Arbeitspapier
Stochastic modeling of private equity: an equilibrium based approach to fund valuation
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2006-02
- Klassifikation
-
Wirtschaft
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Incomplete Markets
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Private Equity Funds
Stochastic Modeling
Mean-Reverting Square-Root Process
Incomplete Markets
Private Equity
Investmentfonds
Wertpapieranalyse
Rendite
Risiko
Stochastischer Prozess
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Buchner, Axel
Kaserer, Christoph
Wagner, Niklas
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS)
- (wo)
-
München
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Buchner, Axel
- Kaserer, Christoph
- Wagner, Niklas
- Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS)
Entstanden
- 2006
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