Marco Nicolosi

Personal Details

First Name:	Marco
Middle Name:
Last Name:	Nicolosi
Suffix:
RePEc Short-ID:	pni311
	[This author has chosen not to make the email address public]

Affiliation

Facoltà di Economia
Università degli Studi di Perugia

Perugia, Italy
http://www.ec.unipg.it/economia/
RePEc:edi:feperit (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Roy Cerqueti & Rocco Ciciretti & Ambrogio Dalò & Marco Nicolosi, 2020. "The Resilience of the Socially Responsible Investment Networks," CEIS Research Paper 495, Tor Vergata University, CEIS, revised 17 Jun 2020.

   Cited by:

   1. Nicolás Magner & Jaime F. Lavín & Mauricio A. Valle, 2022. "Modeling Synchronization Risk among Sustainable Exchange Trade Funds: A Statistical and Network Analysis Approach," Mathematics, MDPI, vol. 10(19), pages 1-30, October.

2. Roy Cerqueti & Rocco Ciciretti & Ambrogio Dalò & Marco Nicolosi, 2020. "ESG Investing: A Chance To Reduce Systemic Risk," CEIS Research Paper 498, Tor Vergata University, CEIS, revised 04 Aug 2020.
   • Cerqueti, Roy & Ciciretti, Rocco & Dalò, Ambrogio & Nicolosi, Marco, 2021. "ESG investing: A chance to reduce systemic risk," Journal of Financial Stability, Elsevier, vol. 54(C).
   • Roy Cerqueti & R. Ciciretti & A. Dalo & M. Nicolosi, 2021. "ESG Investing: A Chance To Reduce Systemic Risk," Post-Print hal-03789135, HAL.

   Cited by:

