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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 2025-01-07. 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 View citations (4)
    See also Journal Article ESG investing: A chance to reduce systemic risk, Journal of Financial Stability, Elsevier (2021) Downloads View citations (56) (2021)
  2. Implicit Incentives for Fund Managers with Partial Information
    Papers, arXiv.org Downloads
    See also Journal Article Implicit incentives for fund managers with partial information, Computational Management Science, Springer (2021) Downloads (2021)
  3. The Resilience of the Socially Responsible Investment Networks
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (1)

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)
  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 The cost of sustainability in optimal portfolio decisions, The European Journal of Finance, Taylor & Francis Journals (2012) Downloads View citations (10) (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 (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) Downloads 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) Downloads View citations (2)
  2. Mitigating Contagion Risk by ESG Investing
    Sustainability, 2022, 14, (7), 1-13 Downloads View citations (1)

2021

  1. ESG investing: A chance to reduce systemic risk
    Journal of Financial Stability, 2021, 54, (C) Downloads View citations (56)
    See also Working Paper ESG Investing: A Chance To Reduce Systemic Risk, CEIS Research Paper (2020) Downloads View citations (4) (2020)
  2. Implicit incentives for fund managers with partial information
    Computational Management Science, 2021, 18, (4), 539-561 Downloads
    See also Working Paper Implicit Incentives for Fund Managers with Partial Information, Papers (2020) Downloads (2020)
  3. The value of knowing the market price of risk
    Annals of Operations Research, 2021, 299, (1), 101-131 Downloads View citations (6)

2019

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

2018

  1. Optimal strategy for a fund manager with option compensation
    Decisions in Economics and Finance, 2018, 41, (1), 1-17 Downloads View citations (4)
  2. Portfolio management with benchmark related incentives under mean reverting processes
    Annals of Operations Research, 2018, 266, (1), 373-394 Downloads View citations (11)

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 (5)

2014

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

2012

  1. The cost of sustainability in optimal portfolio decisions
    The European Journal of Finance, 2012, 18, (3-4), 333-349 Downloads View citations (10)
    See also Working Paper The cost of sustainability on optimal portfolio choices, Quaderni del Dipartimento di Economia, Finanza e Statistica (2011) Downloads View citations (7) (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 Hedging error in Lévy models with a Fast Fourier Transform approach, Quaderni del Dipartimento di Economia, Finanza e Statistica (2008) Downloads View citations (7) (2008)
 
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