This paper suggests a solution to what has become known as the "private equity premium puzzle" (Moskowitz and Vissing-Jorgensen (2002)). We interpret occupational choice as a dynamic portfolio choice problem of a life-cycle investor facing a liquidity constraint and imperfect information about...

Diese Dissertation befasst sich mit aktuellen Fragestellungen rund um Investitionen in Private Equity. Der zweite Artikel beschäftigt sich mit der Auswahl der Fondsmanager und dem Ansatz, in Fonds mit der besten Performance in der Vergangenheit zu investieren. Empirische Untersuchungen zeigen...

This is the first empirical paper investigating a comprehensive sample of listed (i.e. publicly traded) private equity companies, covering 287 companies in the time period 1986 to 2003. After imposing liquidity constraints, and after correcting for non-surviving vehicles, we get a sample of 114...

Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed volatility of private equity returns is...