Federico
Severino
Associate Professor
Department of Finance, Insurance and Real Estate
FSA ULaval
Pavillon Palasis-Prince
Local 3610
Fields of Interest and Research
- Assessment and optimization in management
- Financial economics
- Econometrics
- Statistical learning
- Actuarial science and mathematical finance
- Microeconomics
Education
- Philosophiae Doctor, Economics and Finance (Ph. D.), Bocconi University
- Master of Science, Mathematics (M. Sc.), University of Milan
- Bachelor of Science, Applied Mathematics (B. Sc.), University of Milan
Publications
Articles
- Ortu, F., Reggiani, P., & Severino, F. (2025). Persistence-based capital allocation along the FOMC cycle. The Quarterly Journal of Finance, 15(1), 2550005. DOI : 10.1142/S2010139225500053
- Severino, F. (2025). Long-term risk with stochastic interest rates. Mathematical Finance, 35(1), 3-39. DOI : 10.1111/mafi.12440
- Madotto, M., & Severino, F. (2023). Heterogeneous awareness in financial markets. Journal of Economic Behavior & Organization, 216(1), 26-41. DOI : 10.1016/j.jebo.2023.09.029
- Cremona, M. A., Doroshenko, L., & Severino, F. (2023). Functional motif discovery in stock market prices. SSRN Electronic Journal. DOI : 10.2139/ssrn.4642040
- Cerreia-Vioglio, S., Ortu, F., Severino, F., & Tebaldi, C. (2023). Multivariate wold decompositions: a Hilbert A-module approach. Decisions in Economics and Finance, 46(1), 45-96. DOI : 10.1007/s10203-023-00392-3
- Severino, F., Cremona, M. A., & Dadié, É. (2022). COVID-19 effects on the Canadian term structure of interest rates. Review of Economic Analysis, 14(4), 471-502. DOI : 10.2139/ssrn.3762628
- Cerreia-Vioglio, S., Ortu, F., Rotondi, F., & Severino, F. (2022). On horizon-consistent mean-variance portfolio allocation. Annals of Operations Research. DOI : 10.1007/s10479-022-04798-x
- Ortu, F., Severino, F., Tamoni, A., & Tebaldi, C. (2020). A persistence-based wold-type decomposition for stationary time series. Quantitative Economics, 11(1), 203-230. DOI : 10.3982/QE994
- Marinacci, M., & Severino, F. (2018). Weak time-derivatives and no-arbitrage pricing. Finance and Stochastics, 22(4), 1007-1036. DOI : 10.1007/s00780-018-0371-9
- Severino, F. (2016). Isometric operators on Hilbert spaces and Wold decomposition of stationary time series. Decisions in Economics and Finance, 39(2), 203-234. DOI : 10.1007/s10203-016-0181-5
Chapters in Collective Works
- Severino, F., & Thierry, S. (2022). Robo-advisors: A Big Data challenge. In T. Walker, F. Davis & T. Schwartz (Eds.). Big Data in finance: Opportunities and challenges of financial digitalization. Palgrave Macmillan. doi : 10.1007/978-3-031-12240-8_7.
- Di Virgilio, D., Ortu, F., Severino, F., & Tebaldi, C. (2019). Optimal asset allocation with heterogeneous persistent shocks and myopic and intertemporal hedging demand. In Itzhak Venezia (Ed). Behavioral finance: the coming of age (pp. 57-108). World Scientific Publishing Co. Pte. Ltd. doi : 10.1142/11248.
Communications in a Conference Without Proceedings
- Severino, F. (2025). Equity marketneutral strategies using variable selection and regularized regression. 59th Canadian Economic Association Conference (CEA), Montréal, Canada.
- Severino, F. (2025). Machine learning in finance : Motif discovery in stock market prices. Seminaire à la Memorial University of Newfoundland, Saint-Jean, Canada.
- Severino, F. (2024). Motif discovery and forecast of stock market prices. The Rotman Finance Analytics and Decision-Making League 1st Conference (RFADML), University of Toronto, Canada.
