This paper suggests a solution to what has become known as the "private equity premium puzzle" (Moskowitz and Vissing-Jorgensen (2002)). We interpret occupational choice as a dynamic portfolio choice problem of a life-cycle investor facing a liquidity constraint and imperfect information about...

An instant may matter for the course of an entire life. It is with this idea that the present research had its inception. High frequency financial data are becoming increasingly available and this has triggered research in financial econometrics where information at high frequency can be...

Acknowledgments -- Portfolio theory and management : an overview / H. Kent Baker and Greg Filbeck -- Portfolio theory and asset pricing -- Modern portfolio theory / Eric Jacquier -- Asset pricing theories, models, and tests / Nikolay Gospodinov and Cesare Robotti -- Asset pricing and behavioral...