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A new method to estimate risk and return of non-traded assets from cash flows : the case of private equity funds

Driessen, Joost; Lin, Tse-chun; Phalippou, Ludovic - 2008

"We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of 958 mature private equity funds spanning 24 years. Our methodology uses...

Persistent link: https://www.econbiz.de/10003732358

Do stockholders share risk more effectively than nonstockholders?

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Downside risk

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Methodische Fortschritte in der Kapitalanlage : die Verwendung quantitativer und qualitativer Verfahren in der Prognose, dem Handel sowie der Portfoliokonstruktion

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Risk bearing ability of investors in Indian stock market

Valliappan, M. - In: International journal of economic research 12 (2015) 2, pp. 287-293

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Selection of the right risk measures for portfolio allocation

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Gold and exchange rates : downside risk and hedging at different investment horizons

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Persistent link: https://www.econbiz.de/10010533150

Quantifying downside risk in goal-based portfolios

Parker, Franklin J. - In: The journal of wealth management 17 (2014/15) 3, pp. 68-77

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Cash flow and discount rate risk in up and down markets : what is actually priced?

Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 6, pp. 1279-1301

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No arbitrage conditions and expected returns when assets have different β's in up and down markets

Xu, Peter; Pettit, R. Richardson - In: The journal of asset management 15 (2014) 1, pp. 62-71

Persistent link: https://www.econbiz.de/10010370069

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