Unlike public markets, private market holdings are a class of self-liquidating assets. Consequently, there is no passive strategy, e.g., buy-and-hold, to invest in private markets. All investments require an active management. In order to build and maintain a desired allocation to private...

Investors have been increasing their allocations to private assets seeking higher returns and better portfolio diversification. However, as this allocation increases, the liquidity characteristics of their portfolios change. To address this issue we create a framework that links bottom-up...

How does an asset with a higher expected return but higher risk compare to an asset with a lower expected return but lower risk? A natural answer is to rank them based on their risk-adjusted returns. But what if the expected return and risk are not estimated reliably? This is the challenge of...