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FULVIO ORTU

FULVIO ORTU
Full Professor
Department of Finance

Courses a.y. 2023/2024

20188 QUANTITATIVE FINANCE AND DERIVATIVES - MODULE 1
30560 MATHEMATICAL MODELLING FOR FINANCE
40215 FINANCE 2

Courses previous a.y.

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. I am currently the head of the Department of Finance.

My research interests are in Quantitative Finance and Asset Pricing.

I am a research fellow at IGIER and BAFFI CAREFIN.


Working papers

Ortu, Fulvio; Cerreia-Vioglio, Simone; Severino, Federico; Tebaldi, Claudio
Multivariate Wold Decompositions
September 2017

Ortu, Fulvio; Cerreia-Vioglio, Simone; Rotondi, Francesco; Severino, Federico
On Time-Consistent Multi-Horizon Portfolio Allocation
September 15, 2021

Ortu, Fulvio; Reggiani, Pietro; Severino, Federico
FED Cycles and the Persistence of Stock Returns
Work in progress

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

Selected Publications

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



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


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