| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25559 |
| 来源ID | Working Paper 25559 |
| The Endowment Model and Modern Portfolio Theory | |
| Stephen G. Dimmock; Neng Wang; Jinqiang Yang | |
| 发表日期 | 2019-02-18 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We develop a dynamic portfolio-choice model with illiquid alternative assets to analyze the “endowment model,” widely adopted by institutional investors such as pension funds, university endowments, and sovereign wealth funds. In the model, the alternative asset has a lock-up, but can be liquidated at any time by paying a proportional cost. We model how investors can engage in liquidity diversification by investing in multiple illiquid alternative assets with staggered lock-up expirations, and show that doing so increases alternatives allocations and investor welfare. We show how illiquidity from lock-ups interacts with illiquidity from secondary market transaction costs resulting in endogenous and time-varying rebalancing boundaries. We extend the model to allow crisis states and show that increased illiquidity during crises causes holdings to deviate significantly from target allocations. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w25559 |
| 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/583233 |
| 推荐引用方式 GB/T 7714 | Stephen G. Dimmock,Neng Wang,Jinqiang Yang. The Endowment Model and Modern Portfolio Theory. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25559.pdf（572KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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