Fulvio Ortu

Bocconi University - Department of Finance

Via Roentgen 1

Milano, MI 20136

Italy

SCHOLARLY PAPERS

9

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CITATIONS
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5

Scholarly Papers (9)

Implications of Return Predictability across Horizons for Asset Pricing Models

Number of pages: 61 Posted: 04 Dec 2012 Last Revised: 14 Nov 2016
Bocconi University - Department of Finance, Bocconi University - Department of Finance, London School of Economics & Political Science (LSE) and Nankai University
Downloads 290 (81,230)

Abstract:

return predictability, predictors-based bound, asset pricing models

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, London School of Economics & Political Science (LSE) and Nankai University
Downloads 0

Abstract:

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, London School of Economics & Political Science (LSE) and Bocconi University, IGIER and CAREFIN
Downloads 243 (89,875)
Citation 2

Abstract:

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

3.

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 185 (125,851)

Abstract:

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

4.

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, London School of Economics & Political Science (LSE) and Bocconi University, IGIER and CAREFIN
Downloads 104 (199,403)

Abstract:

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

5.

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

Number of pages: 85 Posted: 15 Dec 2011 Last Revised: 13 Aug 2015
Bocconi University - Department of Finance, Bocconi University, London School of Economics & Political Science (LSE) and Bocconi University, IGIER and CAREFIN
Downloads 93 (148,541)

Abstract:

Wold decomposition, Abstract Wold Theorem, persistence heterogeneity, impulse response functions, forecasting

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, Bocconi University - Department of Decision Sciences and Bocconi University - Department of Finance
Downloads 69 (257,957)
Citation 1

Abstract:

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 Saint Louis, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 66 (270,503)
Citation 1

Abstract:

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
Bocconi University - Department of Decision Sciences, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 29 (374,133)
Citation 1

Abstract:

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

Abstract: