Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 28

 Investors rely on liquidity to implement tactical asset allocation decisions, to rebalance a portfolio, and to meet demands for cash, among other uses.

 To account for the impact of liquidity, investors should attach a shadow asset to the liquid asset classes in a portfolio that enable them to use liquidity to increase a portfolio's expected utility, and they should attach a shadow liability to illiquid asset classes in a portfolio that prevent them from preserving a portfolio's expected utility.

 These shadow allocations allow investors to address illiquidity within a single unified framework of expected return and risk.