, Jenjang Sri. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000217.

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2024Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of E–S–G pillars. (2024). Horváth, Matúš ; Horvath, Matu ; Gyonyor, Lucie Stank. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000229.

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2025Comparing the resilience of socially responsible and SIN investment during the COVID-19 pandemic. (2025). Corbet, Shaen ; Meehan, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003301.

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2024Environmental-, Social-, and Governance-Oriented Pension Funds for Young Contributors: A Win–Win Option. (2024). Ielasi, Federica ; Colivicchi, Ilaria ; Bova, Demetrio Miloslavo ; Bocchialini, Elisa. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:24:p:10874-:d:1541963.

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2024Probabilities of transitions among endogenous regimes in asset returns and Environmental, Social and Governance scores. (2024). Nicolosi, Marco ; da Fermo, Carmine ; Cerqueti, Roy. In: Post-Print. RePEc:hal:journl:hal-05114157.

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2024A Reinforcement Learning Algorithm For Option Hedging. (2024). Pigato, Paolo ; Herzel, Stefano ; Giorgi, Federico. In: CEIS Research Paper. RePEc:rtv:ceisrp:586.

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2024Anticipative information in a Brownian−Poisson market. (2024). Salmeron, Jose A ; Dauria, Bernardo. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05060-0.

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2024Effect of labour income on the optimal bankruptcy problem. (2024). Ding, Guodong ; Marazzina, Daniele. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05166-z.

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2024Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift. (2024). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Annals of Operations Research. RePEc:spr:annopr:v:341:y:2024:i:2:d:10.1007_s10479-024-06172-5.

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2025The trade-off frontier for ESG and Sharpe ratio: a bootstrapped double-frontier data envelopment analysis. (2025). Boubaker, Sabri ; Manita, Riadh ; Ngo, Thanh. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05506-z.

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2024Assessing risk profiles of ESG portfolios in global financial markets. (2024). Roy, Vishal ; Jaiswal, Twinkle ; Gautam, Amit. In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:51:y:2024:i:2:d:10.1007_s40622-024-00388-x.

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Works by Stefano Herzel:

YearTitleTypeCited
2019The value of knowing the market price of risk In: Papers.
[Full Text][Citation analysis]		paper6
2021The value of knowing the market price of risk.(2021) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2020Implicit Incentives for Fund Managers with Partial Information In: Papers.
[Full Text][Citation analysis]		paper0
2021Implicit incentives for fund managers with partial information.(2021) In: Computational Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2017Portfolio allocation in actively managed funds In: Economics Bulletin.
[Full Text][Citation analysis]		article1
2010Delegated Portfolio Management with Socially Responsible Investment Constraints In: Sustainable Investment and Corporate Governance Working Papers.
[Full Text][Citation analysis]		paper3
2012Delegated portfolio management with socially responsible investment constraints.(2012) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2010The cost of sustainability on optimal portfolio choices In: Sustainable Investment and Corporate Governance Working Papers.
[Full Text][Citation analysis]		paper16
2011The cost of sustainability on optimal portfolio choices.(2011) In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2012The cost of sustainability in optimal portfolio decisions.(2012) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2017An Agent Based Model for a Double Auction with Convex Incentives In: Journal of Artificial Societies and Social Simulation.
[Full Text][Citation analysis]		article2
2005Implied Volatilities of Caps: a Gaussian approach. In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]		paper6
2012Delta Hedging in Discrete Time under Stochastic Interest Rate In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]		paper1
2013Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]		paper0
2007Measuring the error of dynamic hedging: a Laplace transform approach In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]		paper11
2007The IGARCH e®ect: Consequences on volatility forecasting and option trading In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]		paper5
2007Explicit formulas for the minimal variance hedging strategy in a martingale case In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]		paper7
2010Explicit 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 nother version. Agregated cites: 7		article
2009Evaluating Discrete Dynamic Strategies in Affine Models In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]		paper7
2015Evaluating discrete dynamic strategies in affine models.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2014Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis In: Working Paper series.
[Full Text][Citation analysis]		paper61
2014Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis.(2014) In: CEIS Research Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		paper
2015Socially responsible and conventional investment funds: performance comparison and the global financial crisis.(2015) In: Applied Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		article
2014Delegated Portfolio Management under Ambiguity Aversion In: CEIS Research Paper.
[Full Text][Citation analysis]		paper2
2015Convex Incentives in Financial Markets: an Agent-Based Analysis In: CEIS Research Paper.
[Full Text][Citation analysis]		paper0
2017Convex incentives in financial markets: an agent-based analysis.(2017) In: Decisions in Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2018Portfolio management with benchmark related incentives under mean reverting processes In: Annals of Operations Research.
[Full Text][Citation analysis]		article12
2019Optimal strategies with option compensation under mean reverting returns or volatilities In: Computational Management Science.
[Full Text][Citation analysis]		article1
2000Option pricing with stochastic volatility models In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article2
2006Notes and Comments: An approximation of caplet implied volatilities in Gaussian models In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article1
2002Efficient option valuation using trees In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2005Consistent calibration of HJM models to cap implied volatilities In: Journal of Futures Markets.
[Full Text][Citation analysis]		article7
2005Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics.
[Full Text][Citation analysis]		paper12
1998A Simple Model for Option Pricing with Jumping Stochastic Volatility In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article3

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