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Journal Articles
- 2021
[j7]Katia Colaneri
, Stefano Herzel, Marco Nicolosi:
The value of knowing the market price of risk. Ann. Oper. Res. 299(1): 101-131 (2021)- [j6]Flavio Angelini, Katia Colaneri, Stefano Herzel, Marco Nicolosi:
Implicit incentives for fund managers with partial information. Comput. Manag. Sci. 18(4): 539-561 (2021) - 2019
- [j5]Stefano Herzel, Marco Nicolosi:
Optimal strategies with option compensation under mean reverting returns or volatilities. Comput. Manag. Sci. 16(1-2): 47-69 (2019) - 2018
- [j4]Marco Nicolosi, Flavio Angelini, Stefano Herzel:
Portfolio management with benchmark related incentives under mean reverting processes. Ann. Oper. Res. 266(1-2): 373-394 (2018) - 2017
- [j3]Annalisa Fabretti, Stefano Herzel:
An Agent Based Model for a Double Auction with Convex Incentives. J. Artif. Soc. Soc. Simul. 20(1) (2017) - 2014
- [j2]Flavio Angelini, Stefano Herzel:
Delta hedging in discrete time under stochastic interest rate. J. Comput. Appl. Math. 259: 385-393 (2014) - [j1]Annalisa Fabretti, Stefano Herzel, Mustafa Ç. Pinar:
Delegated portfolio management under ambiguity aversion. Oper. Res. Lett. 42(2): 190-195 (2014)
Conference and Workshop Papers
- 2016
- [c1]Annalisa Fabretti, Tommy Gärling, Stefano Herzel, Martin Holmen:
An Agent-Based Model to Study the Impact of Convex Incentives on Financial Markets. PAAMS (Special Sessions) 2016: 3-13
Coauthor Index
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