Illiquid Asset Investing 1. Liquidating Harvard
Illiquid Asset Investing 1. Liquidating Harvard
Illiquid Asset Investing 1. Liquidating Harvard
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Andrew Ang <strong>Illiquid</strong> <strong>Asset</strong> <strong>Investing</strong> <strong>Asset</strong> Management<br />
Table 6<br />
Panel A<br />
Average Time Between Liquidity Events<br />
(or Average Turnover) Optimal Rebalance Value<br />
10 years 0.05<br />
5 years 0.11<br />
2 years 0.24<br />
1 year 0.37<br />
½ year 0.44<br />
Continuous Trading 0.59<br />
Panel B<br />
Average Time Between Liquidity Events<br />
(or Average Turnover) <strong>Illiquid</strong>ity Risk Premium<br />
10 years 6.0%<br />
5 years 4.3%<br />
2 years 2.0%<br />
1 year 0.9%<br />
½ year 0.7%<br />
Continuous Trading 0.0%<br />
50
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