Details about Fulvio Ortu

Access statistics for papers by Fulvio Ortu.

Last updated 2017-06-12. Update your information in the RePEc Author Service.

Short-id: por205

Working Papers

2016

1. Implications of Return Predictability across Horizons for Asset Pricing Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)

2011

2. Envelope theorems in Banach lattices
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)

2010

3. A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
   See also Journal Article A spectral estimation of tempered stable stochastic volatility models and option pricing, Computational Statistics & Data Analysis, Elsevier (2012) View citations (6) (2012)

2000

4. Generalized Numeraire Portfolios
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (1)

Journal Articles

2013

1. Long-Run Risk and the Persistence of Consumption Shocks
   The Review of Financial Studies, 2013, 26, (11), 2876-2915 View citations (60)

2012

2. A spectral estimation of tempered stable stochastic volatility models and option pricing
   Computational Statistics & Data Analysis, 2012, 56, (11), 3645-3658 View citations (6)
   See also Working Paper A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing, Working Papers (2010) View citations (1) (2010)

2011

3. Intertemporal asset pricing and the marginal utility of wealth
   Journal of Mathematical Economics, 2011, 47, (2), 227-244 View citations (1)

2007

4. Dynamic versus one-period completeness in event-tree security markets
   Economic Theory, 2007, 30, (1), 191-193

2006

5. Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
   Journal of Economic Dynamics and Control, 2006, 30, (1), 55-79 View citations (1)

2001

6. Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads
   Decisions in Economics and Finance, 2001, 24, (2), 79-105 View citations (8)

2000

7. Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets
   Mathematical Finance, 2000, 10, (4), 429-442

1999

8. Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates
   Applied Mathematical Finance, 1999, 6, (4), 293-312

1997

9. Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
   Journal of Mathematical Economics, 1997, 27, (3), 283-294 View citations (1)

1996

10. Existence of Equivalent Martingale Measures in Finite Dimensional Securities Markets
    Journal of Economic Theory, 1996, 69, (1), 262-277 View citations (2)
11. Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
    European Journal of Operational Research, 1996, 91, (2), 235-249 View citations (8)
12. Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on 'Modelli di struttura a termine dei tassi d'interesse' is gratefully acknowledged
    Applied Mathematical Finance, 1996, 3, (4), 269-394 View citations (1)

1994

13. CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT‐SALE CONSTRAINTS IN THE FINITE‐DIMENSIONAL CASE: SOME REMARKS
    Mathematical Finance, 1994, 4, (1), 69-73 View citations (2)

1993

14. Pricing equity-linked life insurance with endogenous minimum guarantees
    Insurance: Mathematics and Economics, 1993, 12, (3), 245-257 View citations (45)
15. Pricing equity-linked life insurance with endogenous minimum guarantees: A corrigendum
    Insurance: Mathematics and Economics, 1993, 13, (3), 303-304 View citations (50)