A New Approach of Valuing Illiquid Asset Portfolios
AbstractThis paper proposes a new approach of valuing portfolios that contain illiquid assets. The approach has three major advantages. First, the estimators are arithmetic averages of individual asset returns or their proxies, so they strictly correspond to actual portfolio returns. Second, the approach is able to value portfolios in which assets are arbitrarily weighted, including equal-weighted, price-weighted and value-weighted portfolios. Third, the model is easy to extend to incorporate asset characteristic data to improve the accuracy. Simulations wi
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm175.
Date of creation: 01 Feb 2001
Date of revision: 01 Aug 2001
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- Kaserer, Christoph & Wagner, Niklas & Achleitner, Ann-Kristin, 2003. "Managing investment risks of institutional private equity investors: The challenge of illiquidity," CEFS Working Paper Series 2003-01, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
- Alexander Peter Groh & Oliver Gottschalg, 2008. "The Opportunity Cost of Capital of US Buyouts," NBER Working Papers 14148, National Bureau of Economic Research, Inc.
- Liang Peng, 2001. "Building A Venture Capital Index," Yale School of Management Working Papers ysm221, Yale School of Management, revised 01 Oct 2001.
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