7
H index
5
i10 index
155
Citations
Stefano Herzel : Citation Profile
Università degli Studi di Roma "Tor Vergata" | RESEARCH PRODUCTION: 17 Articles 17 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (1998 - 2021). Relations with other researchers
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:
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Main data
Where Stefano Herzel has published?
| Journals with more than one article published | # docs |
|---|---|
| Decisions in Economics and Finance | 4 |
| Computational Management Science | 2 |
| Annals of Operations Research | 2 |
| The European Journal of Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| 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 |
Recent works citing Stefano Herzel (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift. (2022). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2205.08614. Full description at Econpapers || Download paper |
| 2024 | Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift. (2023). Wunderlich, Ralf ; Kondakji, Hakam ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2301.06847. Full description at Econpapers || Download paper |
| 2023 | Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297. Full description at Econpapers || Download paper |
| 2024 | Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results. (2023). Wunderlich, Ralf ; Gabih, Abdelali. In: Papers. RePEc:arx:papers:2308.02049. Full description at Econpapers || Download paper |
| 2024 | Mean-Variance Environmental Investment Optimization of Bulgarian Private Pension Funds. (2024). Beneva, Milena ; Kirov, Stoyan. In: Economic Studies journal. RePEc:bas:econst:y:2024:i:6:p:88-112. Full description at Econpapers || Download paper |
| 2024 | Impact of ESG preferences on investments and emissions in a DSGE framework. (2024). Xiong, Xiong ; Bian, Yuxiang ; Wang, Ren. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000877. Full description at Econpapers || Download paper |
| 2023 | Bank diversification and ESG activities: A global perspective. (2023). Alshammari, Turki Rashed ; Saha, Asish ; Azeez, Abdul. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:3:s0939362523000237. Full description at Econpapers || Download paper |
| 2024 | Across-time risk-aware strategies for outperforming a benchmark. (2024). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:776-800. Full description at Econpapers || Download paper |
| 2024 | ESG investment preference and fund vulnerability. (2024). Wang, HU. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005185. Full description at Econpapers || Download paper |
| 2024 | Why 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. Full description at Econpapers || Download paper |
| 2024 | Social responsibility and bank resiliency. (2024). Gehrig, Thomas ; Unger, Stephan ; Iannino, Maria Chiara. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000918. Full description at Econpapers || Download paper |
| 2023 | Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets. (2023). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192300003x. Full description at Econpapers || Download paper |
| 2024 | The impact of ESG on the default risk of family firms: International evidence. (2024). Espinosa-Mendez, Christian ; Arias, Jose T ; Maquieira, Carlos P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002623. Full description at Econpapers || Download paper |
| 2024 | Socially responsible investments: doing good while doing well in developed versus emerging markets?. (2024). Frommel, Michael ; Lestari, Jenjang Sri. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000217. Full description at Econpapers || Download paper |
| 2024 | Does ESG affect stock market dependence? An empirical exploration of S&P 1200 companies shows the divergent nature of E–S–G pillars. (2024). Horvath, Matu ; Gyonyor, Lucie Stank. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000229. Full description at Econpapers || Download paper |
| 2023 | Sustainable and Governance Investment Funds in Brazil: A Performance Evaluation. (2023). , Otavio. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:11:p:8517-:d:1154591. Full description at Econpapers || Download paper |
| 2023 | Stopping or Continuing to Follow Best Practices in Terms of ESG during the COVID-19 Pandemic? An Exploratory Study of European Listed Companies. (2023). Tiscini, Riccardo ; Izzo, Maria Federica ; Savio, Riccardo ; Bifulco, Giuseppe Maria. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:1796-:d:1038953. Full description at Econpapers || Download paper |
| 2023 | Analysis of online position auctions for search engine marketing. (2023). Campos, Pedro ; Mota, Isabel. In: Journal of Marketing Analytics. RePEc:pal:jmarka:v:11:y:2023:i:3:d:10.1057_s41270-022-00170-x. Full description at Econpapers || Download paper |
| 2023 | Portfolio performance implications of investment in renewable energy equities: Green versus gray. (2023). Lean, Hooi Hooi ; Pizzutilo, Fabio ; Gleason, Kimberly. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:30:y:2023:i:6:p:2990-3005. Full description at Econpapers || Download paper |
Works by Stefano Herzel:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2019 | The value of knowing the market price of risk In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | The 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: 4 | 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 nother 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 | 3 |
| 2012 | Delegated 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 | |
| 2010 | The cost of sustainability on optimal portfolio choices In: Sustainable Investment and Corporate Governance Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 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 nother version. Agregated cites: 14 | paper | |
| 2012 | The 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: 14 | 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 | 2 |
| 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 nother 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 nother 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 | 56 |
| 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 nother version. Agregated cites: 56 | 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 nother version. Agregated cites: 56 | 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 nother 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 | 11 |
| 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 | 1 |
| 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 | 7 |
| 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 | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team