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 its …

Systemic risk is the risk that a relatively narrow shock, such as the failure of a particular
company, will propagate quickly and broadly throughout the financial system and to the real …

… To simplify the formulas in this section, we will assume (without loss of generality) that the
average value of all relevant return streams are zero, and we will simply denote the asset's …

1. Some investors believe they can identify superior private equity funds whose performance
will more than offset their illiquidity and high fees. 2. Other investors, who may not be skilled …

The authors introduce a new index of the business cycle that uses the Mahalanobis distance
to measure the statistical similarity of current economic conditions with past episodes of …

… will exceed the product of the shorter-interval returns and the square root of the number of
shorter-intervals within the longer interval. In this case, the annualized Sharpe ratio will … x will …

… concerns deter investors from further reducing these biases, this paper will offer solutions. …
constrained optimal solution for the yen forward contract will lie between 0 and −25 per cent. …

… Therefore, an optimal hedge will take into account the rising correlation between credit … ,
this overlay will eliminate all the duration exposure of the fixed income portfolio but plans will still …

… This review will focus on the dependence of most BC, as well as other tumor types, on an …
to satisfy their strict metabolic requirement, we will also examine the potential importance of …

An investor’s optimal allocation to illiquid assets depends not only on assumptions about
those assets’ return and risk, but also on how that specific investor benefits from liquidity. “Our …