Factor-Based Asset Allocation and Illiquid Investments

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This article is agnostic as to whether asset owners should employ a factor-driven approach for the estimation of expected returns, but assert there is a crucial benefit of a factor-based risk assessment process which allows the risk of liquid and illiquid investments to be evaluated in a common framework, allowing for mitigation of the limitations of holding illiquid assets.

Dan diBartolomeo

This article is agnostic as to whether asset owners should employ a factor-driven approach for the estimation of expected returns, but assert there is a crucial benefit of a factor-based risk assessment process which allows the risk of liquid and illiquid investments to be evaluated in a common framework, allowing for mitigation of the limitations of holding illiquid assets.

Factor-Based Asset Allocation and Illiquid Investments

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The Journal of Performance Measurement

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