- Cremona, M. A., Doroshenko, L., & Severino, F. (2024). Functional motif discovery in stock market prices. 17th Annual Meeting of the Academy of Behavioral Finance & Economics (ABF&E), Los Angeles, United States of America.
- Cremona, M. A., Doroshenko, L., & Severino, F. (2024). Functional motif discovery in stock market prices. 26th International Conference on Computational Statistics (COMPSTAT), Justus-Liebig-University Giessen, Germany.
- Ortu, F., Reggiani, P., & Severino, F. (2024). Persistence-based capital allocation along the FOMC cycle. 58th Canadian Economics Association Conference (CEA), Toronto Metropolitan University, Canada.
- Ortu, F., Reggiani, P., & Severino, F. (2024). Persistence-based capital allocation along the FOMC cycle. 11th International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), Université Le Havre, Normandie, France.
- Ortu, F., Reggiani, P., & Severino, F. (2023). Persistence-based capital allocation along the FOMC cycle. 3rd World Conference on Business, Management, Finance, Economics and Marketing (WCBMFEM), Eurasia Conferences, Paris, France.
- Severino, F. (2023). On horizon-consistent mean-variance portfolio allocation. International Risk Management Conference 2023 (IRMC), Florence, Italy.
- Severino, F. (2023). Persistence-based capital allocation along the FOMC cycle. Brown Bag Seminar, Milan, Italy.
- Severino, F. (2023). On horizon-consistent mean-variance portfolio allocation. Young Talents in Actuarial Science and Quantitative Finance, Waterloo, Canada.
- Severino, F. (2023). Robots-conseillers : un défi de données massives. Webinaire de l’IID, Institut Intelligence et Données, Université Laval, Québec, Canada.
- Doroshenko, L., Cremona, M. A., & Severino, F. (2022). Functional motif discovery in stock market prices. Stochastic Modeling and Computational Statistics talk; Pennsylvania State University, Eberly College of Science, Department of Statistics, University Park, United States of America.
- Severino, F. (2022). On horizon-consistent mean-variance portfolio allocation. 35th Australasian Banking & Finance Conference, Sydney, Australia.
- Severino, F. (2022). Persistence-based portfolio choice along the FOMC cycle. 16th International Conference on Computational and Financial Econometrics (CFE), London, United Kingdom.
- Severino, F. (2022). Persistence-based Wold decomposition and FED cycle. SMAC Talk, The Pennsylvania State University, State College, Pennsylvanie, United States of America.
- Severino, F. (2022). On time-consistent multi-horizon portfolio allocation. 29th Finance Forum, Annual Meeting of the Spanish Finance Association (AEFIN), Universidade de Santiago de Compostela, Santiago, Spain.
- Severino, F. (2022). Robo-advisors : A Big Data challenge. 1st Conference on International Finance; Sustainable and Climate Finance and Growth (CINSC), Future Finance and Economics Association, Università di Napoli Parthenope, Naples, Italy.
- Severino, F. (2022). COVID-19 effects on the Canadian term structure of interest rates. 49th Annual Meeting of the Statistical Society of Canada, Canada.
- Severino, F. (2022). Robo-advisors : A Big Data challenge. 9th International Conference on Risk Analysis (ICRA9), Università di Perugia (virtuel), Perugia, Italy.
- Severino, F. (2022). On time-consistent multi-horizon portfolio allocation. 10th International Hybrid Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), Università di Salerno (virtuel), En ligne, Italy.
- Severino, F. (2022). Confronting Uncertainty in Climate Change workshop. Confronting Uncertainty in Climate Change workshop, IMSI, University of Chicago (virtuel), Chicago, United States of America.
- Severino, F. (2022). COVID-19 effects on the Canadian term structure of interest rates. The Resilient Society Conference, ICEA (International Centre for Economic Analysis).
- Severino, F. (2022). Multivariate Wold Decompositions. Séminaire au Département d'Économique, Université Laval, Québec, Canada.
