A Penalty Cost Approach to Strategic Asset Allocation with Illiquid Asset Classes
针对传统资产配置忽视流动性问题，斯坦福大学提出一种改进的均值-方差优化框架，通过引入与投资者流动性需求相关的边际惩罚函数，帮助机构投资者明确表达流动性偏好并解决资产配置问题。
Traditional approaches to asset allocation do not directly address the issue of liquidity. The financial crisis brought liquidity management to the forefront for several large university endowments—investors who heretofore had been considered thought leaders in their approaches to asset allocation. The authors discuss a new approach developed at Stanford University that modifies the familiar mean–variance optimization framework by incorporating an illiquidity-related marginal penalty function that varies with each investor’s liquidity needs. The new methodology allows for an explicit, easily communicated, and natural specification of illiquidity preferences that works in conjunction with the standard Markowitz approach to solve the asset-allocation problem faced by today’s institutional investors. <b>TOPICS:</b>Portfolio construction, statistical methods, in portfolio management