| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19436 |
| 来源ID | Working Paper 19436 |
| Portfolio Choice with Illiquid Assets | |
| Andrew Ang; Dimitris Papanikolaou; Mark Westerfield | |
| 发表日期 | 2013-09-12 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We present a model of optimal allocation over liquid and illiquid assets, where illiquidity is the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity leads to increased and state-dependent risk aversion, and reduces the allocation to both liquid and illiquid risky assets. Uncertainty about the length of the illiquidity interval, as opposed to a deterministic non-trading interval, is a primary determinant of the cost of illiquidity. We allow market liquidity to vary from `normal' periods, when all assets are fully liquid, to 'illiquidity crises,' when some assets can only be traded infrequently. The possibility of a liquidity crisis leads to limited arbitrage in normal times. Investors are willing to forego 2% of their wealth to hedge against illiquidity crises occurring once every ten years. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w19436 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577112 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Dimitris Papanikolaou,Mark Westerfield. Portfolio Choice with Illiquid Assets. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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