Risiko, Pengembalian, dan
Holdings Optimal Swasta
Ekuitas: Sebuah Survei Pendekatan yang
Ada
Andrew Ang
Columbia Business School
Morten Sorensen†
Columbia Business School
ms3814@columbia.edu
Published 10 October 2012
PE
funds are usually classified as purchases, venture capital (VC), or some other
type of funds that specialize in equity investments - like other liquid non -
registered. PE funds typically have a 10-13 year horizon, where the capital
invested can not be redeemed. In addition, the partnership agreement determines
the complex governance funds, determine compensation GP as a combination of
ongoing costs (management costs), cost-sharing transaction (carried interest),
and other costs.
Private
equity ( PE ) investments are investments in private companies are controlled ,
the direct trade between investors rather than through an organized exchange .
PE is often regarded as a distinct asset class , and it differs from public
equity investments in fundamental ways . There is no active market for PE
positions , making these investments illiquid and difficult to value . Investing
is for the long term .
Estimating Risk and Return Private Equity
Empirical approach commonly used to
estimate the risk and return of publicly traded securities standards are
difficult to apply . PE investment intricate features include unlimited data ,
the irregular nature of the investment , and sample selection problems that
typically arise in data reporting PE . Adjusting for these difficulties
requires sophisticated econometric techniques . Without adjustment , the naive
analysis tends to understate risk and volatility and may overestimate the
performance estimates .
Private Equity Asset allocation model that describes the transaction costs ( high to PE ) and the risk of liquidation ( which is substantial for PE ) PE recommend simple ownership . In this model , rebalancing will be rare , so the wide swings in PE ownership can be expected . In addition , liquid PE ownership will be much lower than predicted by the model asset allocation assuming that all assets can be controlled if desired .
About Issues Private Equity
Generally , the owner of the assets invested in the fund PE as an LP in which investment decisions are made by the investment manager acting as GPs . This arrangement poses a potential agency problem . In the public equity markets , factor returns and active management can largely be separated because of the investable index strategy . Because PE is based on a private nature , it is difficult to conduct large studies - a systematic sample contract features and see how they relate to performance .
Private Equity Asset allocation model that describes the transaction costs ( high to PE ) and the risk of liquidation ( which is substantial for PE ) PE recommend simple ownership . In this model , rebalancing will be rare , so the wide swings in PE ownership can be expected . In addition , liquid PE ownership will be much lower than predicted by the model asset allocation assuming that all assets can be controlled if desired .
About Issues Private Equity
Generally , the owner of the assets invested in the fund PE as an LP in which investment decisions are made by the investment manager acting as GPs . This arrangement poses a potential agency problem . In the public equity markets , factor returns and active management can largely be separated because of the investable index strategy . Because PE is based on a private nature , it is difficult to conduct large studies - a systematic sample contract features and see how they relate to performance .
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