Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/48440 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Working Paper No. 2006-02
Verlag: 
Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS), München
Zusammenfassung: 
In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and the stochastic model of the capital distributions over a fund's lifetime. Capital distributions are assumed to follow lognormal distributions in our approach. A mean-reverting square-root process is applied to model the rate at which capital is drawn over time. Applying equilibrium intertemporal asset pricing consideration, we are able to derive closed-form solutions for the market value and time-weighted model returns of a private equity fund.
Schlagwörter: 
Private Equity Funds
Stochastic Modeling
Mean-Reverting Square-Root Process
Incomplete Markets
JEL: 
G24
D52
G13
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
343.14 kB





Publikationen in EconStor sind urheberrechtlich geschützt.