Fulvio Ortu
I earned my BA in Economics at the University of Trieste and my Ph.D. in Economics at the University of Chicago. Before joining Bocconi University, I taught at Columbia University and the University of Southern California.
Since I joined Bocconi, I have been teaching undergraduate, graduate, and Ph.D. courses on Investments, Quantitative Finance and Derivatives Pricing, and Asset Pricing.
At Bocconi, I served as founding Dean of the Ph.D. School from 2004 to 2008, and as Dean for International Affairs from 2008 to 2012. I am currently the head of the Department of Finance.
My research interests are in Quantitative Finance and Asset Pricing.
I am a research fellow at IGIER and BAFFI CAREFIN.
Working papers
September 2017
September 15, 2021
FED Cycles and the Persistence of Stock Returns
Work in progress
A Persistence-Based Beveridge-Nelson Decomposition for I (1) time series
Work in progress
Selected Publications
A persistence-based Wold-type decomposition for stationary time series
Quantitative Economics, vol. 11: 203-230, 2020Implications of return predictability for consumption dynamics and asset pricing
Journal of Business and Economic Statistics, Quantitative Economics (2020), Vol. 38, No. 3:527-541, 2020Optimal asset allocation with heterogeneous persistent shocks and myopic and intertemporal hedging demand
in: Behavioral Finance: The Coming of Age, Venezia, I. (ed.), London, World Science Publishing, 2019A spectral estimation of tempered stable stochastic volatility models and option pricing
Computational Statistics & Data Analysis, 2012Intertemporal asset pricing and the marginal utility of wealth
Journal of Mathematical Economics, 2011Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
Journal of Economic Dynamics & Control, 2006Arbitrage, Linear Programming and Martingales in Securities Markets Bid-Ask Spreads
Decisions in Economics and Finance, 2001Generic Existence and Robust Non-Existence of Numeraires in Finite-Dimensional Securities Markets
Mathematical Finance, 2000Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates
Applied Mathematical Finance, 1999Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
Journal of Mathematical Economics, 1997Existence of equivalent Martingale measures in finite dimensional securities markets
Journal of Economic Theory, 1996Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
European Journal of Operational Research, 1996Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: the 'Lognormal+Vasicek' case
L. Peccati and M. Viren (eds.), Financial Modeling, Physica-Verlag PublishersPricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees
Insurance Mathematics & Economics, 1993Pricing Guaranteed Securities-Linked Life Insurance under Interest-Rate Risk
Proceedings of the 3rd AFIR International Colloquium, RomeViability and Completeness of Financial Markets in the Pricing of Options
Essays in Honor of Luciano Daboni, LINT Publ., TriesteFinancial Markets Equilibrium and the Modigliani-Miller Theorem under Default-Risk: Some Remarks
Proceedings of the 9th AMASES Congress, Levico Terme, ItalyTeaching