increase with the length of maturity. Performance measures, such as return on risk-adjusted capital and the Sharpe ratio, show … structures are systematically changed. A constructed rolling window of annual returns reveals that risk and return significantly … level, the dominance is reduced. The results imply that portfolio managers should consider performance characteristics in …

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 …

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 …

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 …

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 …

VC firm experience only relates positively to performance when outstanding (e.g. 3rd generation fund or above). However … discusses how their heterogeneity leaves room for VC firms to pursue diversification strategies and minimise the correlation …

compensation of fund managers to the excess return of the managed portfolio over a benchmark portfolio. The contract parameters … ("fulcrum") performance fees distort the allocation of managed portfolios in a way that induces a significant and unambiguous …This paper analyzes the asset pricing implications of commonly-used portfolio management contracts linking the …

portfolio allocation processes by long-term private equity investors. Large increases in systematic risk in recent years cast … show that aggregate market risk varies strongly over time and is positively correlated with the market return variance …Structure and stability of private equity market risk are still nearly unknown, since market prices are mostly …