Stefano Herzel

According to our database, Stefano Herzel authored at least 8 papers between 2014 and 2021.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2021

Implicit incentives for fund managers with partial information.

Flavio Angelini, Katia Colaneri, Stefano Herzel, Marco Nicolosi

Comput. Manag. Sci., 2021

The value of knowing the market price of risk.

Katia Colaneri, Stefano Herzel, Marco Nicolosi

Ann. Oper. Res., 2021

2019

Optimal strategies with option compensation under mean reverting returns or volatilities.

Stefano Herzel, Marco Nicolosi

Comput. Manag. Sci., 2019

2018

Portfolio management with benchmark related incentives under mean reverting processes.

Marco Nicolosi, Flavio Angelini, Stefano Herzel

Ann. Oper. Res., 2018

2017

An Agent Based Model for a Double Auction with Convex Incentives.

Annalisa Fabretti, Stefano Herzel

J. Artif. Soc. Soc. Simul., 2017

2016

An Agent-Based Model to Study the Impact of Convex Incentives on Financial Markets.

Annalisa Fabretti, Tommy Gärling, Stefano Herzel, Martin Holmen

Proceedings of the Trends in Practical Applications of Scalable Multi-Agent Systems, 2016

2014

Delegated portfolio management under ambiguity aversion.

Annalisa Fabretti, Stefano Herzel, Mustafa Ç. Pinar

Oper. Res. Lett., 2014

Delta hedging in discrete time under stochastic interest rate.

Flavio Angelini, Stefano Herzel

J. Comput. Appl. Math., 2014