Stefano Herzel

404 total citations
29 papers, 242 citations indexed

About

Stefano Herzel is a scholar working on Finance, Economics and Econometrics and Management Science and Operations Research. According to data from OpenAlex, Stefano Herzel has authored 29 papers receiving a total of 242 indexed citations (citations by other indexed papers that have themselves been cited), including 26 papers in Finance, 14 papers in Economics and Econometrics and 5 papers in Management Science and Operations Research. Recurrent topics in Stefano Herzel's work include Stochastic processes and financial applications (17 papers), Financial Markets and Investment Strategies (12 papers) and Financial Risk and Volatility Modeling (12 papers). Stefano Herzel is often cited by papers focused on Stochastic processes and financial applications (17 papers), Financial Markets and Investment Strategies (12 papers) and Financial Risk and Volatility Modeling (12 papers). Stefano Herzel collaborates with scholars based in Italy, Sweden and Belgium. Stefano Herzel's co-authors include Rocco Ciciretti, Leonardo Becchetti, Ambrogio Dalò, Marco Nicolosi, Cătălin Stărică, Maria Cristina Recchioni, Francesco Zirilli, Mustafa Ç. Pı̆nar, Tommy Gärling and Martin Holmén and has published in prestigious journals such as Annals of Operations Research, Journal of Computational and Applied Mathematics and Linear Algebra and its Applications.

In The Last Decade

Stefano Herzel

25 papers receiving 226 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Stefano Herzel Italy 9 168 104 60 40 38 29 242
Christoph Burgard United States 6 215 1.3× 50 0.5× 32 0.5× 29 0.7× 22 0.6× 11 249
Rafał M. Wojakowski United Kingdom 11 238 1.4× 161 1.5× 33 0.6× 71 1.8× 23 0.6× 30 274
Donald R. van Deventer United States 8 322 1.9× 104 1.0× 16 0.3× 79 2.0× 17 0.4× 14 378
Xinfeng Ruan New Zealand 10 224 1.3× 171 1.6× 15 0.3× 32 0.8× 29 0.8× 47 288
Jeremy Evnine United States 5 320 1.9× 130 1.3× 28 0.5× 24 0.6× 32 0.8× 6 335
Christian Koziol Germany 10 326 1.9× 140 1.3× 76 1.3× 174 4.3× 17 0.4× 48 383
Jarrod W. Wilcox United States 10 225 1.3× 131 1.3× 66 1.1× 233 5.8× 56 1.5× 32 372
Ivilina Popova United States 9 233 1.4× 141 1.4× 10 0.2× 45 1.1× 45 1.2× 30 288
James X. Xiong United States 9 207 1.2× 146 1.4× 30 0.5× 91 2.3× 58 1.5× 26 267

Countries citing papers authored by Stefano Herzel

Since Specialization
Citations

This map shows the geographic impact of Stefano Herzel's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Stefano Herzel with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Stefano Herzel more than expected).

Fields of papers citing papers by Stefano Herzel

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Stefano Herzel. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Stefano Herzel. The network helps show where Stefano Herzel may publish in the future.

Co-authorship network of co-authors of Stefano Herzel

This figure shows the co-authorship network connecting the top 25 collaborators of Stefano Herzel. A scholar is included among the top collaborators of Stefano Herzel based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Stefano Herzel. Stefano Herzel is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Giorgi, Federico M., Stefano Herzel, & Paolo Pigato. (2023). A reinforcement learning algorithm for trading commodities. Applied Stochastic Models in Business and Industry. 40(2). 373–388. 1 indexed citations
2.
Herzel, Stefano, et al.. (2021). Implicit incentives for fund managers with partial information. Cineca Institutional Research Information System (Tor Vergata University).
3.
Herzel, Stefano, et al.. (2021). The value of knowing the market price of risk. Cineca Institutional Research Information System (Tor Vergata University). 6 indexed citations
4.
Herzel, Stefano & Marco Nicolosi. (2017). Portfolio allocation in actively managed funds. Economics bulletin. 37(3). 154. 1 indexed citations
5.
Herzel, Stefano, et al.. (2017). An Agent Based Model for a Double Auction with Convex Incentives. Journal of Artificial Societies and Social Simulation. 20(1). 2 indexed citations
6.
Nicolosi, Marco, et al.. (2017). Portfolio management with benchmark related incentives under mean reverting processes. Annals of Operations Research. 266(1-2). 373–394. 15 indexed citations
7.
Herzel, Stefano & Marco Nicolosi. (2017). Optimal strategies with option compensation under mean reverting returns or volatilities. Computational Management Science. 16(1-2). 47–69. 2 indexed citations
8.
Becchetti, Leonardo, Rocco Ciciretti, Ambrogio Dalò, & Stefano Herzel. (2015). Socially responsible and conventional investment funds: performance comparison and the global financial crisis. Applied Economics. 47(25). 2541–2562. 90 indexed citations
9.
Gärling, Tommy, et al.. (2015). Convex Incentives in Financial Markets: An Agent-Based Analysis. SSRN Electronic Journal. 2 indexed citations
10.
Herzel, Stefano, et al.. (2014). Delegated portfolio management under ambiguity aversion. Operations Research Letters. 42(2). 190–195. 5 indexed citations
11.
Gärling, Tommy, et al.. (2014). Convex Incentives in Financial Markets: An Agent-Based Analysis. SSRN Electronic Journal. 1 indexed citations
12.
Herzel, Stefano, et al.. (2013). Delta hedging in discrete time under stochastic interest rate. Journal of Computational and Applied Mathematics. 259. 385–393. 4 indexed citations
13.
Herzel, Stefano, et al.. (2011). Delegated portfolio management with socially responsible investment constraints. European Journal of Finance. 18(3-4). 293–309. 9 indexed citations
14.
Herzel, Stefano, Marco Nicolosi, & Cătălin Stărică. (2011). The cost of sustainability in optimal portfolio decisions. European Journal of Finance. 18(3-4). 333–349. 19 indexed citations
15.
Herzel, Stefano, et al.. (2009). Explicit formulas for the minimal variance hedging strategy in a martingale case. Decisions in Economics and Finance. 33(1). 63–79. 5 indexed citations
16.
Herzel, Stefano, et al.. (2007). Variance of hedging strategies in discrete time. 1 indexed citations
17.
Herzel, Stefano, Cătălin Stărică, & Reha Tütüncü. (2003). A Non-Stationary Paradigm for the Dynamics of Multivariate Financial Returns. SSRN Electronic Journal. 3 indexed citations
18.
Herzel, Stefano. (2000). Option pricing with stochastic volatility models. Decisions in Economics and Finance. 23(2). 75–99. 4 indexed citations
19.
Herzel, Stefano & Michael J. Todd. (1995). Two interior-point algorithms for a class of convex programming problems. Optimization methods & software. 5(1). 27–55. 1 indexed citations
20.
Herzel, Stefano, Maria Cristina Recchioni, & Francesco Zirilli. (1991). A quadratically convergent method for linear programming. Linear Algebra and its Applications. 152. 255–289. 10 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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