We study the life cycle of portfolio allocation following for 15 years a large random sample of Norwegian households using error-free data on all components of households’ investments drawn from the Tax Registry.

The Norwegian ministry of finance has asked us to investigate the possibilities for the Government Pension Fund Global (GPFG) to profit from liquidity premiums in illiquid investments. Can a large investor with a long horizon, limited short term liquidity needs and high risk bearing capacity, such as the GPFG, profit from these liquidity premiums?