   1. Gallucci, Carmen & Santulli, Rosalia & Lagasio, Valentina, 2022. "The conceptualization of environmental, social and governance risks in portfolio studies A systematic literature review," Socio-Economic Planning Sciences, Elsevier, vol. 84(C).
   2. Jun Xie & Yoshitaka Tanaka & Alexander Ryota Keeley & Hidemichi Fujii & Shunsuke Managi, 2023. "Do investors incorporate financial materiality? Remapping the environmental information in corporate sustainability reporting," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(6), pages 2924-2952, November.
   3. Wang, Hu, 2024. "ESG investment preference and fund vulnerability," International Review of Financial Analysis, Elsevier, vol. 91(C).
   4. Tristan Jourde & Kolotcholoma Kone, 2023. "The exposure of French investment funds to transition climate risks [L’exposition des fonds d’investissement français aux risques climatiques de transition]," Bulletin de la Banque de France, Banque de France, issue 248.
   5. Wan, Jieru & Yin, Libo & Wu, You, 2024. "Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 397-428.
   6. Iulia Lupu & Gheorghe Hurduzeu & Radu Lupu, 2022. "How Is the ESG Reflected in European Financial Stability?," Sustainability, MDPI, vol. 14(16), pages 1-14, August.
   7. Teplova, Tamara & Sokolova, Tatiana & Kissa, David, 2023. "Revealing stock liquidity determinants by means of explainable AI: The role of ESG before and during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 86(PB).
   8. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).
      • Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022. "The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms," JRFM, MDPI, vol. 15(4), pages 1-41, March.
   9. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
   10. Saif-Alyousfi, Abdulazeez Y.H. & Saha, Asish & Alshammari, Turki Rashed, 2023. "Bank diversification and ESG activities: A global perspective," Economic Systems, Elsevier, vol. 47(3).
   11. Rocco Ciciretti & Ambrogio Dalò & Giovanni Ferri, 2021. "Herding and Anti-Herding Across ESG Funds," CEIS Research Paper 524, Tor Vergata University, CEIS, revised 05 Nov 2021.
   12. Lei Li & Kun Qin & Desheng Wu, 2023. "A Hybrid Approach for the Assessment of Risk Spillover to ESG Investment in Financial Networks," Sustainability, MDPI, vol. 15(7), pages 1-16, April.
   13. Kudryashov, Alexander, 2023. "ESG Transformation: A Roadmap for Russia’s Sustainable Development /– Tallinn : OPEN EUROPEAN ACADEMY OF PUBLIC SCIENCES OÜ, 2023," OSF Preprints 6j8ux, Center for Open Science.
   14. Cerqueti, Roy & Ciciretti, Rocco & Dalò, Ambrogio & Nicolosi, Marco, 2022. "A new measure of the resilience for networks of funds with applications to socially responsible investments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
       • Roy Cerqueti & R. Ciciretti A. Dalo, M. Nicolosi, 2022. "A new measure of the resilience for networks of funds with applications to socially responsible investments," Post-Print hal-03789131, HAL.
   15. Karoline Bax & Giovanni Bonaccolto & Sandra Paterlini, 2023. "Do lower environmental, social, and governance (ESG) rated companies have higher systemic impact? Empirical evidence from Europe and the United States," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(3), pages 1406-1420, May.
   16. Fiordelisi, Franco & Ricci, Ornella & Santilli, Gianluca, 2023. "Environmental engagement and stock price crash risk: Evidence from the European banking industry," International Review of Financial Analysis, Elsevier, vol. 88(C).
   17. Vincenzo Pacelli & Francesca Pampurini & Anna Grazia Quaranta, 2023. "Environmental, Social and Governance investing: Does rating matter?," Business Strategy and the Environment, Wiley Blackwell, vol. 32(1), pages 30-41, January.
   18. Rendani Mavis Matakanye & Huibrecht Margaretha van der Poll & Binganidzo Muchara, 2021. "Do Companies in Different Industries Respond Differently to Stakeholders’ Pressures When Prioritising Environmental, Social and Governance Sustainability Performance?," Sustainability, MDPI, vol. 13(21), pages 1-22, October.
   19. Archana Saxena & Rajesh Singh & Anita Gehlot & Shaik Vaseem Akram & Bhekisipho Twala & Aman Singh & Elisabeth Caro Montero & Neeraj Priyadarshi, 2022. "Technologies Empowered Environmental, Social, and Governance (ESG): An Industry 4.0 Landscape," Sustainability, MDPI, vol. 15(1), pages 1-17, December.
   20. Ling, Aifan & Li, Junxue & Wen, Limin & Zhang, Yi, 2023. "When trackers are aware of ESG: Do ESG ratings matter to tracking error portfolio performance?," Economic Modelling, Elsevier, vol. 125(C).
