Integrating Illiquid Assets into the Portfolio Decision Process
研究了投资者在长期持有非流动性资产（如房地产）时的决策问题，分析了市场流动性、个人变现需求及资产组合特征对最优策略的影响，发现流动性惩罚取决于其他资产特性、流动性冲击特征及时间与行为的交互作用。
We consider the issues associated with modeling the decision to invest in an illiquid asset, such as real estate, over an extended period of time. Markets for illiquid assets tend to display certain characteristics: for example, significant time‐till‐sale and correlation in the rates of return over time. More importantly, as the liquidity of a market cannot be an issue if an investor never needs to liquidate an asset, we focus on how the liquidity of a market interacts with an individual's uncertain need to liquidate. We show that the optimal strategy is state contingent, if possible. We also show that the penalty associated with an illiquid investment depends on the characteristics of other assets being held in the portfolio, on the characteristics of liquidity shocks and on the interaction between time and behavior. We show that borrowing to pay for a liquidity shock cannot overcome all of the costs of owning an illiquid asset. In contrast, borrowing at t = 0 benefits from the complementarity in the assets. In a simpler model, we show that the portfolio perspective makes illiquid assets more valuable to an investor with a longer time horizon.