The authors propose a simple analytical construct for incorporating liquidity into portfolio
choice. In cases where investors deploy liquidity to raise a portfolio's expected utility beyond …

Traditional approaches to asset allocation do not directly address the issue of liquidity. The
financial crisis brought liquidity management to the forefront for several large university …

Seeking diversification, institutional investors are often drawn to investment opportunities
that are relatively illiquid, taking for granted that they will receive a liquidity premium that …

The Zimbabwean financial institutions and companies are faced with serious liquidity
problems to meet their financial obligations since the inception of multi-currency system. The …

It is well established that investors price market liquidity risk. Yet, there exists no financial
claim contingent on liquidity. We propose a contract to hedge uncertainty over future …

A lockup period for investment in a hedge-fund is a time period after making the investment
during which an investor cannot freely redeem his investment. Since long lockup periods …

This study presents an analysis of the impact of asset price bubbles on a liquidity risk
measure, the liquidity risk option premium ('LROP'). We present a styled model of asset price …

Private fund-based portfolios present significant exposure-and liquidity-management
challenges, because committing new funds and conducting secondary sales both have …

The guidance formulated by G20 to assess the systemic importance of financial institutions,
markets and instruments (IMF, BIS, and FSB, 2009 [19]) analyzes that the effective control of …

A lockup period for investment in a hedge-fund is a time period after making the investment
during which an investor cannot freely redeem his investment. Since longer lockup periods …