Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 43

Investors should be able to commit a meaningful fraction of their portfolios to an asset class without paying excessive transaction costs or substantially impairing a portfolio's liquidity. If it is unusually costly to invest in an asset class, the after-cost improvement to expected utility may be insufficient to warrant inclusion of the asset class. And if the addition of the asset class substantially impairs the portfolio's liquidity, it could become too expensive to maintain the portfolio's optimal weights or to meet cash demands, which again would adversely affect expected utility.

Collectibles such as art, rare books, stamps, and wine may qualify as asset classes for private investors whose wealth is limited to millions of dollars and who do not have liquidity constraints, but for institutional investors such as endowment funds, foundations, pension funds, and sovereign wealth funds, these collectibles have inadequate capacity to absorb a meaningful component of the portfolio. This distinction reveals that the defining characteristics of an asset class may vary, not in kind, but in degree depending on an investor's circumstances.