Consistent Risk Modeling of Liquid and Illiquid Asset Returns
通过平滑与去平滑函数，将高波动低自相关的流动性资产（如REITs）与低波动高自相关的非流动性资产（如房地产）的风险特征统一，实现包含非流动性资产的投资组合风险归因与风险管理的一致建模。
The authors link liquid assets like exchange-traded real estate investment trusts and public equity, which have relatively high volatilities and low autocorrelations, to illiquid assets like real estate and private equity, which have relatively low volatilities and high autocorrelations. A suitable weighted moving-average or smoothing function applied to public market proxies can yield risk estimates similar to their private market equivalents. Going in the opposite direction, the inverted lag polynomial, or desmoothing function, can transform illiquid alternative asset returns to have risk characteristics similar to those of public market proxies. Using the transform function to express liquid and illiquid views enables more consistent modeling of risk attribution and risk management for portfolios with illiquid assets. <b>TOPICS:</b>Real estate, exchange-traded funds and applications, risk management