Carolina Fugazza

University of Torino -Department of Economics ESOMAS

Torino

Italy

Center for Research on Pensions and Welfare Policies

Via Real Collegio, 30

Moncalieri, Turin - Piedmont 10124

Italy

  • University of Torino -Department of Economics ESOMAS

  • Center for Research on Pensions and Welfare Policies

SCHOLARLY PAPERS

10

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Scholarly Papers (10)

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1.

1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus

Federal Reserve Bank of St, Louis, Working Paper No. 2010-003A
Number of pages: 47 Posted: 09 Jan 2010 Last Revised: 19 May 2014
Carolina Fugazza, Massimo Guidolin and Giovanna Nicodano
University of Torino -Department of Economics ESOMAS, University of Liverpool Management School and University of Turin - Department ESOMAS
Downloads 360 (114,521)
Citation 1

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equally weighted portfolios, long investment horizon, real-time strategic asset allocation, public real estate vehicles, ex post performance, predictability, parameter uncertainty

2.

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value

Downloads 327 (127,226)
Citation 6

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value

Federal Reserve Bank of St. Louis Working Paper No. 2009-001A
Number of pages: 35 Posted: 15 Jan 2009
Carolina Fugazza, Massimo Guidolin and Giovanna Nicodano
University of Torino -Department of Economics ESOMAS, University of Liverpool Management School and University of Turin - Department ESOMAS
Downloads 228 (182,492)

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real time asset allocation, real estate, ex post performance, predictability, parameter uncertainty

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value

Manchester Business School Research Paper No. 581
Number of pages: 45 Posted: 01 Dec 2009
Massimo Guidolin, Carolina Fugazza and Giovanna Nicodano
University of Liverpool Management School, University of Torino -Department of Economics ESOMAS and University of Turin - Department ESOMAS
Downloads 95 (369,210)
Citation 1

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real time asset allocation, real estate, ex post performance, predictability, parameter uncertainty

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value

Real Estate Economics, Vol. 37, Issue 3, pp. 341-381, Fall 2009
Number of pages: 41 Posted: 13 Oct 2009
Carolina Fugazza, Massimo Guidolin and Giovanna Nicodano
University of Torino -Department of Economics ESOMAS, University of Liverpool Management School and University of Turin - Department ESOMAS
Downloads 4 (856,611)

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3.

Investing for the Long-Run in European Real Estate: Does Predictability Matter?

Number of pages: 43 Posted: 28 Jan 2005
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School
Downloads 316 (131,645)

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Optimal asset allocation, Real estate, Predictability, Parameter uncertainty

4.

Investing for the Long-Run in European Real Estate

Downloads 213 (195,010)
Citation 8

Investing for the Long-Run in European Real Estate

FRB of St. Louis Working Paper No. 2006-028A
Number of pages: 44 Posted: 04 May 2006
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School
Downloads 213 (194,741)
Citation 8

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optimal asset allocation, real estate, predictability, parameter uncertainty

Investing for the Long-Run in European Real Estate

Journal of Real Estate Finance and Economics, Vol. 34, No. 1, 2007
Posted: 18 Aug 2006
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School

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optimal asset allocation, real estate, predictability, parameter uncertainty

5.

Can Pension Funds Hedge Wage Risk?

Rotman International Journal of Pension Management, Vol. 2, No. 1, 2009
Number of pages: 8 Posted: 23 May 2009
Carolina Fugazza, Maela Giofré and Giovanna Nicodano
University of Torino -Department of Economics ESOMAS, University of Turin - Department of Economics and Statistics and University of Turin - Department ESOMAS
Downloads 133 (289,975)

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International Diversification, Labour Income, Pension Funds, Portfolio Choice, Rotman

6.

Diversifying in Public Real Estate: The Ex-Post Performance

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Diversifying in Public Real Estate: The Ex-Post Performance

Number of pages: 22 Posted: 16 Jan 2008
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School
Downloads 120 (314,665)

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Optimal asset allocation, Real estate, Parameter uncertainty, Out-of-sample performance

Diversifying in Public Real Estate: The Ex-Post Performance

Journal of Asset Management, Forthcoming
Posted: 16 Jan 2008
Carolina Fugazza, Giovanna Nicodano and Massimo Guidolin
University of Torino -Department of Economics ESOMAS, University of Turin - Department ESOMAS and University of Liverpool Management School

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Optimal asset allocation; Real estate; Parameter uncertainty; Out-of-sample performance

7.

Optimal Life-Cycle Portfolios for Heterogeneous Workers

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Citation 7

Optimal Life-Cycle Portfolios for Heterogeneous Workers

Forthcoming, Review of Finance © by Oxford University Press
Posted: 11 Aug 2013 Last Revised: 03 Jul 2017
Fabio C. Bagliano, Carolina Fugazza and Giovanna Nicodano
University of Turin - Department of Economics and Statistics, University of Torino -Department of Economics ESOMAS and University of Turin - Department ESOMAS

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Household portfolios include risky bonds, beyond stocks, respond to permanent labour income shocks

8.

Life-Cycle Risk-Taking with Personal Disaster Risk

ESRB: Working Paper Series 2021/132
Number of pages: 50 Posted: 30 Dec 2021
Fabio C. Bagliano, Carolina Fugazza and Giovanna Nicodano
University of Turin - Department of Economics and Statistics, University of Torino -Department of Economics ESOMAS and University of Turin - Department ESOMAS
Downloads 13 (740,845)

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beta distribution, disability risk, disaster risk, non-linear income process, portfolio choice, unemployment risk

9.

Life-Cycle Portfolio Choice with Liquid and Illiquid Assets

CEPR Discussion Paper No. DP10369
Number of pages: 78 Posted: 02 Feb 2015
Claudio Campanale, Carolina Fugazza and Francisco Gomes
Universidad de Alicante - Faculty of Economic and Business Sciences, University of Torino -Department of Economics ESOMAS and London Business School
Downloads 1 (858,155)
Citation 9
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cash-in-advance, household portfolio choice, self-insurance, transaction cost

10.

Life-Cycle Risk-Taking with Personal Disaster Risk

CEPR Discussion Paper No. DP16234
Number of pages: 51 Posted: 14 Jul 2021
Fabio C. Bagliano, Carolina Fugazza and Giovanna Nicodano
University of Turin - Department of Economics and Statistics, University of Torino -Department of Economics ESOMAS and University of Turin - Department ESOMAS
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Other Papers (1)

Total Downloads: 13
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1.

International Diversification and Labor Income Risk

EFA 2008 Athens Meetings Paper
Number of pages: 38 Posted: 06 Mar 2008 Last Revised: 18 Mar 2009
Carolina Fugazza, Maela Giofré and Giovanna Nicodano
University of Torino -Department of Economics ESOMAS, University of Turin - Department of Economics and Statistics and University of Turin - Department ESOMAS
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optimal portfolio choice, labor income risk, industry-specific human capital, occupational pension funds