ORTU, FULVIO
ORTU, FULVIO
Dipartimento di Finanza
"Arbitrage, Linear Programming and Martingales in Securities Markets Bid-Ask Spreads"
2001 Ortu, Fulvio
"Generic Existence and Robust Non-Existence of Numeraires in Finite-Dimensional Securities Markets"
2000 Bruno, Girotto; Ortu, Fulvio
"Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees"
1993 Anna Rita, Bacinello; Ortu, Fulvio
A persistence-based Wold-type decomposition for stationary time series
2020 Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; Tebaldi, Claudio
A spectral estimation of tempered stable stochastic volatility models and option pricing
2012 Li, Junye; Favero, Carlo; Ortu, Fulvio
Arbitrage theory in discrete and continuous time : lecture notes for the course Quantitative finance and derivatives
2009 Battauz, Anna; Ortu, Fulvio
Arbitrage theory in discrete and continuous time: lecture notes for the course Quantitative finance and derivatives: cod. 8444
2009 Battauz, Anna; Ortu, Fulvio
Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates
1999 Anna Rita, Bacinello; Ortu, Fulvio
Consumption and Portfolio Policies with Incomplete Markets and Short-Sales Constraints in the Finite Dimensional Case: Some Remarks
1994 Brunio, Girotto; Ortu, Fulvio
Dynamic versus one-period completeness in event-tree security markets
2007 Battauz, Anna; Ortu, Fulvio
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
2006 Baccara, M.; Battauz, Anna; Ortu, Fulvio
Envelope theorems in Banach lattices and asset pricing
2015 Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
Existence of equivalent Martingale measures in finite dimensional securities markets
1996 Girotto, Bruno; Ortu, Fulvio
Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
1996 Anna Rita, Bacinello; Ortu, Fulvio
Implications of return predictability for consumption dynamics and asset pricing
2020 Favero, Carlo A.; Ortu, Fulvio; Tamoni, Andrea; Yang, Haoxi
Intertemporal asset pricing and the marginal utility of wealth
2011 Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
Long-run risk and the persistence of consumption shocks
2013 Ortu, Fulvio; Tamoni, Andrea; Tebaldi, Claudio
Multivariate Wold decompositions: a Hilbert A-module approach
2023 Cerreia-Vioglio, Simone; Ortu, Fulvio; Severino, Federico; Tebaldi, Claudio
Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
1997 Girotto, Bruno; Ortu, Fulvio
On horizon-consistent mean-variance portfolio allocation
2024 Cerreia-Vioglio, Simone; Ortu, Fulvio; Rotondi, Francesco; Severino, Federico
| Titolo | Data di pubblicazione | Autore(i) | Rivista | Editore |
|---|---|---|---|---|
| "Arbitrage, Linear Programming and Martingales in Securities Markets Bid-Ask Spreads" | 1-gen-2001 | Ortu, Fulvio | DECISIONS IN ECONOMICS AND FINANCE | Springer-Verlag Italia Srl:via Decembrio 28, 20137 Milan Italy:011 39 2 5425971, EMAIL: riccardi@springer.it, Fax: 011 39 2 55193360 |
| "Generic Existence and Robust Non-Existence of Numeraires in Finite-Dimensional Securities Markets" | 1-gen-2000 | Bruno, Girotto; Ortu, Fulvio | MATHEMATICAL FINANCE | Blackwell Publishing Limited:9600 Garsington Road, Oxford OX4 2DQ United Kingdom:011 44 1865 776868 , (781)388-8200, EMAIL: agentservices@oxon.blackwellpublishing.com, e-help@blackwellpublishers.co.uk, INTERNET: http://www.blackwellpublishing.com, Fax: 011 44 1865 714591 |
| "Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees" | 1-gen-1993 | Anna Rita, Bacinello; Ortu, Fulvio | INSURANCE MATHEMATICS & ECONOMICS | - |
| A persistence-based Wold-type decomposition for stationary time series | 1-gen-2020 | Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; Tebaldi, Claudio | QUANTITATIVE ECONOMICS | - |
