PT - JOURNAL ARTICLE AU - Will Kinlaw AU - Mark Kritzman AU - David Turkington ED - Scott, Cathy TI - Practical Applications of Liquidity and Portfolio Choice: <em>A Unified Approach</em> AID - 10.3905/pa.2014.1.3.032 DP - 2014 Jan 31 TA - Practical Applications PG - 1--5 VI - 1 IP - 3 4099 - https://pm-research.com/content/1/3/1.12.short 4100 - https://pm-research.com/content/1/3/1.12.full AB - Liquidity and Portfolio Choice: A Unified Approach Will Kinlaw Mark Kritzman David Turkington An investor’s optimal allocation to illiquid assets depends not only on assumptions about those assets’ return and risk, but also on how that specific investor benefits from liquidity.“Our clients felt that the existing methods for incorporating liquidity considerations into portfolio construction were too ad hoc and were looking for something more rigorous and tailored to their specific situations,” Will Kinlaw, Senior Managing Director at State Street Global Exchange , explains in an interview.This Practical Applications report outlines a solution proposed by the authors of Liquidity and Portfolio Choice: A Unified Approach , which won the 2013 Peter L. Bernstein Award for Best Paper across Institutional Investor Journals .The report is presented in a Q&amp;A format and mirrors the accompanying video interview with Kinlaw and co-authors Mark Kritzman ( Windham Capital Management ) and David Turkington ( State Street Global Exchange ).