INVESTING WITH LIQUID AND ILLIQUID ASSETS
研究了长期投资者在同时持有安全资产、流动性风险资产和非流动性风险资产时的最优交易策略，发现流动性资产通过分散化和对冲效应影响非流动性资产的交易行为。
Abstract We find optimal trading policies for long‐term investors with constant relative risk aversion and constant investment opportunities, which include one safe asset, liquid risky assets, and an illiquid risky asset trading with proportional costs. Access to liquid assets creates a diversification motive, which reduces illiquid trading, and a hedging motive, which both reduces illiquid trading and increases liquid trading. A further tempering effect depresses the liquid asset's weight when the illiquid asset's weight is close to ideal, to keep it near that level by reducing its volatility. Multiple liquid assets lead to portfolio separation in four funds: the safe asset, the myopic portfolio, the illiquid asset, and its hedging portfolio.