非流动资产投资

CGN: Case Studies (Topic) Pub Date : 2013-01-13 DOI:10.2139/SSRN.2200161

Andrew Ang

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引用次数: 6

摘要

考虑到不频繁的交易和选择导致的偏差，非流动性资产类别不太可能比传统的流动性股票和债券市场具有更高的风险调整回报。另一方面，在资产类别中存在显著的非流动性溢价。纳入非流动性风险的投资组合选择模型建议只适度持有非流动性资产。投资者在投资非流动性资产时应要求较高的风险溢价。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Illiquid Asset Investing

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.

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CGN: Case Studies (Topic)

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