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
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Working Papers
2020
- 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 (56) (2021)
- 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)
- The Resilience of the Socially Responsible Investment Networks
CEIS Research Paper, Tor Vergata University, CEIS View citations (1)
2013
- Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi
Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia
2011
- How to measure Corporate Social Responsibility
Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (1)
- 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
- 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
- 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)
- Mitigating Contagion Risk by ESG Investing
Sustainability, 2022, 14, (7), 1-13 View citations (1)
2021
- ESG investing: A chance to reduce systemic risk
Journal of Financial Stability, 2021, 54, (C) View citations (56)
See also Working Paper ESG Investing: A Chance To Reduce Systemic Risk, CEIS Research Paper (2020) View citations (4) (2020)
- 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)
- The value of knowing the market price of risk
Annals of Operations Research, 2021, 299, (1), 101-131 View citations (6)
2019
- Expected shortfall and portfolio management in contagious markets
Journal of Banking & Finance, 2019, 102, (C), 100-115 View citations (2)
- Optimal strategies with option compensation under mean reverting returns or volatilities
Computational Management Science, 2019, 16, (1), 47-69 View citations (4)
2018
- Optimal strategy for a fund manager with option compensation
Decisions in Economics and Finance, 2018, 41, (1), 1-17 View citations (4)
- Portfolio management with benchmark related incentives under mean reverting processes
Annals of Operations Research, 2018, 266, (1), 373-394 View citations (11)
2017
- Portfolio allocation in actively managed funds
Economics Bulletin, 2017, 37, (3), 1688-1693 View citations (1)
2016
- Dynamic portfolio management with views at multiple horizons
Applied Mathematics and Computation, 2016, 274, (C), 495-518 View citations (5)
2014
- Item response models to measure corporate social responsibility
Applied Financial Economics, 2014, 24, (22), 1449-1464 View citations (7)
2012
- 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
- 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)
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