Institutional investors

Modeling illiquidity in a multi-period stochastic projection November 2011 James Gannon, FSA EA Director, Asset Allocation and Risk Measurement When projecting portfolio values for the purposes of an asset allocation study or strategic review, the calculations become more complex if illiquidity is taken into account. How can illiquidity be modeled in this context? This Russell Practice Note discusses that in a multi-period projection model (such as that used by Russell) which allows for rebalancing or other changes to allocations at future points can be adapted to include total or partial restrictions on the future buying or selling of specific asset classes — i.e., to take illiquidity into account. Request this research A note about our research Our proprietary research is made available to our institutional clients, and many of these published papers are available to other institutional investors as well. If you are not a Russell client, but are an institutional investor, we welcome you to request this research piece. We only require your contact information on a short request form. For more information about our research, please contact David or Gerry:     West Coast David Rothenberg Managing Director 866-926-5934 East Coast Gerry Lillis Director 866-459-4128 Nothing contained in this material is intended to constitute legal, tax, securities, or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. Russell Investment Group is a Washington, USA corporation, which operates through subsidiaries worldwide, including Russell Investments, and is a subsidiary of The Northwestern Mutual Life Insurance Company. Date of first use: November 2011 USI-11573			Printer friendly version of this page