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Asset strongAllocationstrong and the Liquidity Premium for Illiquid.pdf
Asset Allocation and the
Liquidity Premium for Illiquid Annuities
∗
S. Browne, M. A. Milevsky, T. S. Salisbury
Columbia Business School York University
Columbia University 4700 Keele Street
3022 Broadway, Uris Hall 402 Toronto, Ontario
New York, NY 10027 M3J 1P3, Canada
February 7, 2003
∗Moshe Milevsky, the contact author, can be reached at Tel: 416-736-2100 x 66014, Fax: (416) 736-5487,
or via Email milevsky@yorku.ca. This research is partially supported by a grant from the Mathematics of
Information Technology and Complex Systems (MITACS) as well as The IFID Centre at the Fields Institute.
Salisbury acknowledges support from NSERC. The authors would like to acknowledge helpful comments from
M. Cao, P. Chen, G. Daily, J. Francis, A. Gottesman, G. Jacoby, S. Posner, K. SigRist and two anonymous
JRI reviewers. A previous version of this paper circulated under the title of: A Note on the Solid Value of
Liquid Utility.
1
Asset Allocation and the Liquidity Premium for Illiquid Annuities.
ABSTRACT
Academics and practitioners alike have developed numerous techniques for bench-
marking investment returns to properly adjust seemingly-high numbers for ex-
cessive levels of risk. The same, however, can not be said for liquidity, or the
lack thereof. This paper develops a model for analyzing the ex ante liquidity pre-
mium demanded by the holder of an illiquid annuity. The annuity is an insurance
product that is akin to a pension savings ac
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