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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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    2. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
    3. Weill, Pierre-Olivier, 2008. "Liquidity premia in dynamic bargaining markets," Journal of Economic Theory, Elsevier, pages 66-96.
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    5. Bengt Holmström, 2001. "LAPM: A Liquidity-Based Asset Pricing Model," Journal of Finance, American Finance Association, vol. 56(5), pages 1837-1867, October.
    6. Longstaff, Francis A, 2001. "Optimal Portfolio Choice and the Valuation of Illiquid Securities," Review of Financial Studies, Society for Financial Studies, pages 407-431.
    7. 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, pages 269-303.
    8. Matthew Rabin, 2000. "Risk Aversion and Expected-Utility Theory: A Calibration Theorem," Econometrica, Econometric Society, pages 1281-1292.
    9. Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack, 2004. "An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, pages 1-32.
    10. Robert Novy-Marx, 2009. "Hot and Cold Markets," Real Estate Economics, American Real Estate and Urban Economics Association, pages 1-22.
    11. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, pages 125-137.
    12. Markus K. Brunnermeier, 2008. "Deciphering the Liquidity and Credit Crunch 2007-08," NBER Working Papers 14612, National Bureau of Economic Research, Inc.
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    14. Shaun Bond & Soosung Hwang & Zhenguo Lin & Kerry Vandell, 2007. "Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 447-461, May.
    15. Erasmo Giambona & John P. Harding & C.F. Sirmans, 2008. "Explaining the Variation in REIT Capital Structure: The Role of Asset Liquidation Value," Real Estate Economics, American Real Estate and Urban Economics Association, pages 111-137.
    16. Guillaume Plantin & Haresh Sapra & Hyun Shin, "undated". "Marking to Market: Panacea or Pandora’s Box ?," GSIA Working Papers 2005-E4, Carnegie Mellon University, Tepper School of Business.
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    23. Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2007. "Optimal Holding Period for a Real Estate Portfolio," ESSEC Working Papers DR 07008, ESSEC Research Center, ESSEC Business School.
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    25. Dennis R. Capozza & Ryan D. Israelsen, 2007. "Predictability in Equilibrium: The Price Dynamics of Real Estate Investment Trusts," Real Estate Economics, American Real Estate and Urban Economics Association, pages 541-567.
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    28. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, pages 125-137.
    29. 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, pages 117-153.
    30. Fu, Yuming, 1995. "Uncertainty, liquidity, and housing choices," Regional Science and Urban Economics, Elsevier, vol. 25(2), pages 223-236, April.
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    32. 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.
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    Cited by:

    1. 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.
    2. Charles Ka Yui Leung & Chung-Yi Tse, 2017. "Flipping in the Housing Market," ISER Discussion Paper 0989, Institute of Social and Economic Research, Osaka University.
    3. Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio, 2014. "Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis," International Review of Economics & Finance, Elsevier, pages 171-192.
    4. 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.
    5. Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping in the housing market," Journal of Economic Dynamics and Control, Elsevier, pages 232-263.
    6. 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, pages 2045-2064.

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