The Endowment Model and Modern Portfolio Theory

杨金强，现任上海财经大学金融学院终身正教授，博士生导师，证券期货系主任，校创新团队首席专家和英贤学者，上海国际金融与经济研究院研究员。同时也为教育部首批“长江学者”青年学者，国家优秀青年基金获得者，教育部“新世纪优秀人才支持计划”获得者, 霍英东教育基金获得者，上海市首批青年拔尖人才，上海市晨光学者。

近年来主要致力于动态公司金融和资产定价的理论研究。已发表或接受待发表学术期刊论文47篇,包括：国际顶尖金融学和经济学期刊论文6篇（其中1篇Journal of Finance，3篇Journal of Financial Economics，1篇Review of Financial Studies和1篇Journal of Economic Theory）；其他如Review of Corporate Finance Studies、Eonomic Theory等国际知名SSCI期刊论文27篇；国内权威期刊论文14篇(其中5篇《经济研究》和3篇《管理科学学报》)。

We analyze a long-term investor’s dynamic spending and asset allocation decisions by incorporating an illiquid alternative asset into an otherwise standard modern portfolio theory framework. The alternative asset has a lock-up period, but can be voluntarily liquidated or increased by paying a proportional cost prior to the lock-ups expiration. The investor benefits from liquidity diversification, which results from the alternative assets’ staggered maturity dates. The quantitative results of our calibrated model match the spending and asset allocation decisions of university endowment funds, if the alternative asset earns an expected risk-adjusted net-of-fees return of 2-3% (with public equity as the benchmark).