Liquidity is a risk factor of primary relevance that can significantly affect the asset allocation decisions of investors. In this paper, we introduce the concept of portfolio staleness and propose a simple framework to manage portfolio liquidity, intended as the cost needed to liquidate the portfolio. Within this framework, the traditional minimum variance problem is solved under the additional constraint that portfolio staleness must be smaller than a given threshold. We show that a dynamic asset allocation strategy based on the staleness constrained portfolio can significantly enhance portfolio liquidity over the standard minimum variance solution. Meanwhile, the increase in portfolio risk is limited, generating large liquidity gains per unit of risk.

流动性是一个主要相关的风险因素，可以显着影响投资者的资产配置决策。在本文中，我们引入了投资组合陈旧的概念，并提出了一个简单的框架来管理投资组合流动性，旨在作为清算投资组合所需的成本。在这个框架内，传统的最小方差问题在投资组合陈旧度必须小于给定阈值的附加约束下得到解决。我们表明，基于陈旧约束投资组合的动态资产配置策略可以显着提高标准最小方差解决方案的投资组合流动性。同时，投资组合风险的增加是有限的，每单位风险产生大量的流动性收益。