   21. Anwer, Zaheer & Goodell, John W. & Migliavacca, Milena & Paltrinieri, Andrea, 2023. "Does ESG impact systemic risk? Evidencing an inverted U-shape relationship for major energy firms," Journal of Economic Behavior & Organization, Elsevier, vol. 216(C), pages 10-25.
   22. Lo, Huai-Wei & Lin, Sheng-Wei, 2023. "Identifying ESG investment key indicators and selecting investment trust companies by using a Z-fuzzy-based decision-making model," Socio-Economic Planning Sciences, Elsevier, vol. 90(C).
   23. Wang, Jing & Yu, Huaying & Ren, Daowen & Zhang, Jocelyn, 2023. "Promoting mineral resources consumption efficiency: Evidence from technology of big data," Resources Policy, Elsevier, vol. 86(PB).
   24. Quayson, Matthew & Bai, Chunguang & Mahmoudi, Amin & Hu, Weihao & Chen, Wei & Omoruyi, Osayuwamen, 2023. "Designing a decision support tool for integrating ESG into the natural resource extraction industry for sustainable development using the ordinal priority approach," Resources Policy, Elsevier, vol. 85(PA).
   25. Caterina Lucarelli & Sabrina Severini, 2024. "Anatomy of the chimera: Environmental, Social, and Governance ratings beyond the myth," Business Strategy and the Environment, Wiley Blackwell, vol. 33(5), pages 4198-4217, July.
   26. Alves, Carlos Francisco & Meneses, Lilian Lima, 2024. "ESG scores and debt costs: Exploring indebtedness, agency costs, and financial system impact," International Review of Financial Analysis, Elsevier, vol. 94(C).
   27. Zineb Aouni & Marek Hudon & Anaïs A Périlleux & Tyler Wry, 2024. "Crowdfunding social ventures: who rewards (or punishes) hybridity?," ULB Institutional Repository 2013/367191, ULB -- Universite Libre de Bruxelles.
   28. Curcio, Domenico & Gianfrancesco, Igor & Onorato, Grazia & Vioto, Davide, 2024. "Do ESG scores affect financial systemic risk? Evidence from European banks and insurers," Research in International Business and Finance, Elsevier, vol. 69(C).
   29. Klinkowska, Olga & Zhao, Yuan, 2023. "Fund flows and performance: New evidence from retail and institutional SRI mutual funds," International Review of Financial Analysis, Elsevier, vol. 87(C).
   30. Gehrig, Thomas & Iannino, Maria Chiara & Unger, Stephan, 2024. "Social responsibility and bank resiliency," Journal of Financial Stability, Elsevier, vol. 70(C).
       • Gehrig, Thomas & Unger, Stephan, 2021. "Social Responsibility and Bank Resiliency," CEPR Discussion Papers 15816, C.E.P.R. Discussion Papers.
   31. Zineb Aouni & Marek Hudon & Anaïs A Périlleux & Tyler Wry, 2024. "Crowdfunding social ventures: Who will reward (or punish) hybridity?," Working Papers CEB 24-004, ULB -- Universite Libre de Bruxelles.
   32. Jha, Anand & Kulchania, Manoj & Kwon, Min-Jeong, 2022. "Stock repurchasing and corporate social responsibility," Journal of Financial Stability, Elsevier, vol. 62(C).
   33. Zhang, Ning & Zhang, Yue & Zong, Zhe, 2023. "Fund ESG performance and downside risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 86(C).
   34. Fabio Pisani & Giorgia Russo, 2021. "Sustainable Finance and COVID-19: The Reaction of ESG Funds to the 2020 Crisis," Sustainability, MDPI, vol. 13(23), pages 1-18, November.
   35. Goodell, John W. & Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2024. "Isolating defensive corporate ESG effects: Evidence from purely domestic anti-COVID-19 measures," Journal of Financial Stability, Elsevier, vol. 71(C).
   36. Tiberius, Victor & Gojowy, Robin & Dabić, Marina, 2022. "Forecasting the future of robo advisory: A three-stage Delphi study on economic, technological, and societal implications," Technological Forecasting and Social Change, Elsevier, vol. 182(C).
   37. Bax, Karoline, 2023. "Do diverse and inclusive workplaces benefit investors? An Empirical Analysis on Europe and the United States," Finance Research Letters, Elsevier, vol. 52(C).
   38. Karoline Bax, 2022. "Do diverse and inclusive workplaces benefit investors? An Empirical Analysis on Europe and the United States," Papers 2208.10435, arXiv.org, revised Nov 2022.
   39. Ioan-Iulian Norocel & Eugen-Marian Vierescu, 2024. "The Relationship between Environmental, Social and Governance Factors, Economic Growth, and Banking Activity," JRFM, MDPI, vol. 17(7), pages 1-12, July.
   40. Kanno, Masayasu, 2023. "Does ESG performance improve firm creditworthiness?," Finance Research Letters, Elsevier, vol. 55(PA).
   41. Adil Haniev, 2024. "Intangible Assets and US Stock Returns: An analysis using the Index Method, Panel Regression, and Machine Learning," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 23(3), pages 833-854.