| A spectral estimation of tempered stable stochastic volatility models and option pricing | 1-gen-2012 | Li, Junye; Favero, Carlo; Ortu, Fulvio | COMPUTATIONAL STATISTICS & DATA ANALYSIS | - |
| Arbitrage theory in discrete and continuous time : lecture notes for the course Quantitative finance and derivatives | 1-gen-2009 | Battauz, Anna; Ortu, Fulvio | - | EGEA |
| Arbitrage theory in discrete and continuous time: lecture notes for the course Quantitative finance and derivatives: cod. 8444 | 1-gen-2009 | Battauz, Anna; Ortu, Fulvio | - | EGEA |
| Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates | 1-gen-1999 | Anna Rita, Bacinello; Ortu, Fulvio | APPLIED MATHEMATICAL FINANCE | Routledge Limited:11 New Fetter Lane, London EC4P 4EE United Kingdom:011 44 20 75839855, INTERNET: http://journals.routledge.com, Fax: 011 44 20 7330245 |
| Consumption and Portfolio Policies with Incomplete Markets and Short-Sales Constraints in the Finite Dimensional Case: Some Remarks | 1-gen-1994 | Brunio, Girotto; Ortu, Fulvio | MATHEMATICAL FINANCE | Blackwell Publishing Limited:9600 Garsington Road, Oxford OX4 2DQ United Kingdom:011 44 1865 776868 , (781)388-8200, EMAIL: agentservices@oxon.blackwellpublishing.com, e-help@blackwellpublishers.co.uk, INTERNET: http://www.blackwellpublishing.com, Fax: 011 44 1865 714591 |
| Dynamic versus one-period completeness in event-tree security markets | 1-gen-2007 | Battauz, Anna; Ortu, Fulvio | ECONOMIC THEORY | - |
| Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization | 1-gen-2006 | Baccara, M.; Battauz, Anna; Ortu, Fulvio | JOURNAL OF ECONOMIC DYNAMICS & CONTROL | primo editore:North-Holland, Amsterdam attuale:Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598 |
| Envelope theorems in Banach lattices and asset pricing | 1-gen-2015 | Battauz, Anna; De Donno, Marzia; Ortu, Fulvio | MATHEMATICS AND FINANCIAL ECONOMICS | - |
| Existence of equivalent Martingale measures in finite dimensional securities markets | 1-gen-1996 | Girotto, Bruno; Ortu, Fulvio | JOURNAL OF ECONOMIC THEORY | Academic Press Incorporated:6277 Sea Harbor Drive:Orlando, FL 32887:(800)543-9534, (407)345-4100, EMAIL: ap@acad.com, INTERNET: http://www.idealibrary.com, Fax: (407)352-3445 |
| Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results | 1-gen-1996 | Anna Rita, Bacinello; Ortu, Fulvio | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598 |
| Implications of return predictability for consumption dynamics and asset pricing | 1-gen-2020 | Favero, Carlo A.; Ortu, Fulvio; Tamoni, Andrea; Yang, Haoxi | JOURNAL OF BUSINESS & ECONOMIC STATISTICS | - |
| Intertemporal asset pricing and the marginal utility of wealth | 1-gen-2011 | Battauz, Anna; De Donno, Marzia; Ortu, Fulvio | JOURNAL OF MATHEMATICAL ECONOMICS | - |
| Long-run risk and the persistence of consumption shocks | 1-gen-2013 | Ortu, Fulvio; Tamoni, Andrea; Tebaldi, Claudio | THE REVIEW OF FINANCIAL STUDIES | - |
| Multivariate Wold decompositions: a Hilbert A-module approach | 1-gen-2023 | Cerreia-Vioglio, Simone; Ortu, Fulvio; Severino, Federico; Tebaldi, Claudio | DECISIONS IN ECONOMICS AND FINANCE | - |
| Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets | 1-gen-1997 | Girotto, Bruno; Ortu, Fulvio | JOURNAL OF MATHEMATICAL ECONOMICS | Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598 |
| On horizon-consistent mean-variance portfolio allocation | 1-gen-2024 | Cerreia-Vioglio, Simone; Ortu, Fulvio; Rotondi, Francesco; Severino, Federico | ANNALS OF OPERATIONS RESEARCH | - |