Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - 2009
. This paper evaluates ex post, out-of-sample gains from
diversification when E-REITs belong to the investment opportunity … all investment
horizons and for both Classical and Bayesian (who account for parameter uncertainty) investors.
The … experiment is repeated for six alternative investment horizons, ranging from
one month to 5 years. Moreover, we allow not only …