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Integrating Illiquid Assets into the Portfolio Decision Process

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  • Paul M Anglin
  • Yanmin Gao

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  • Paul M Anglin & Yanmin Gao, 2011. "Integrating Illiquid Assets into the Portfolio Decision Process," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(2), pages 277-311, June.
  • Handle: RePEc:bla:reesec:v:39:y:2011:i:2:p:277-311
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    References listed on IDEAS

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    5. Anglin, Paul M & Rutherford, Ronald & Springer, Thomas M, 2003. "The Trade-Off Between the Selling Price of Residential Properties and Time-on-the-Market: The Impact of Price Setting," The Journal of Real Estate Finance and Economics, Springer, vol. 26(1), pages 95-111, January.
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    7. Anthony Y. Gu, 2002. "The Predictability of House Prices," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 213-234.
    8. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381.
    9. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2007. "Optimal holding period for a real estate portfolio," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 25(6), pages 603-625, October.
    10. Bengt Holmström, 2001. "LAPM: A Liquidity-Based Asset Pricing Model," Journal of Finance, American Finance Association, vol. 56(5), pages 1837-1867, October.
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    12. Longstaff, Francis A, 2001. "Optimal Portfolio Choice and the Valuation of Illiquid Securities," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 407-431.
    13. Zhenguo Lin & Yingchun Liu & Kerry Vandell, 2009. "Marketing Period Risk in a Portfolio Context: Comment and Extension," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 183-191, February.
    14. Jeffrey Fisher & Dean Gatzlaff & David Geltner & Donald Haurin, 2003. "Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(2), pages 269-303, June.
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    23. Gregory H. MacKinnon & Ashraf Al Zaman, 2009. "Real Estate for the Long Term: The Effect of Return Predictability on Long-Horizon Allocations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(1), pages 117-153.
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    27. Huang, Ming, 2003. "Liquidity shocks and equilibrium liquidity premia," Journal of Economic Theory, Elsevier, vol. 109(1), pages 104-129, March.
    28. Haurin, Donald R. & Gill, H. Leroy, 2002. "The Impact of Transaction Costs and the Expected Length of Stay on Homeownership," Journal of Urban Economics, Elsevier, vol. 51(3), pages 563-584, May.
    29. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
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    Cited by:

    1. Sergio Mayordomo & Maria Rodriguez-Moreno & Juan Ignacio Peña, 2014. "Portfolio choice with indivisible and illiquid housing assets: the case of Spain," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 2045-2064, November.
    2. Charles Ka Yui LEUNG & Joe Cho Yiu NG, 2018. "Macro Aspects of Housing," ISER Discussion Paper 1030, Institute of Social and Economic Research, Osaka University.
    3. Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping the Housing Market," Globalization and Monetary Policy Institute Working Paper 301, Federal Reserve Bank of Dallas.
    4. Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping in the housing market," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 232-263.
    5. Haß, Lars Helge & Johanning, Lutz & Rudolph, Bernd & Schweizer, Denis, 2012. "Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 90-107.
    6. Matthew Cypher & S McKay Price & Spenser Robinson & Michael J. Seiler, 2017. "Price Signals and Uncertainty in Commercial Real Estate Transactions," Framed Field Experiments 00626, The Field Experiments Website.

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