3. Marco Nicolosi & Stefano Grassi & Elena Stanghellini, 2011. "How to measure Corporate Social Responsibility," Quaderni del Dipartimento di Economia, Finanza e Statistica 96/2011, Università di Perugia, Dipartimento Economia.

   Cited by:

   1. Leonardo Becchetti & Nazaria Solferino & Maria Elisabetta Tessitore, 2016. "Corporate social responsibility and profit volatility: theory and empirical evidence," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 25(1), pages 49-89.
      • Becchetti, Leonardo & Solferino, Nazaria & Tessitore, Maria Elisabetta, 2013. "Corporate social responsibility and profit volatility: theory and empirical evidence," AICCON Working Papers 129-2013, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.

4. Stefano Herzel & Marco Nicolosi & Catalin Starica, 2011. "The cost of sustainability on optimal portfolio choices," Quaderni del Dipartimento di Economia, Finanza e Statistica 84/2011, Università di Perugia, Dipartimento Economia.
   • Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012. "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 333-349, May.
   • Stefano Herzel, Stefano & Marco Nicolosi, Marco & Starica, Catalin, 2010. "The cost of sustainability on optimal portfolio choices," Sustainable Investment and Corporate Governance Working Papers 2010/15, Sustainable Investment Research Platform.

   Cited by:

   1. Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2013. "The impact of a sustainability constraint on the mean-tracking error efficient frontier," Economics Letters, Elsevier, vol. 119(3), pages 255-260.
   2. Pirgaip, Burak & Arslan-Ayaydin, Özgür & Karan, Mehmet Baha, 2021. "Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey," Global Finance Journal, Elsevier, vol. 50(C).
   3. Stoyan Kirov & Milena Beneva, 2024. "Mean-Variance Environmental Investment Optimization of Bulgarian Private Pension Funds," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 88-112.
   4. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2020. "Who Knocks on the Door of Portfolio Performance Heaven: Sinner or Saint Investors?," Mathematics, MDPI, vol. 8(11), pages 1-18, November.
   5. Cerqueti, Roy & Ciciretti, Rocco & Dalò, Ambrogio & Nicolosi, Marco, 2022. "A new measure of the resilience for networks of funds with applications to socially responsible investments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
      • Roy Cerqueti & R. Ciciretti A. Dalo, M. Nicolosi, 2022. "A new measure of the resilience for networks of funds with applications to socially responsible investments," Post-Print hal-03789131, HAL.
   6. Rehman, Mobeen Ur & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Asymmetric multifractal behaviour and network connectedness between socially responsible stocks and international oil before and during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
   7. Mirella Damiani & Fabrizio Pompei & Andrea Ricci, 2011. "Temporary job protection and productivity growth in EU economies," Quaderni del Dipartimento di Economia, Finanza e Statistica 87/2011, Università di Perugia, Dipartimento Economia.
      • Damiani, Mirella & Pompei, Fabrizio & Ricci, Andrea, 2011. "Temporary job protection and productivity growth in EU economies," MPRA Paper 29698, University Library of Munich, Germany.
   8. Roy Cerqueti & R. Ciciretti & A. Dalo & M. Nicolosi, 2022. "Mitigating contagion risk by ESG investing," Post-Print hal-03788991, HAL.
      • Roy Cerqueti & Rocco Ciciretti & Ambrogio Dalò & Marco Nicolosi, 2022. "Mitigating Contagion Risk by ESG Investing," Sustainability, MDPI, vol. 14(7), pages 1-13, March.
   9. Rodrigo Zeidan & Claudio Boechat & Angela Fleury, 2015. "Developing a Sustainability Credit Score System," Journal of Business Ethics, Springer, vol. 127(2), pages 283-296, March.
   10. Leonardo Becchetti & Francesco Salustri, 2019. "The Vote with the Wallet Game: Responsible Consumerism as a Multiplayer Prisoner’s Dilemma," Sustainability, MDPI, vol. 11(4), pages 1-22, February.
   11. Marco Nicolosi & Stefano Grassi & Elena Stanghellini, 2011. "How to measure Corporate Social Responsibility," Quaderni del Dipartimento di Economia, Finanza e Statistica 96/2011, Università di Perugia, Dipartimento Economia.
   12. Francesco Venturini, 2011. "Product variety, product quality, and evidence of Schumpeterian endogenous growth: a note," Quaderni del Dipartimento di Economia, Finanza e Statistica 93/2011, Università di Perugia, Dipartimento Economia.

5. Flavio Angelini & Marco Nicolosi, 2008. "Hedging error in Lévy models with a Fast Fourier Transform approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 43/2008, Università di Perugia, Dipartimento Economia.
   • Flavio Angelini & Marco Nicolosi, 2010. "On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 203-226, November.

   Cited by:

