Stefano Herzel

Publication Activity (10 Years)

Years Active: 2014-2021
Publications (10 Years): 6

Top Topics

Portfolio Management

Top Venues

Ann. Oper. Res.

Comput. Manag. Sci.

Oper. Res. Lett.

J. Artif. Soc. Soc. Simul.

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)
Annalisa Fabretti, Stefano Herzel
An Agent Based Model for a Double Auction with Convex Incentives. J. Artif. Soc. Soc. Simul. 20 (1) (2017)
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)
Annalisa Fabretti, Stefano Herzel, Mustafa Ç. Pinar
Delegated portfolio management under ambiguity aversion. Oper. Res. Lett. 42 (2) (2014)
Flavio Angelini, Stefano Herzel
Delta hedging in discrete time under stochastic interest rate. J. Comput. Appl. Math. 259 (2014)