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Three Essays in Asset Management

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Academic year: 2021

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Figure 1.1: The optimization problem of the manager; on the X-axis we have the actively managed quantity, q a
Table 1.1: Summary statistics for mutual funds. For illiquidity 1=most liquid, 10=most illiquid Year Funds TNA (mil.) Age (years) Illiquiditydecile Expenseratio(%) Mgmtfee(%) 12B-1fee(%) Turnover(%) 1983 78 265.99 20.94 2.17 0.93 74.35 1984 89 291.14 20.21
Table 1.10: Differences in size, age, fee, turnover between funds invested into illiquid stocks and funds invested into liquid stocks
Table 1.11: Characteristics benchmark adjusted returns; the first column is with respect to 5 × 5 × 5 sorted benchmark by size, book-to-value and past returns; the number of shares is kept constant between 2 reporting dates
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