000			02218cam a22003497 4500
001			w25559
003			NBER
005			20211020104242.0
006			m o d
007			cr cnu||||||||
008			210910s2019 mau fo 000 0 eng d
100	1		_aDimmock, Stephen G.
245	1	4	_aThe Endowment Model and Modern Portfolio Theory / _cStephen G. Dimmock, Neng Wang, Jinqiang Yang.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2019.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w25559
500			_aFebruary 2019.
520	3		_aWe develop a dynamic portfolio-choice model with illiquid alternative assets to analyze the "endowment model," popularized by university endowment funds. The alternative asset has a lock-up, but can be liquidated prior to the lock-up's expiration by paying a proportional cost. The quantitative results match the average level and cross-sectional variation of endowments' spending and asset allocation decisions. Asset allocation and spending depend on the alternative asset's expected excess return, unspanned risk, and preferences for inter-temporal smoothing. We extend the model to allow crisis states, and show that increased illiquidity during crises causes holdings to deviate significantly from targets allocations.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aG11 - Portfolio Choice • Investment Decisions _2Journal of Economic Literature class.
690		7	_aG23 - Non-bank Financial Institutions • Financial Instruments • Institutional Investors _2Journal of Economic Literature class.
700	1		_aWang, Neng. _922623
700	1		_aYang, Jinqiang.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w25559.
856	4	0	_uhttps://www.nber.org/papers/w25559
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w25559
942			_2ddc _cW-PAPER
999			_c322563 _d281125