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

SCHOLARLY PAPERS

10

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1,678

SSRN CITATIONS
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Top 21,997

in Total Papers Citations

46

CROSSREF CITATIONS

13

Scholarly Papers (10)

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, Bocconi University, Dept. of Finance and University of Turin - Department ESOMAS
Downloads 382 (146,962)
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

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, Bocconi University, Dept. of Finance and University of Turin - Department ESOMAS
Downloads 251 (227,204)

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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
Bocconi University, Dept. of Finance, University of Torino -Department of Economics ESOMAS and University of Turin - Department ESOMAS
Downloads 110 (463,601)
Citation 2

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

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 Bocconi University, Dept. of Finance
Downloads 336 (168,999)

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Optimal asset allocation, Real estate, Predictability, Parameter uncertainty

4.
Downloads 250 (230,141)
Citation 9

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 Bocconi University, Dept. of Finance
Downloads 250 (229,037)
Citation 9

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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 Bocconi University, Dept. of Finance

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optimal asset allocation, real estate, predictability, parameter uncertainty

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

6.

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 151 (361,389)

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

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 Bocconi University, Dept. of Finance
Downloads 141 (382,393)

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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 Bocconi University, Dept. of Finance

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

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 39 (815,784)

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

Life-Cycle Risk-Taking with Personal Disaster Risk

Number of pages: 62 Posted: 22 Feb 2023
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 17 (1,026,562)

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Life-cycle portfolio choice, disaster risk, beta distribution, non-linear income process, unemployment risk, disability 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 (1,143,840)
Citation 34
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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
Downloads 0 (1,152,740)
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Other Papers (1)

Total Downloads: 30
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
Downloads 30

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optimal portfolio choice, labor income risk, industry-specific human capital, occupational pension funds