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Reconsidering asset allocation involving illiquid assets

https://doi.org/10.1057/palgrave.jam.2250077
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781119176275.ch29openalex-snapshot
Tax‐Exempt Organizations and Exempt Subsidiaries
inferredcites →https://doi.org/10.1007/bf00161933openalex-snapshot
Smoothing in appraisal-based returns
inferredcites →https://doi.org/10.1016/0304-405x(77)90041-1openalex-snapshot
Estimating betas from nonsynchronous data
inferredcites →https://doi.org/10.1016/0304-4076(90)90098-eopenalex-snapshot
An Econometric Analysis of Nonsynchronous Trading
inferredcites →https://doi.org/10.1016/j.jfineco.2004.04.001openalex-snapshot
An econometric model of serial correlation and illiquidity in hedge fund returns
inferredcites →https://doi.org/10.1057/palgrave.jam.2240123openalex-snapshot
An alternative route to performance hypothesis testing
inferredcites →https://doi.org/10.1111/1540-6229.00605openalex-snapshot
Temporal Aggregation in Real Estate Return Indices
inferredcites →https://doi.org/10.1111/j.1540-6261.1970.tb00518.xopenalex-snapshot
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
inferredcites →https://doi.org/10.1515/9781400830213openalex-snapshot
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.2307/2325486openalex-snapshot
Efficient Capital Markets: A Review of Theory and Empirical Work
inferredcites →https://doi.org/10.2307/j.ctt7skm5openalex-snapshot
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.2469/faj.v58.n4.2453openalex-snapshot
The Statistics of Sharpe Ratios
inferredcites →https://doi.org/10.3386/w9571openalex-snapshot
An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
inferredcites →https://doi.org/10.3905/jpm.2001.319819openalex-snapshot
Do Hedge Funds Hedge?
inferredcites →https://doi.org/10.3905/jpm.2005.470581openalex-snapshot
How Risky Are Illiquid Investments?
inferredcites →https://doi.org/10.7551/mitpress/1459.003.0009openalex-snapshot
Asset Prices and Monetary Policy

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1914404openalex-extracted
The Effect of Smoothing on Optimal Portfolio Choice: Some Analytical and Computational Results
inferred← citeshttps://doi.org/10.2139/ssrn.2063749openalex-extracted
The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight
inferred← citeshttps://doi.org/10.2139/ssrn.2501334openalex-extracted
Portfolio Optimization with Illiquid Life Insurance Investments
inferred← citeshttps://doi.org/10.2139/ssrn.2742297openalex-extracted
Investment Strategies with Illiquid Life Insurance Investment and Intergenerational Return Smoothing
inferred← citeshttps://doi.org/10.2139/ssrn.2935424openalex-extracted
Direct Estimation of Factor Exposures from Appraisal Returns
inferred← citeshttps://doi.org/10.1002/9781118662724.ch4openalex-snapshot
Volatility Forecasting
inferred← citeshttps://doi.org/10.1007/s12297-016-0343-0openalex-snapshot
The Illiquidity Discount of Life Insurance Investments
inferred← citeshttps://doi.org/10.1016/b978-1-78548-008-9.50006-xopenalex-snapshot
Risk-Based Investing but What Risk(s)?
inferred← citeshttps://doi.org/10.1142/s0219024911006693openalex-snapshot
DO INSTITUTIONAL INVESTORS CARE ABOUT THE AMBIGUITY OF THEIR ASSETS? EVIDENCE FROM PORTFOLIO HOLDINGS IN ALTERNATIVE INVESTMENTS
inferred← citeshttps://doi.org/10.3905/jai.2019.1.078openalex-snapshot
Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting Framework
inferred← citeshttps://doi.org/10.53383/100019openalex-snapshot
International Real Estate Review
inferred← citeshttps://doi.org/10.53383/100177openalex-snapshot
International Real Estate Review
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