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Document type:
Zeitschriftenaufsatz 
Author(s):
Aigner, P.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Modeling and Managing Portfolios including Listed Private Equity 
Abstract:
Listed private equity (LPE) provides investors with a liquid means of considering private equity in their portfolios. This paper presents a first-order autoregressive Markov-Switching model (ARMS) which is able to capture the characteristics of the asset classes bonds, stocks, and LPE, such as heavy tails and autocorrelation. Optimizing a portfolio between bonds, stocks, and LPE shows that an investor benefits from including LPE due to the high diversification effects, which also holds for a ver...    »
 
Keywords:
Markov-switching models, Private equity, Listed private equity, Asset allocation, Portfolio optimization, Financial crisis 
Intellectual Contribution:
Contribution to Practice 
Journal title:
Journal of Computers and Operations Research 
Year:
2012 
Journal volume:
39 
Journal issue:
Pages contribution:
753 - 764 
Reviewed:
ja 
Language:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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