   1. Mirella Damiani, 2010. "Labour regulation, corporate governance and varieties of capitalism," Quaderni del Dipartimento di Economia, Finanza e Statistica 76/2010, Università di Perugia, Dipartimento Economia.
   2. Stefano Herzel, Stefano & Marco Nicolosi, Marco & Starica, Catalin, 2010. "The cost of sustainability on optimal portfolio choices," Sustainable Investment and Corporate Governance Working Papers 2010/15, Sustainable Investment Research Platform.
      • Stefano Herzel & Marco Nicolosi & Catalin Starica, 2011. "The cost of sustainability on optimal portfolio choices," Quaderni del Dipartimento di Economia, Finanza e Statistica 84/2011, Università di Perugia, Dipartimento Economia.
      • Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012. "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 333-349, May.
   3. Flavio Angelini & Stefano Herzel, 2010. "Explicit formulas for the minimal variance hedging strategy in a martingale case," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(1), pages 63-79, May.
      • Flavio Angelini & Stefano Herzel, 2007. "Explicit formulas for the minimal variance hedging strategy in a martingale case," Quaderni del Dipartimento di Economia, Finanza e Statistica 35/2007, Università di Perugia, Dipartimento Economia.
   4. Mirella Damiani & Fabrizio Pompei & Andrea Ricci, 2011. "Temporary job protection and productivity growth in EU economies," Quaderni del Dipartimento di Economia, Finanza e Statistica 87/2011, Università di Perugia, Dipartimento Economia.
      • Damiani, Mirella & Pompei, Fabrizio & Ricci, Andrea, 2011. "Temporary job protection and productivity growth in EU economies," MPRA Paper 29698, University Library of Munich, Germany.
   5. Davide Castellani & Fabio Pieri, 2011. "Foreign Investments and Productivity Evidence from European Regions," Quaderni del Dipartimento di Economia, Finanza e Statistica 83/2011, Università di Perugia, Dipartimento Economia.
   6. Silvia Micheli, 2010. "Learning Curve and Wind Power," Quaderni del Dipartimento di Economia, Finanza e Statistica 81/2010, Università di Perugia, Dipartimento Economia.
   7. Francesco Venturini, 2011. "Product variety, product quality, and evidence of Schumpeterian endogenous growth: a note," Quaderni del Dipartimento di Economia, Finanza e Statistica 93/2011, Università di Perugia, Dipartimento Economia.
   8. Marco Nicolosi & Flavio Angelini & Stefano Herzel, 2018. "Portfolio management with benchmark related incentives under mean reverting processes," Annals of Operations Research, Springer, vol. 266(1), pages 373-394, July.

Articles

1. Roy Cerqueti & Rocco Ciciretti & Ambrogio Dalò & Marco Nicolosi, 2022. "Mitigating Contagion Risk by ESG Investing," Sustainability, MDPI, vol. 14(7), pages 1-13, March.
   • Roy Cerqueti & R. Ciciretti & A. Dalo & M. Nicolosi, 2022. "Mitigating contagion risk by ESG investing," Post-Print hal-03788991, HAL.

   Cited by:

   1. Iulia Lupu & Gheorghe Hurduzeu & Radu Lupu, 2022. "How Is the ESG Reflected in European Financial Stability?," Sustainability, MDPI, vol. 14(16), pages 1-14, August.

2. Cerqueti, Roy & Ciciretti, Rocco & Dalò, Ambrogio & Nicolosi, Marco, 2022. "A new measure of the resilience for networks of funds with applications to socially responsible investments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
   • Roy Cerqueti & R. Ciciretti A. Dalo, M. Nicolosi, 2022. "A new measure of the resilience for networks of funds with applications to socially responsible investments," Post-Print hal-03789131, HAL.

   Cited by:

   1. Roy Cerqueti & R. Ciciretti & A. Dalo & M. Nicolosi, 2022. "Mitigating contagion risk by ESG investing," Post-Print hal-03788991, HAL.
      • Roy Cerqueti & Rocco Ciciretti & Ambrogio Dalò & Marco Nicolosi, 2022. "Mitigating Contagion Risk by ESG Investing," Sustainability, MDPI, vol. 14(7), pages 1-13, March.
   2. Cerqueti, Roy & Deffains-Crapsky, Catherine & Storani, Saverio, 2022. "Similarity-based heterogeneity and cohesiveness of networked companies issuing minibonds," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).

3. Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "The value of knowing the market price of risk," Annals of Operations Research, Springer, vol. 299(1), pages 101-131, April.
   • Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2019. "The value of knowing the market price of risk," Papers 1909.07837, arXiv.org, revised Sep 2019.

