منابع مشابه
Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets∗
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 generalequilibrium model with liquid assets and an alternative risky asset, which is opaque and incurs transaction costs, and investors who differ in their experienc...
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We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. In equilibrium, the efficiency of asset prices is linked to the efficiency of the asset management market: (1) if investors can find managers more easily then more money is allocated to active management, fees are lower, and asset pri...
متن کاملPortfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
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متن کاملInternational Portfolios, Capital Accumulation and Foreign Asset Dynamics International Portfolios, Capital Accumulation and Foreign Assets Dynamics
Despite the liberalization of capital ows among OECD countries, equity home bias remains sizable. We depart from the two familiar explanations of equity home bias: transaction costs that impede international diversi cation, and terms of trade responses to supply shocks that provide risk sharing, so that there is little incentive to hold diversi ed portfolios. We show that the following ingredi...
متن کاملToric Kempf–Ness sets
In the theory of algebraic group actions on affine varieties, the concept of a Kempf– Ness set is used to replace the categorical quotient by the quotient with respect to a maximal compact subgroup. Using recent achievements of “toric topology,” we show that an appropriate notion of a Kempf–Ness set exists for a class of algebraic torus actions on quasiaffine varieties (coordinate subspace arra...
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ژورنال
عنوان ژورنال: IDS Bulletin
سال: 2015
ISSN: 0265-5012
DOI: 10.1111/1759-5436.12135