- Cremona, M. A., Severino, F., & Dadié, É. (2021). COVID-19 effects on the Canadian term structure of interest rates. ERCIM 2021, joint conference CFE-CMStatistics, London (Virtuel), United Kingdom.
- Severino, F. (2021). On time-consistent multi-horizon portfolio allocation. 2021 New Zealand Finance Meeting, Auckland Center for Financial Research (virtuel), Auckland, New Zealand.
- Severino, F., Cremona, M. A., & Dadié, É. (2021). COVID-19 effects on the Canadian term structure of interest rates. XLV AMASES Conference, Università Mediterranea di Reggio Calabria, Reggio Calabria (Virtuel), Italy.
- Severino, F. (2021). COVID-19 effeects on the Canadian term structure of interest rates. XLV AMASES conference, Università Mediterranea di Reggio Calabria, Reggio Calabria, Italy.
- Severino, F. (2021). Présentation du papier ‘On time-consistent multi-horizon portfolio allocation’ de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Econometric Society European Meeting 2021 (ESEM), Københavns Universiteit, Copenhague (Virtuel), Denmark.
- Severino, F. (2021). Présentation du papier 'Multivariate Wold Decompositions' de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Organisateur et chair de session. 6th Canadian Conference in Applied Statistics (Statistics 2021 Canada), Concordia University, Montréal (Virtuel), Canada.
- Severino, F. (2021). Présentation du papier 'Multivariate Wold Decompositions' de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Chair de session. 2021 Annual Congress of the Swiss Society of Economics and Statistics (SSES), Universität Zürich, Zürich (Virtuel), Switzerland.
- Severino, F. (2021). Présentation du papier ‘ On time-consistent multi-horizon portfolio allocation’ de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Canadian Operational Research Society (CORS) 2021 Annual Conference, University of Waterloo et University of Toronto, Waterloo et Toronto (Virtuel), Canada.
- Severino, F. (2021). Présentation du papier ‘COVID-19 effects on the Canadian term structure of interest rates’ de Severino, Cremona, Dadié. Discussant d’un autre papier. 28th Annual Meeting of the Global Finance Conference (GFC), California State University, Fresno (Virtuel), United States of America.
- Severino, F. (2021). Séminaire sur le papier ‘On time-consistent multi-horizon portfolio allocation’ de Cerreia-Vioglio, Ortu, Severino, Tebaldi. Goethe Universität Frankfurt, Frankfurt (Virtuel), Germany.
- Severino, F. (2020). Présentation du papier 'Multivariate Wold Decompositions' de Cerreia-Vioglio, Ortu, Severino, Tebaldi. 14th International Conference on Computational and Financial Econometrics (CFE), University of London (virtuelle).
- Severino, F. (2019). Long-term risk with stochastic interest rates. European Winter Meeting of the Econometric Society, Erasmus University, Rotterdam, Netherlands (The).
- Severino, F. (2019). Long-term risk with stochastic interest rates. International Risk Management Conference (IRMC), Università Bocconi, Milan, Italy.
- Severino, F. (2019). Weak time-derivatives and pricing equations. Workshop on Martingales in Finance and Physics, International Centre for Theoretical Physics, Trieste, Italy.
- Madotto, M., & Severino, F. (2019). Heterogeneous awareness in financial markets. Brown Bag Seminar, Università della Svizzera Italiana, Lugano, Switzerland.
- Severino, F. (2019). Long-term risk with stochastic interest rates. Barclays Quantitative Portfolio Strategy, London, United Kingdom.
- Severino, F. (2019). Research topics in asset pricing. Brunel University London, London, United Kingdom.
- Severino, F. (2019). Long-term risk with stochastic interest rates. University of Amsterdam, Amsterdam, Netherlands (The).
- Severino, F. (2019). Long-term risk with stochastic interest rates. Université du Québec à Montréal, Montréal, Canada.
- Severino, F. (2019). Long-term risk with stochastic interest rates. University of Western Ontario, London, Canada.
