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Primary Article

How Risky Are Illiquid Investments?

Vineet Budhraja and Rui J.P.. de Figueiredo
The Journal of Portfolio Management Winter 2005, 31 (2) 83-93; DOI: https://doi.org/10.3905/jpm.2005.470581
Vineet Budhraja
A vice president at Citigroup Alternative Investments in New York City.
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Rui J.P.. de Figueiredo Jr
A research consultant to Citigroup Alternative Investments and an associate professor at the Haas School of Business at the University of California at Berkeley.
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Abstract

Highly illiquid and non–traded investments?such as private real estate, leveraged buyouts, and venture capital?have historically been very hard to compare to traditional investments. This is particularly problematical when one considers how to include these assets in a traditional portfolio of assets. For the purposes of asset allocation, it is critical that illiquid asset classes are made comparable to liquid asset classes. An estimation procedure here may help to assess the true risks and diversification benefits presented by illiquid asset classes more accurately. Even though the approach involves some assumptions, it should provide a better picture of the variations in illiquid returns.

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The Journal of Portfolio Management
Vol. 31, Issue 2
Winter 2005
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How Risky Are Illiquid Investments?
Vineet Budhraja, Rui J.P.. de Figueiredo
The Journal of Portfolio Management Jan 2005, 31 (2) 83-93; DOI: 10.3905/jpm.2005.470581

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How Risky Are Illiquid Investments?
Vineet Budhraja, Rui J.P.. de Figueiredo
The Journal of Portfolio Management Jan 2005, 31 (2) 83-93; DOI: 10.3905/jpm.2005.470581
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