Fulvio Ortu

Bocconi University - Department of Finance

Via Roentgen 1

Milano, MI 20136

Italy

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 36,865

SSRN RANKINGS

Top 36,865

in Total Papers Downloads

1,638

SSRN CITATIONS
Rank 23,505

SSRN RANKINGS

Top 23,505

in Total Papers Citations

34

CROSSREF CITATIONS

8

Scholarly Papers (10)

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 398 (92,650)
Citation 7

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

asset pricing models, predictors-based bound, return predictability

2.

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, Université Laval, 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 329 (115,856)
Citation 4

Abstract:

Loading...

Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting

3.

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 325 (117,415)
Citation 18

Abstract:

Loading...

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

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
Fudan University - School of Management, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 203 (187,954)

Abstract:

Loading...

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 128 (276,308)
Citation 1

Abstract:

Loading...

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 85 (363,950)
Citation 2

Abstract:

Loading...

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 80 (377,368)
Citation 1

Abstract:

Loading...

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

8.

On Time-Consistent Multi-Horizon Portfolio Allocation

Number of pages: 36 Posted: 10 May 2021 Last Revised: 16 Sep 2021
Bocconi University - Department of Decision Sciences, Bocconi University - Department of Finance, Bocconi University - Department of Finance and Université Laval
Downloads 49 (486,478)

Abstract:

Loading...

return decomposition, multiple horizons, time consistency, mean-variance frontier, martingale pricing, stochastic interest rates.

9.

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 41 (517,905)
Citation 1

Abstract:

Loading...

10.

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

Posted: 13 Feb 2001
Bruno Girotto and Fulvio Ortu
Università degli Studi di Trieste and Bocconi University - Department of Finance

Abstract:

Loading...