Marco Nicolosi

Publication Activity (10 Years)

Years Active: 2016-2021
Publications (10 Years): 5

Top Topics

Partial Information

Portfolio Management

Top Venues

Ann. Oper. Res.

Comput. Manag. Sci.

Appl. Math. Comput.

Publications

Katia Colaneri, Stefano Herzel, Marco Nicolosi
The value of knowing the market price of risk. Ann. Oper. Res. 299 (1) (2021)
Flavio Angelini, Katia Colaneri, Stefano Herzel, Marco Nicolosi
Implicit incentives for fund managers with partial information. Comput. Manag. Sci. 18 (4) (2021)
Stefano Herzel, Marco Nicolosi
Optimal strategies with option compensation under mean reverting returns or volatilities. Comput. Manag. Sci. 16 (1-2) (2019)
Marco Nicolosi, Flavio Angelini, Stefano Herzel
Portfolio management with benchmark related incentives under mean reverting processes. Ann. Oper. Res. 266 (1-2) (2018)
A. Meucci, Marco Nicolosi
Dynamic portfolio management with views at multiple horizons. Appl. Math. Comput. 274 (2016)