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Regarding of the following strategies to harvest illiquidity premiums, which one is most likely a passive strategy?

A) Choosing the most illiquid assets within an asset class, even if the asset class is generally considered to be liquid.

B) Using dynamic factor strategies at the aggregate portfolio level.

C) Acting as a market maker for individual securities.

D) Allocating a portion of a portfolio to illiquid asset classes.

答案：D

解析：There are four primary ways that investors can harvest illiquidity premiums:

1. Allocating a portion of the portfolio to illiquid asset classes like real estate (i.e., this is a passive allocation to illiquid asset classes).

2. Choosing more illiquid assets within an asset class (i.e., liquidity security selection).

3. Acting as a market maker for individual securities.

4. Engaging in dynamic factor strategies at the aggregate portfolio level. This means taking long positions in illiquid assets and short positions in liquid assets to harvest the illiquidity risk premium.【資料下載】點擊下載FRM二級思維導圖PDF版

Of the four ways investors can harvest illiquidity risk premiums, this is the easiest to implement and can have the greatest effect on portfolio returns.

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