Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324957 
Year of Publication: 
2024
Citation: 
[Journal:] Credit and Capital Markets – Kredit und Kapital [ISSN:] 2199-1235 [Volume:] 57 [Issue:] 1/4 [Year:] 2024 [Pages:] 185-221
Publisher: 
Duncker & Humblot, Berlin
Abstract: 
This article presents a new methodological approach to value private equity investments based on simulation. The valuation relies on 'imperfect replication'. This method does not presuppose the perfection of the capital market and is essentially built on measuring the risk. The approach turns out to be easy to implement. Firm specific characteristics as well as and existing special rights can be depicted and modelled. The proposed methodology is of immediate practical usefulness as it can help to find decision support for concrete investment situations. Also, during the investment period it can be used for monitoring. The originality of the research lies in the combination of Monte Carlo simulation, multiple methods, relevant risk measures and risk-value models.
Subjects: 
Company valuation
share valuation
exit price
risk analysis
Monte Carlo simulation
incomplete replications
JEL: 
G17
G24
G32
G33
G34
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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