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Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity

In: Risk Management

Author

Listed:
  • Christoph Kaserer

    (Technische Universität München
    Technische Universität München)

  • Niklas Wagner

    (Technische Universität München
    Technische Universität München)

  • Ann-Kristin Achleitner

    (Technische Universität München
    Technische Universität München)

Abstract

Since private equity investments are not publicly traded, a key issue in measuring investment risks of institutional private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity investments are typically observed at low frequency and are determined by transactions under low liquidity. This contribution highlights useful approaches to the problem of return measurement under conditions of illiquidity. Then, specific risk management issues, including asset allocation issues, are discussed.

Suggested Citation

  • Christoph Kaserer & Niklas Wagner & Ann-Kristin Achleitner, 2005. "Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity," Springer Books, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel (ed.), Risk Management, edition 0, pages 259-277, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-26993-9_13
    DOI: 10.1007/3-540-26993-2_13
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    References listed on IDEAS

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    Cited by:

    1. Buchner, Axel & Kaserer, Christoph & Wagner, Niklas, 2006. "Stochastic modeling of private equity: an equilibrium based approach to fund valuation," CEFS Working Paper Series 2006-02, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).

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    More about this item

    Keywords

    Private Equity; Risk/Return Measurement; Net Asset Values; Cash Flows; Illiquidity; Stale Pricing; Risk Management; Asset Allocation;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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