   Cited by:

   1. Abdelali Gabih & Hakam Kondakji & Ralf Wunderlich, 2022. "Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift," Papers 2205.08614, arXiv.org, revised Jul 2024.
   2. Abdelali Gabih & Hakam Kondakji & Ralf Wunderlich, 2023. "Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift," Papers 2301.06847, arXiv.org, revised Jun 2024.
   3. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
      • Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2020. "Implicit Incentives for Fund Managers with Partial Information," Papers 2011.07871, arXiv.org.
   4. Abdelali Gabih & Ralf Wunderlich, 2023. "Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results," Papers 2308.02049, arXiv.org, revised Jun 2024.

4. Cerqueti, Roy & Ciciretti, Rocco & Dalò, Ambrogio & Nicolosi, Marco, 2021. "ESG investing: A chance to reduce systemic risk," Journal of Financial Stability, Elsevier, vol. 54(C).
   • Roy Cerqueti & Rocco Ciciretti & Ambrogio Dalò & Marco Nicolosi, 2020. "ESG Investing: A Chance To Reduce Systemic Risk," CEIS Research Paper 498, Tor Vergata University, CEIS, revised 04 Aug 2020.
   • Roy Cerqueti & R. Ciciretti & A. Dalo & M. Nicolosi, 2021. "ESG Investing: A Chance To Reduce Systemic Risk," Post-Print hal-03789135, HAL.
   See citations under working paper version above.
5. Stefano Herzel & Marco Nicolosi, 2019. "Optimal strategies with option compensation under mean reverting returns or volatilities," Computational Management Science, Springer, vol. 16(1), pages 47-69, February.

   Cited by:

   1. Dmytro Ivasiuk, 2019. "An approximate solution for the power utility optimization under predictable returns," Papers 1911.06552, arXiv.org, revised Oct 2021.
   2. Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2019. "The value of knowing the market price of risk," Papers 1909.07837, arXiv.org, revised Sep 2019.
      • Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "The value of knowing the market price of risk," Annals of Operations Research, Springer, vol. 299(1), pages 101-131, April.
   3. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
      • Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2020. "Implicit Incentives for Fund Managers with Partial Information," Papers 2011.07871, arXiv.org.

6. Buccioli, Alice & Kokholm, Thomas & Nicolosi, Marco, 2019. "Expected shortfall and portfolio management in contagious markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 100-115.

   Cited by:

   1. Agudelo, Diego A. & Múnera, Daimer J., 2023. "Who are the vectors of contagion? Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
   2. Pradhan, Ashis Kumar & Tiwari, Aviral Kumar, 2021. "Estimating the market risk of clean energy technologies companies using the expected shortfall approach," Renewable Energy, Elsevier, vol. 177(C), pages 95-100.

7. Marco Nicolosi & Flavio Angelini & Stefano Herzel, 2018. "Portfolio management with benchmark related incentives under mean reverting processes," Annals of Operations Research, Springer, vol. 266(1), pages 373-394, July.

   Cited by:

   1. Marco Nicolosi, 2018. "Optimal strategy for a fund manager with option compensation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 1-17, May.
   2. Chendi Ni & Yuying Li & Peter A. Forsyth, 2023. "Neural Network Approach to Portfolio Optimization with Leverage Constraints:a Case Study on High Inflation Investment," Papers 2304.05297, arXiv.org, revised May 2023.
   3. Stefano Herzel & Marco Nicolosi, 2017. "Portfolio allocation in actively managed funds," Economics Bulletin, AccessEcon, vol. 37(3), pages 1688-1693.
   4. Constantin Mellios & Anh Ngoc Lai, 2022. "Incentive Fees with a Moving Benchmark and Portfolio Selection under Loss Aversion," Post-Print hal-03708926, HAL.
   5. Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2019. "The value of knowing the market price of risk," Papers 1909.07837, arXiv.org, revised Sep 2019.
      • Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "The value of knowing the market price of risk," Annals of Operations Research, Springer, vol. 299(1), pages 101-131, April.
   6. Guodong Ding & Daniele Marazzina, 2021. "Effect of Labour Income on the Optimal Bankruptcy Problem," Papers 2106.15426, arXiv.org.
   7. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
      • Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2020. "Implicit Incentives for Fund Managers with Partial Information," Papers 2011.07871, arXiv.org.
   8. Emilio Barucci & Daniele Marazzina & Elisa Mastrogiacomo, 2021. "Optimal investment strategies with a minimum performance constraint," Annals of Operations Research, Springer, vol. 299(1), pages 215-239, April.
   9. Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
   10. Sheng, Jiliang & Xu, Si & An, Yunbi & Yang, Jun, 2021. "Dynamic portfolio strategy by loss-averse fund managers facing performance-induced fund flows," International Review of Financial Analysis, Elsevier, vol. 73(C).
   11. van Staden, Pieter M. & Forsyth, Peter A. & Li, Yuying, 2024. "Across-time risk-aware strategies for outperforming a benchmark," European Journal of Operational Research, Elsevier, vol. 313(2), pages 776-800.

