On the topic of liquidity premiums:
Yes, all else equal, the liquid asset will always be more valuable. This is why PE/VC must deliver higher returns to offset their illiquid nature.
Many factors influence the size of this premium. The S&P500 recently traded at ~23x P/E, suggesting that (liquid) public equities were relatively expensive.
While illiquidity per se is a disadvantage, the illiquid nature typically accompanies longer hold periods. Longer hold periods are tax-efficient and allow more time for value creation. Illiquid assets are also less prone to impulsive decision-making and other behavioral risks. This is the indirect link between illiquidity and competitive returns.
My opinion is that most HNWIs are probably under-indexed in long term (illiquid) assets.
