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Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

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资源简介
Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
 
Adrian Buss Raman Uppal Grigory Vilkov
 
This version: February 18, 2015
 
Abstract
 
Alternative assets, such as private equity, hedge funds, and real assets, are illiquid and opaque, and thus pose a challenge to traditional models of asset allocation.In this paper, we study asset allocation and asset pricing in a general equilibrium model with liquid assets and an alternative risky asset, which is opaque and incurs transaction costs, and investors who di er in their experience in assessing the alternative asset. We nd that the optimal asset-allocation strategy
of the relatively inexperienced investors is to initially tilt their portfolio away from the alternative asset and to hold more of it with experience. Counterintuitively,a decrease in the transaction cost for the alternative asset increases the portfolio tilt at the initial date, and hence, the liquidity discount. Transaction costs may induce inexperienced investors to hold a majority of the illiquid asset at later dates, even if they are pessimistic about future payoff s, and produce a  sizable liquidity discount. During periods when the alternative asset is illiquid,investors trade the liquid equity index instead, leading to strong spillover eff ects.
 
Keywords: portfolio choice, alternative assets, private equity, transaction costs,
heterogeneous beliefs, incomplete markets.
 
JEL: G11, G12

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