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How much for a haircut? : illiquidity, secondary markets, and the value of private equity
Bollen, Nicolas P. B.; Sensoy, Berk A. - 2016
Limited partners (LPs) of private equity funds commit to invest with extreme levels of illiquidity and significant uncertainty regarding the timing of capital flows. Secondary markets have emerged which alleviate some of the associated cost. This paper develops a subjective valuation model...
Persistent link: https://www.econbiz.de/10011772208
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Illiquid Asset Investing
Ang, Andrew - 2013
After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio...
Persistent link: https://www.econbiz.de/10013088632
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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …
Persistent link: https://www.econbiz.de/10013093548
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Hedging Market Risk in Optimal Liquidation
Monin, Phillip - 2017
effects from insufficient market liquidity. A typical method to manage these price impact effects is to split a given order …
Persistent link: https://www.econbiz.de/10012972701
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Fund managers - why the best might be the worst: On the evolutionary vigor of risk-seeking behavior
Witte, Björn-Christopher - 2011
This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and...
Persistent link: https://www.econbiz.de/10010306759
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Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior
Witte, Björn-Christopher - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-24, pp. 1-29
This article explores the influence of competitive conditions on the evolutionary fitness of different risk preferences. As a practical example, the professional competition between fund managers is considered. To explore how different settings of competition parameters, the exclusion rate and...
Persistent link: https://www.econbiz.de/10010309602
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Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung
Heidorn, Thomas; Kaiser, Dieter G.; Muschiol, Andrea - 2007
Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the...
Persistent link: https://www.econbiz.de/10003754615
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Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen
Lang, Michael; Cremers, Heinz; Hentze, Rainald - 2010
Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...
Persistent link: https://www.econbiz.de/10003939552
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An axiomatic treatment of enlarged separation portfolios and treasurer's portfolios (with applications to financial synthetics)
Apreda, Rodolfo - 2009
Expanded separation portfolios ( Se ) and Treasurer’s portfolios T( Se ) are a sect of themselves. They arise out of risk-free assets and risky portfolios like other mutual funds. But their distinctive features set them apart from the common lot. This paper puts forth, firstly, a down-to-earth...
Persistent link: https://www.econbiz.de/10003875180
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Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten
Krones, Julia; Cremers, Heinz - 2012
.e. default risk, liquidity, risk and the relative attractiveness of government bonds. Afterwards we will shed some light on the …
Persistent link: https://www.econbiz.de/10009576035