Illiquidity: Implications for investors and pension funds

Liquidity has become one of the most heavily discussed and researched aspects of financial markets. This paper by Frank de Jong and Frans de Roon (both Tilburg University) discusses the implications of illiquidity, and in particular transaction costs and non-traded risks, for investors. Illiquidity is a multi-dimensional concept, reflecting at least a time, volume and price dimension. This affects the optimal portfolio composition.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.


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