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 …

returns are close to empirically observed average fund returns for moderately risk tolerant LPs with private equity … allocations up to 40%. Likewise, optimal portfolio allocations for these LPs are similar to those observed in practice. More risk …

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 …

to estimate the risk and return profile of any selected fund by the respective funds's management features, investment … focus and investment stage. Investors will thereby be able to choose a fund which matches their desired risk and return …For years, research has been conducted to correctly model and predict the risk and return structures of Private Equity …

portfolio returns on market returns to measure risk produces risk measures that are not credible. Institutional investors … portfolio returns to market returns. Examples for venture capital and buyout portfolios show that the true risk measures are … alternative approach to measuring risk directly which explicitly addresses the staleness of reported values for venture capital …

potential of the fund’s management to allocate resources to portfolio companies. Our findings contribute to the understanding of …Recent research has pointed out the need to differentiate between good versus poor performance of venture capital and … private equity investments and to analyze the factors that determine the ‘winners’ and ‘losers’ of a fund. This study examines …

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 …

We evaluate the performance of limited partners' (LPs) private equity investments over time. Using a sample of 14 …,380 investments by 1,852 LPs in 1,250 buyout and venture funds started between 1991 and 2006, we find that the superior performance of …