Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/77784 
Erscheinungsjahr: 
2011
Quellenangabe: 
[Journal:] SERIEs - Journal of the Spanish Economic Association [ISSN:] 1869-4195 [Volume:] 2 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2011 [Pages:] 53-74
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we obtain strong effects of liquidity on optimal portfolio selection. In particular, portfolio performance, measured by the Sharpe ratio relative to the tangency portfolio, varies significantly with liquidity.When the investor shows no preference for liquidity, the performance of optimal portfolios is relatively more favorable. However, it is also the case that, under no preference for liquidity, these portfolios display lower levels of liquidity. Finally, we also study how the aggregate level of illiquidity affects optimal portfolio selection.
Schlagwörter: 
liquidity
mean-variance frontiers
performance
portfolio selection
JEL: 
G10
G11
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