Abstract

http://ssrn.com/abstract=2200161
 
 

Citations (1)



 
 

Footnotes (45)



 


 



Illiquid Asset Investing


Andrew Ang


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

January 13, 2013

Columbia Business School Research Paper No. 13-2

Abstract:     
After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio choice models incorporating illiquidity risk recommend only modest holdings of illiquid assets. Investors should demand high risk premiums for investing in illiquid assets.

Number of Pages in PDF File: 50

Keywords: illiquidity premium, asset allocation, portfolio choice, endowment management, Swensen model

JEL Classification: D91, G11, G12, G23, G24

working papers series





Download This Paper

Date posted: January 13, 2013  

Suggested Citation

Ang, Andrew, Illiquid Asset Investing (January 13, 2013). Columbia Business School Research Paper No. 13-2. Available at SSRN: http://ssrn.com/abstract=2200161 or http://dx.doi.org/10.2139/ssrn.2200161

Contact Information

Andrew Ang (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN


Paper statistics
Abstract Views: 4,991
Downloads: 1,585
Download Rank: 5,321
Citations:  1
Footnotes:  45

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.421 seconds