NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Liquidity Regimes and Optimal Dynamic Asset Allocation

Pierre Collin-Dufresne, Kent D. Daniel, Mehmet Saǧlam

NBER Working Paper No. 24222
Issued in January 2018, Revised in October 2018

---- Acknowledgments ----

For valuable comments and suggestions, we thank Darrell Duffie, Hui Guo, Ron Kaniel, an anonymous referee, and seminar participants at Princeton University, UCLA, University of Cincinnati and the 2018 Zurich Workshop on Asset Pricing. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

---- Disclosure of Financial Relationships for Kent D. Daniel ----

The author declares that he consults for financial firms, and serves on the academic advisory boards of several financial firms, but has no relevant or material financial interests that bear upon the research described in this paper.

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