TY - CHAP
T1 - Listed p rivate equity in a portfolio context
AU - Aigner, Philipp
AU - Beyschlag, Georg
AU - Friederich, Tim
AU - Kalepky, Markus
AU - Zagst, Rudi
N1 - Publisher Copyright:
© 2010 by World Scientific Publishing Co. Pte. Ltd. All Right reserved.
PY - 2010/1/1
Y1 - 2010/1/1
N2 - This chapter first provides a comprehensive overview of private equity by categorizing the private equity investments into financing stages, divestment strategies, and types of financing. Different ways of investing in the asset class “private equity” are characterized, ranging from direct investments, which are hard to access, to listed private equity (LPE) investments, which provide a liquid means for investors to consider private equity in their portfolios. A Markov–Switching model is presented, which is able to capture the characteristics of the asset class LPE. By applying several risk measures and optimization frameworks, the question of the optimal fraction for an LPE investment in an investor’s portfolio is scrutinized. Depending on the risk aversion of the investor, the optimal fraction of an LPE investment in this study ranges between 0% for a very risk–averse investor, 7.5–11.8% for a moderately risky investor, and 16.9–27.9% for an investor willing to take higher risks.
AB - This chapter first provides a comprehensive overview of private equity by categorizing the private equity investments into financing stages, divestment strategies, and types of financing. Different ways of investing in the asset class “private equity” are characterized, ranging from direct investments, which are hard to access, to listed private equity (LPE) investments, which provide a liquid means for investors to consider private equity in their portfolios. A Markov–Switching model is presented, which is able to capture the characteristics of the asset class LPE. By applying several risk measures and optimization frameworks, the question of the optimal fraction for an LPE investment in an investor’s portfolio is scrutinized. Depending on the risk aversion of the investor, the optimal fraction of an LPE investment in this study ranges between 0% for a very risk–averse investor, 7.5–11.8% for a moderately risky investor, and 16.9–27.9% for an investor willing to take higher risks.
UR - http://www.scopus.com/inward/record.url?scp=84970997428&partnerID=8YFLogxK
U2 - 10.1142/9789814280112_0002
DO - 10.1142/9789814280112_0002
M3 - Chapter
AN - SCOPUS:84970997428
SN - 9814280100
SN - 9789814280105
SP - 21
EP - 49
BT - Alternative Investments and Strategies
PB - World Scientific Publishing Co.
ER -