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Title:

Modeling and Managing Portfolios including Listed Private Equity

Document type:
Zeitschriftenaufsatz
Author(s):
Aigner, P.; Beyschlag, G.; Friederich, T.; Kalepky, M.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
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:
4
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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