I profili di criticità del Private equity negli schemi di asset allocation
Journal title ECONOMIA E DIRITTO DEL TERZIARIO
Author/s Gabriele Sampagnaro
Publishing Year 2011 Issue 2010/3 Language Italian
Pages 23 P. 509-531 File size 559 KB
DOI 10.3280/ED2010-003006
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This paper analyzes the most common pitfalls that asset manager face in adapting the traditional asset allocation schemes (mean-variance framework) to the Private equity investments. Because this asset class is characterized by illiquidity and stickiness, the risk and performance parameters can be result distorted, generating a significant instability and unreliability of efficient frontiers. The intent of the paper is to illustrate the groundwork required for the more scientific use of appraisal-based returns time series. Formal smoothing models are presented together with their theoretical implications to investment analyst
Gabriele Sampagnaro, I profili di criticità del Private equity negli schemi di <i>asset allocation</i> in "ECONOMIA E DIRITTO DEL TERZIARIO " 3/2010, pp 509-531, DOI: 10.3280/ED2010-003006