RESEARCH

Portfolio choice with illiquid assets

New research by Columbia University’s Andrew Ang, Dimitris Papanikolaou from Northwestern University, and Mark Westerfield from the University of Southern California, shows that illiquidity, modelled as the ability to trade only at randomly occurring discrete points in time, has large effects on policies and optimal asset allocation.

http://www.gsb.columbia.edu/faculty/aang/papers/APW-101024.pdf