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 …

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 …

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 …

institutional allocations to private equity and across-fund diversification, our analysis reveals that certainty equivalent returns … in PE fund investing are 2-to-8% lower than if inferred from average fund performance levels. The results provide new …Uncertainty about manager skill and diversification constraints are hallmarks of investing in alternative assets. This …

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 …

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 …

financiera para el caso de homocedasticidad. In this paper we intend to study the way diversification affects specific risk to … risk associated to diversified portfolios. Therefore, we propose focusing on the variance of the unconditional distribution … results show that, when in presence of conditional heteroskedasticity of the ARCH-type in the market model, the specific risk …

useful treatment to the problems of asset pricing and diversification. Hence, the new approach contained in the post …

Private equity fund managers, pension fund managers, and investment advisers assert that private equity investments … diversify investors' portfolios. We show that cost-based methods of accounting understate the systematic risk of private equity …, creating an illusion of diversification. After European private equity funds switched to fair value accounting following their …

investor diversification as the goodness of fit of a benchmark asset pricing model with respect to the investor portfolio …-cost equity portfolio sorted by institutional diversification generates a Carhart alpha of 0.52% (equally-weighted) or 0 …We test whether the diversification of marginal investor affects the underlying firm's cost of equity. We use …