Fulvio Ortu

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Implications of Return Predictability for Consumption Dynamics and Asset Pricing Journal of Business and Economic Statistics	2024-10-28	Paper
On horizon-consistent mean-variance portfolio allocation Annals of Operations Research	2024-06-04	Paper
Multivariate Wold decompositions: a Hilbert \(A\)-module approach Decisions in Economics and Finance	2023-06-12	Paper
A persistence-based Wold-type decomposition for stationary time series Quantitative Economics	2020-08-24	Paper
Envelope theorems in Banach lattices and asset pricing Mathematics and Financial Economics	2015-09-22	Paper
A spectral estimation of tempered stable stochastic volatility models and option pricing Computational Statistics and Data Analysis	2012-12-30	Paper
Intertemporal asset pricing and the marginal utility of wealth Journal of Mathematical Economics	2011-07-27	Paper
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization Journal of Economic Dynamics and Control	2008-11-25	Paper
Dynamic versus one-period completeness in event-tree security markets Economic Theory	2006-11-29	Paper
Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates Applied Mathematical Finance	2002-09-05	Paper
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	2002-09-04	Paper
Generic existence and robust nonexistence of numéraires in finite-dimensional securities markets. Mathematical Finance	2001-03-29	Paper
Arbitrage, linear programming and martingales in securities markets with bid-ask spreads Decisions in Economics and Finance	2001-01-01	Paper
Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results European Journal of Operational Research	1999-02-22	Paper
CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT‐SALE CONSTRAINTS IN THE FINITE‐DIMENSIONAL CASE: SOME REMARKS Mathematical Finance	1998-07-22	Paper
Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets Journal of Mathematical Economics	1998-03-23	Paper
Existence of equivalent martingale measures in finite dimensional securities markets Journal of Economic Theory	1996-08-06	Paper
Pricing equity-linked life insurance with endogenous minimum guarantees Insurance Mathematics & Economics	1994-01-09	Paper

Research outcomes over time

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