Fulvio Ortu

Bocconi University - Department of Finance

Via Roentgen 1

Milano, MI 20136

Italy

SCHOLARLY PAPERS

9

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8

Scholarly Papers (9)

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Number of pages: 53 Posted: 04 Dec 2012 Last Revised: 23 Jun 2018
Bocconi University - Department of Finance, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
Downloads 378 (76,940)
Citation 3

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stochastic discount factor, predictors-based bounds, long run

Implications of Return Predictability Across Horizons for Asset Pricing Models

CEPR Discussion Paper No. DP11645
Number of pages: 64 Posted: 22 Nov 2016
Bocconi University - Department of Finance, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
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asset pricing models, predictors-based bound, return predictability

2.

Long Run Risk and the Persistence of Consumption Shocks

Number of pages: 62 Posted: 22 Nov 2010 Last Revised: 01 Jun 2013
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 305 (98,986)
Citation 3

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Long-run risk, Persistence heterogeneity, Temporal aggregation, Consumption predictability

3.

A Persistence-Based Wold-Type Decomposition for Stationary Time Series

Number of pages: 50 Posted: 15 Dec 2011 Last Revised: 31 Jul 2019
Bocconi University - Department of Finance, University of Lugano - Institute of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 292 (103,795)
Citation 1

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Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting

4.

A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing

Number of pages: 29 Posted: 22 Apr 2008 Last Revised: 13 Dec 2010
Junye Li, Carlo A. Favero and Fulvio Ortu
ESSEC Business School, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 195 (155,469)

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Empirical Characteristic Function, Stochastic Volatility, Infinite Activity Jumps, Volatility Jumps, Continuous GMM

5.

Long Run and the Temporal Aggregation of Risks

Number of pages: 63 Posted: 18 Mar 2010 Last Revised: 23 Nov 2010
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 118 (236,025)
Citation 1

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Persistence heterogeneity, Temporal aggregation, Permanent-transitory decomposition, Term-structure of risks, Long-run risks

6.

Intertemporal asset pricing and the marginal utility of wealth

Journal of Mathematical Economics, Vol. 47, No. 2, 2011
Number of pages: 52 Posted: 01 Apr 2007 Last Revised: 16 Feb 2012
Anna Battauz, Marzia De Donno and Fulvio Ortu
Bocconi University - Department of Finance, Universita Degli Studi Di Parma and Bocconi University - Department of Finance
Downloads 79 (307,395)
Citation 1

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arbitrage, viability, linear pricing rules, optimal portfolio-consumption problems, marginal utility of wealth, envelope theorem

7.

Effective Vs. Efficient Securities in Arbitrage-Free Markets with Bid-Ask Spreads: A Linear Programming Characterization

Number of pages: 29 Posted: 29 May 2009
Washington University in St. Louis, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 71 (326,754)
Citation 1

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Transacation Costs, Linear Programming, arbitrage, bid-ask prices, linear programming, effective securities, efficient trading strategies

8.

Envelope Theorems in Banach Lattices

Number of pages: 30 Posted: 10 May 2011
Marzia De Donno, Anna Battauz and Fulvio Ortu
Universita Degli Studi Di Parma, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 34 (449,219)
Citation 1

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9.

Generic Existence and Robust Nonexistence of Numeraires in Finite Dimensional Securities Markets

Mathematical Finance, Vol. 10, Issue 4, October 2000
Posted: 13 Feb 2001
Bruno Girotto and Fulvio Ortu
Università degli Studi di Trieste and Bocconi University - Department of Finance

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