We describe alternatives to traditional fixed income assets for liability-driven investors such as insurance companies and pension funds by utilizing their comparative advantage in investing in less liquid assets

Diversification has been long considered an essential part of investing for the long term. Our paper aims to look further on portfolio diversification and how asset allocation can be optimized. We suggest that the selection of investments in a portfolio should be based on how the market behaves...

We propose a model to help investors address liquidity questions in strategic asset allocation decisions. We consider various dimensions of liquidity, such as market and funding liquidity, as well as the dynamic nature of liquidity risk and return. Our framework can be particularly useful to...