FULVIO ORTU

FULVIO ORTU

Courses a.y. 2023/2024

Biographical note

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, as Head of the Department of Finance from 2019 to 2022.

My research interests are in Quantitative Finance and Asset Pricing.

I am a research fellow at IGIER and BAFFI CAREFIN.


Working papers

F. Ortu, P. Reggiani, F. Severino
Persistence-based capital allocation along the FOMC cycle

Ortu, Fulvio; Severino, Federico; Tebaldi, Claudio
A Persistence-Based Beveridge-Nelson Decomposition for I (1) time series
Work in progress

Selected Publications

Cerreia-Vioglio, Simone; Ortu, Fulvio; Rotondi, Francesco; Severino, Federico
On horizon-consistent mean-variance portfolio allocation
ANNALS OF OPERATIONS RESEARCH, 2024

Cerreia-Vioglio, Simone; Ortu, Fulvio; Severino, Federico; Tebaldi, Claudio
Multivariate Wold decompositions: a Hilbert A-module approach
DECISIONS IN ECONOMICS AND FINANCE, 2023

Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; Tebaldi, Claudio
A persistence-based Wold-type decomposition for stationary time series
Quantitative Economics, vol. 11: 203-230, 2020

Favero, Carlo A.; Ortu, Fulvio; Tamoni, Andrea; Yang, Haoxi
Implications of return predictability for consumption dynamics and asset pricing
Journal of Business and Economic Statistics, Quantitative Economics (2020), Vol. 38, No. 3:527-541, 2020

Di Virgilio, Domenica; Ortu, Fulvio; Severino, Federico; Tebaldi, Claudio
Optimal 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, 2019

Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
Envelope theorems in Banach lattices and asset pricing
Mathematics and Financial Economics, 2015

Ortu, Fulvio; Tamoni, Andrea; Tebaldi, Claudio
Long-run risk and the persistence of consumption shocks
The Review of Financial Studies, 2013

Li, Junye; Favero, Carlo; Ortu, Fulvio
A spectral estimation of tempered stable stochastic volatility models and option pricing
Computational Statistics & Data Analysis, 2012

Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
Intertemporal asset pricing and the marginal utility of wealth
Journal of Mathematical Economics, 2011

Battauz, Anna; Ortu, Fulvio
Dynamic versus one-period completeness in event-tree security markets
Economic Theory, 2007

Baccara, Mariagiovanna; Battauz, Anna; Ortu, Fulvio
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
Journal of Economic Dynamics & Control, 2006

Ortu, Fulvio
Arbitrage, Linear Programming and Martingales in Securities Markets Bid-Ask Spreads
Decisions in Economics and Finance, 2001

Bruno Girotto; Ortu, Fulvio
Generic Existence and Robust Non-Existence of Numeraires in Finite-Dimensional Securities Markets
Mathematical Finance, 2000

Anna Rita Bacinello; Ortu, Fulvio
Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates
Applied Mathematical Finance, 1999

Girotto, Bruno; Ortu, Fulvio
Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
Journal of Mathematical Economics, 1997

Ortu, Fulvio; A. R. Bacinello, P. Stucchi
Valuation of sinking-fund bonds in the Vasicek and CIR frameworks
Applied Mathematical Finance, 1996

Girotto, Bruno; Ortu, Fulvio
Existence of equivalent Martingale measures in finite dimensional securities markets
Journal of Economic Theory, 1996

Bacinello, Anna Rita; Fulvio Ortu
Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
European Journal of Operational Research, 1996

Brunio Girotto; Ortu, Fulvio
Consumption and Portfolio Policies with Incomplete Markets and Short-Sales Constraints in the Finite Dimensional Case: Some Remarks
Mathematical Finance, 1994

Bacinello, Anna Rita; Ortu, Fulvio
Single 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 Publishers, 1994

Anna Rita Bacinello; Ortu, Fulvio
Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees
Insurance Mathematics & Economics, 1993

Bacinello, Anna Rita; Ortu, Fulvio
Pricing Guaranteed Securities-Linked Life Insurance under Interest-Rate Risk
Proceedings of the 3rd AFIR International Colloquium, Rome, 1993

Ortu, Fulvio; Pressacco, F.
Viability and Completeness of Financial Markets in the Pricing of Options
Essays in Honor of Luciano Daboni, LINT Publ., Trieste, 1990

Girotto, Brunio; Ortu, Fulvio
Financial Markets Equilibrium and the Modigliani-Miller Theorem under Default-Risk: Some Remarks
Proceedings of the 9th AMASES Congress, Levico Terme, Italy, 1985