Contacts

Fulvio Ortu

Department of Finance
Full Professor
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Bio

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

Publications

On horizon-consistent mean-variance portfolio allocation
ANNALS OF OPERATIONS RESEARCH, 2024
Multivariate Wold decompositions: a Hilbert A-module approach
DECISIONS IN ECONOMICS AND FINANCE, 2023
A persistence-based Wold-type decomposition for stationary time series
Quantitative Economics, vol. 11: 203-230, 2020
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
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
Envelope theorems in Banach lattices and asset pricing
Mathematics and Financial Economics, 2015
Long-run risk and the persistence of consumption shocks
The Review of Financial Studies, 2013
A spectral estimation of tempered stable stochastic volatility models and option pricing
Computational Statistics & Data Analysis, 2012
Intertemporal asset pricing and the marginal utility of wealth
Journal of Mathematical Economics, 2011
Dynamic versus one-period completeness in event-tree security markets
Economic Theory, 2007
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
Journal of Economic Dynamics & Control, 2006
Arbitrage, Linear Programming and Martingales in Securities Markets Bid-Ask Spreads
Decisions in Economics and Finance, 2001
Generic Existence and Robust Non-Existence of Numeraires in Finite-Dimensional Securities Markets
Mathematical Finance, 2000
Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates
Applied Mathematical Finance, 1999
Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
Journal of Mathematical Economics, 1997
Valuation of sinking-fund bonds in the Vasicek and CIR frameworks
Applied Mathematical Finance, 1996
Existence of equivalent Martingale measures in finite dimensional securities markets
Journal of Economic Theory, 1996
Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
European Journal of Operational Research, 1996
Consumption and Portfolio Policies with Incomplete Markets and Short-Sales Constraints in the Finite Dimensional Case: Some Remarks
Mathematical Finance, 1994
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
Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees
Insurance Mathematics & Economics, 1993
Pricing Guaranteed Securities-Linked Life Insurance under Interest-Rate Risk
Proceedings of the 3rd AFIR International Colloquium, Rome, 1993
Viability and Completeness of Financial Markets in the Pricing of Options
Essays in Honor of Luciano Daboni, LINT Publ., Trieste, 1990
Financial Markets Equilibrium and the Modigliani-Miller Theorem under Default-Risk: Some Remarks
Proceedings of the 9th AMASES Congress, Levico Terme, Italy, 1985