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Liquidity and Portfolio Choice: A Unified Approach

By William Kinlaw, Mark Kritzman, David Turkington, State Street Associates

Dec 1, 2013

By William Kinlaw, Mark Kritzman, and David Turkington.

Published in the Journal of Portfolio Management, Winter 2013.

Our research on “Liquidity and Portfolio Choice” provides a framework for asset owners to evaluate the benefits of liquidity and costs of illiquidity, and implications for strategic asset allocation.

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1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.