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Details about Marco Nicolosi

Workplace:Facoltà di Economia (Faculty of Economics), Università degli Studi di Perugia (University of Perugia), (more information at EDIRC)

Access statistics for papers by Marco Nicolosi.

Last updated 2020-08-11. Update your information in the RePEc Author Service.

Short-id: pni311


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Working Papers

2020

  1. ESG Investing: A Chance To Reduce Systemic Risk
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
  2. The Resilience of the Socially Responsible Investment Networks
    CEIS Research Paper, Tor Vergata University, CEIS Downloads

2013

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

2011

  1. How to measure Corporate Social Responsibility
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia Downloads View citations (1)
    See also Journal Article in Applied Financial Economics (2014)
  2. The cost of sustainability on optimal portfolio choices
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia Downloads View citations (7)
    Also in Sustainable Investment and Corporate Governance Working Papers, Sustainable Investment Research Platform (2010) Downloads

    See also Journal Article in The European Journal of Finance (2012)

2008

  1. Hedging error in Lévy models with a Fast Fourier Transform approach
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia Downloads View citations (2)
    See also Journal Article in Economic Notes (2010)

Journal Articles

2019

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

2018

  1. Optimal strategy for a fund manager with option compensation
    Decisions in Economics and Finance, 2018, 41, (1), 1-17 Downloads
  2. Portfolio management with benchmark related incentives under mean reverting processes
    Annals of Operations Research, 2018, 266, (1), 373-394 Downloads View citations (2)

2017

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

2016

  1. Dynamic portfolio management with views at multiple horizons
    Applied Mathematics and Computation, 2016, 274, (C), 495-518 Downloads View citations (3)

2014

  1. Item response models to measure corporate social responsibility
    Applied Financial Economics, 2014, 24, (22), 1449-1464 Downloads View citations (3)
    See also Working Paper (2011)

2012

  1. The cost of sustainability in optimal portfolio decisions
    The European Journal of Finance, 2012, 18, (3-4), 333-349 Downloads View citations (3)
    See also Working Paper (2011)

2010

  1. On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error
    Economic Notes, 2010, 39, (3), 203-226 Downloads View citations (1)
    See also Working Paper (2008)
 
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