- Severino, F. (2019). Research topics in asset pricing. Durham University, Durham, United Kingdom.
- Severino, F. (2018). Long-term risk with stochastic interest rates. Université Laval, Québec, Canada.
- Severino, F. (2018). Long-term risk with stochastic interest rates. Université de Montréal, Montréal, Canada.
- Severino, F. (2018). Long-term risk with stochastic interest rates. 10th World Congress of the Bachelier Finance Society, Trinity College, Dublin, Ireland.
- Severino, F. (2018). Long-term risk with stochastic interest rates. North American Meeting of the Econometric Society (NASMES), University of California, Davis, United States of America.
- Ortu, F., Severino, F., Tamoni, A., & Tebaldi, C. (2018). Wold-type decomposition for stationary time series. 11th Annual Society for Financial Econometrics Conference (SoFiE), Università della Svizzera Italiana, Lugano, Switzerland.
- Severino, F. (2018). Long-term risk with stochastic interest rates. Brown Bag Seminar, Università della Svizzera Italiana, Legano, Switzerland.
- Severino, F. (2018). Long-term risk with stochastic interest rates. Brown Bag Seminar, Università Bocconi, Milan, Italy.
- Severino, F. (2018). Long-term risk with stochastic interest rates. Model Uncertainty and Robust Finance Workshop, Università degli Studi di Milano, Milan, Italy.
- Di Virgilio, D., Ortu, F., Severino, F., & Tebaldi, C. (2018). Optimal asset allocation with heterogeneous persistence of shocks. Minisymposium co-chair, 9th Vienna International Conference on Mathematical Modelling (MATHMOD), Technische Universität Wien, Vienne, Austria.
- Di Virgilio, D., Ortu, F., Severino, F., & Tebaldi, C. (2017). Optimal asset allocation with heterogeneous persistence of shocks. 11th International Conference on Computational and Financial Econometrics (CFE), University of London, London, United Kingdom.
- Ortu, F., Severino, F., Tamoni, A., & Tebaldi, C. (2017). A persistence-based Wold-type decomposition for stationary time series. XLI AMASES Conference, Università di Cagliari, Cagliari, Italy.
- Severino, F. (2017). Long-term risk with stochastic interest rates. EDGE jamboree, Università Bocconi, Milan, Italy.
- Severino, F. (2017). Long-term risk with stochastic interest rates. Università della Svizzera Italiana, Lugano, Switzerland.
- Marinacci, M., & Severino, F. (2017). Weak time-derivatives and no arbitrage pricing. XVIII Quantitative Finance Workshop, Università degli Studi di Milano-Bicocca, Milan, Italy.
- Marinacci, M., & Severino, F. (2016). Weak time-derivatives and no arbitrage pricing. Università degli Studi di Milano-Bicocca, Milan, Italy.
- Ortu, F., Severino, F., Tamoni, A., & Tebaldi, F. (2016). Persistence-based Wold-type decompositions for economic and financial time series. Prof. Marc Henry reading group, The Pennsylvania State University, University Park, Pennsylvania, United States of America.
- Marinacci, M., & Severino, F. (2016). Weak time-derivatives and no arbitrage pricing. XL AMASES Conference, Università di Catania, Catania, Italy.
- Di Virgilio, D., Ortu, F., Severino, F., & Tebaldi, F. (2016). Optimal asset allocation with heterogeneous persistence of shocks. Prof. Lars Peter Hansen reading group, The University of Chicago, Chicago, United States of America.
- Ortu, F., Severino, F., Tamoni, A., & Tebaldi, F. (2016). Persistence-based Wold-type decompositions for economic and financial time series. Prof. Lars Hansen reading group, The University of Chicago, Chicago, United States of America.
- Ortu, F., Severino, F., Tamoni, A., & Tebaldi, C. (2014). A persistence-based Wold-type decomposition for stationary time series. 8th International Conference on Computational and Financial Econometrics (CFE), Università di Pisa, Pisa, Italy.