In this article, we investigate risk return characteristics and diversification benefits when private equity is used as … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …

increase with the length of maturity. Performance measures, such as return on risk-adjusted capital and the Sharpe ratio, show … structures are systematically changed. A constructed rolling window of annual returns reveals that risk and return significantly … level, the dominance is reduced. The results imply that portfolio managers should consider performance characteristics in …

This paper is the first systematic analysis of the impact of diversification on the performance of private equity funds … diversification across financing stages, but increases with diversification across industries. Accordingly, the fraction of portfolio … companies which have a negative return or return nothing at all, increase with diversification across financing stages …

Deriving an optimal asset allocation for institutional investors hinges crucially on the quality of inputs used in the … and incorporated consistently to arrive at and .These new parameters can then be used in the portfolio optimization … Kovarianz-Matrix weiterverarbeitet werden. Diese angepassten Parameter dienen dann als Ausgangspunkt fur die Portfolio …

risk. Given the above, this paper presents a model of efficient portfolio optimization based on Markowitz's theory, using … EWMA methodology for the calculation of portfolio risk. …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in … risk adjusted return portfolios. VaR for these portfolios can then be estimated directly instead of using computer …The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has …

VC firm experience only relates positively to performance when outstanding (e.g. 3rd generation fund or above). However … discusses how their heterogeneity leaves room for VC firms to pursue diversification strategies and minimise the correlation …

firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent …