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Liquidity and Portfolio Choice: A Unified Approach

✍ Scribed by Kinlaw, Will; Kritzman, Mark; Turkington, David

Book ID
120985504
Publisher
Institutional Investor
Year
2013
Tongue
English
Weight
859 KB
Volume
39
Category
Article
ISSN
0095-4918

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This paper solves for optimal international portfolio choice in the presence of liquidity constraints and undiversiΓΏable labor income risk. Optimal portfolios are internationally diversiΓΏed while positive correlation between domestic stock market returns and permanent labor income shocks can generat