Details about Marco Nicolosi

Access statistics for papers by Marco Nicolosi.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pni311

Working Papers

2020

1. ESG Investing: A Chance To Reduce Systemic Risk
   CEIS Research Paper, Tor Vergata University, CEIS View citations (4)
   See also Journal Article ESG investing: A chance to reduce systemic risk, Journal of Financial Stability, Elsevier (2021) View citations (57) (2021)
2. Implicit Incentives for Fund Managers with Partial Information
   Papers, arXiv.org
   See also Journal Article Implicit incentives for fund managers with partial information, Computational Management Science, Springer (2021) (2021)
3. The Resilience of the Socially Responsible Investment Networks
   CEIS Research Paper, Tor Vergata University, CEIS View citations (1)

2013

4. Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia

2011

5. How to measure Corporate Social Responsibility
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (1)
6. The cost of sustainability on optimal portfolio choices
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (7)
   Also in Sustainable Investment and Corporate Governance Working Papers, Sustainable Investment Research Platform (2010)
   See also Journal Article The cost of sustainability in optimal portfolio decisions, The European Journal of Finance, Taylor & Francis Journals (2012) View citations (10) (2012)

2008

7. Hedging error in Lévy models with a Fast Fourier Transform approach
   Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (7)
   See also Journal Article On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error, Economic Notes, Banca Monte dei Paschi di Siena SpA (2010) View citations (1) (2010)

Journal Articles

2022

1. A new measure of the resilience for networks of funds with applications to socially responsible investments
   Physica A: Statistical Mechanics and its Applications, 2022, 593, (C) View citations (2)
2. Mitigating Contagion Risk by ESG Investing
   Sustainability, 2022, 14, (7), 1-13 View citations (1)

2021

3. ESG investing: A chance to reduce systemic risk
   Journal of Financial Stability, 2021, 54, (C) View citations (57)
   See also Working Paper ESG Investing: A Chance To Reduce Systemic Risk, CEIS Research Paper (2020) View citations (4) (2020)
4. Implicit incentives for fund managers with partial information
   Computational Management Science, 2021, 18, (4), 539-561
   See also Working Paper Implicit Incentives for Fund Managers with Partial Information, Papers (2020) (2020)
5. The value of knowing the market price of risk
   Annals of Operations Research, 2021, 299, (1), 101-131 View citations (8)

2019

6. Expected shortfall and portfolio management in contagious markets
   Journal of Banking & Finance, 2019, 102, (C), 100-115 View citations (2)
7. Optimal strategies with option compensation under mean reverting returns or volatilities
   Computational Management Science, 2019, 16, (1), 47-69 View citations (4)

2018

8. Optimal strategy for a fund manager with option compensation
   Decisions in Economics and Finance, 2018, 41, (1), 1-17 View citations (4)
9. Portfolio management with benchmark related incentives under mean reverting processes
   Annals of Operations Research, 2018, 266, (1), 373-394 View citations (12)

2017

10. Portfolio allocation in actively managed funds
    Economics Bulletin, 2017, 37, (3), 1688-1693 View citations (1)

2016

11. Dynamic portfolio management with views at multiple horizons
    Applied Mathematics and Computation, 2016, 274, (C), 495-518 View citations (5)

2014

12. Item response models to measure corporate social responsibility
    Applied Financial Economics, 2014, 24, (22), 1449-1464 View citations (7)

2012

13. The cost of sustainability in optimal portfolio decisions
    The European Journal of Finance, 2012, 18, (3-4), 333-349 View citations (10)
    See also Working Paper The cost of sustainability on optimal portfolio choices, Quaderni del Dipartimento di Economia, Finanza e Statistica (2011) View citations (7) (2011)

2010

14. On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error
    Economic Notes, 2010, 39, (3), 203-226 View citations (1)
    See also Working Paper Hedging error in Lévy models with a Fast Fourier Transform approach, Quaderni del Dipartimento di Economia, Finanza e Statistica (2008) View citations (7) (2008)