8. Marco Nicolosi, 2018. "Optimal strategy for a fund manager with option compensation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 1-17, May.

   Cited by:

   1. Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2021. "Implicit incentives for fund managers with partial information," Computational Management Science, Springer, vol. 18(4), pages 539-561, October.
      • Flavio Angelini & Katia Colaneri & Stefano Herzel & Marco Nicolosi, 2020. "Implicit Incentives for Fund Managers with Partial Information," Papers 2011.07871, arXiv.org.
   2. Emilio Barucci & Daniele Marazzina & Elisa Mastrogiacomo, 2021. "Optimal investment strategies with a minimum performance constraint," Annals of Operations Research, Springer, vol. 299(1), pages 215-239, April.
   3. Sheng, Jiliang & Xu, Si & An, Yunbi & Yang, Jun, 2022. "Dynamic asset pricing in delegated investment: An investigation from the perspective of heterogeneous beliefs of institutional and retail investors," Economic Modelling, Elsevier, vol. 107(C).

9. Stefano Herzel & Marco Nicolosi, 2017. "Portfolio allocation in actively managed funds," Economics Bulletin, AccessEcon, vol. 37(3), pages 1688-1693.

   Cited by:

   1. Marco Nicolosi, 2018. "Optimal strategy for a fund manager with option compensation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 1-17, May.

10. Meucci, A. & Nicolosi, M., 2016. "Dynamic portfolio management with views at multiple horizons," Applied Mathematics and Computation, Elsevier, vol. 274(C), pages 495-518.

    Cited by:

    1. Muhinyuza, Stanislas & Bodnar, Taras & Lindholm, Mathias, 2020. "A test on the location of the tangency portfolio on the set of feasible portfolios," Applied Mathematics and Computation, Elsevier, vol. 386(C).
    2. Martin Schans, 2019. "Entropy Pooling with Discrete Weights in a Time-Dependent Setting," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1633-1647, April.
    3. Xiangyu Cui & Jianjun Gao & Yun Shi, 2021. "Multi-period mean–variance portfolio optimization with management fees," Operational Research, Springer, vol. 21(2), pages 1333-1354, June.
    4. Ponta, Linda & Carbone, Anna, 2018. "Information measure for financial time series: Quantifying short-term market heterogeneity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 132-144.
    5. Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wolfgang Schmid, 2023. "Multi-period power utility optimization under stock return predictability," Computational Management Science, Springer, vol. 20(1), pages 1-27, December.

11. Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012. "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 333-349, May.
    • Stefano Herzel & Marco Nicolosi & Catalin Starica, 2011. "The cost of sustainability on optimal portfolio choices," Quaderni del Dipartimento di Economia, Finanza e Statistica 84/2011, Università di Perugia, Dipartimento Economia.
    • Stefano Herzel, Stefano & Marco Nicolosi, Marco & Starica, Catalin, 2010. "The cost of sustainability on optimal portfolio choices," Sustainable Investment and Corporate Governance Working Papers 2010/15, Sustainable Investment Research Platform.
    See citations under working paper version above.
12. Flavio Angelini & Marco Nicolosi, 2010. "On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 203-226, November.
    • Flavio Angelini & Marco Nicolosi, 2008. "Hedging error in Lévy models with a Fast Fourier Transform approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 43/2008, Università di Perugia, Dipartimento Economia.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-BEC: Business Economics (1) 2012-01-25
2. NEP-MIC: Microeconomics (1) 2020-12-07
3. NEP-MKT: Marketing (1) 2012-01-25
4. NEP-NET: Network Economics (1) 2021-02-15
5. NEP-RMG: Risk Management (1) 2020-12-07
6. NEP-UPT: Utility Models and Prospect Theory (1) 2020-12-07

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Marco Nicolosi should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.