observed volatility of private equity returns is unrealistically low because the recorded returns of private equity are based … the observed volatility. As an alternative to observed volatility some investors have argued that private equity … volatility should be estimated as leveraged public equity volatility, because private equity companies are more highly levered …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new …, risk-parity based approach to determine each model's accuracy. I find that traditional, sample covariance methods perform …

In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a portfolio …