Stochastic modeling of private equity: an equilibrium based approach to fund valuation
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References listed on IDEAS
- 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, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
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More about this item
KeywordsPrivate Equity Funds; Stochastic Modeling; Mean-Reverting Square-Root Process; Incomplete Markets;
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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