INVESTING WITH LIQUID AND ILLIQUID ASSETS
نویسندگان
چکیده
منابع مشابه
Portfolio Choice with Illiquid Assets
We investigate how the inability to continuously trade an asset affects portfolio choice. We extend the standard Merton model to include an illiquid asset that can only be traded at infrequent, stochastic intervals. Because consumption is financed through liquid wealth only, the presence of illiquidity leads to increased and state-dependent risk aversion. Illiquidity leads to under-investment i...
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So far the main body of the asset pricing literature has computed liquidity risk premia for either markets or single assets. The vast majority of these studies have been focused on fairly liquid assets, but recently a greater attempt to price such an important component of the asset pricing factors in markets with high illiquidity (especially in real estate) has also started to take place. The ...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2016
ISSN: 0960-1627,1467-9965
DOI: 10.1111/mafi.12135