Private Finanzplanung berücksichtigt die besonderen Eigenschaften illiquider Anlagen nur unzureichend. Der vorliegende Beitrag stellt zunächst ein wissenschaftliches Modell zu deren Berücksichtigung bei der Portfoliooptimierung vor. Er zeigt, dass Illiquidität starke Auswirkungen haben kann...

I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces undiversifiable interest rate risk. However, if only...

"This paper presents an equilibrium model for the demand and supply of liquidity and its impact on asset prices and welfare. We show that when constant market presence is costly, purely idiosyncratic shocks lead to endogenous demand of liquidity and large price deviations from fundamentals....

There is a conventional wisdom in economics that public debt can serve as a substitute for private credit if private borrowing is limited. The purpose of this paper is to show that, while a government could in principle use such a policy to fully relax borrowing limits, this is not generally...