MARC 主機 00000nam  2200337   4500 
001    AAI3428532 
005    20110415112017.5 
008    110415s2010    ||||||||||||||||| ||eng d 
020    9781124280363 
035    (UMI)AAI3428532 
040    UMI|cUMI 
100 1  Ling, Lee 
245 10 Portfolio management for private and illiquid investments 
300    243 p 
500    Source: Dissertation Abstracts International, Volume: 71-
       11, Section: B, page:  
500    Adviser: John M. Mulvey 
502    Thesis (Ph.D.)--Princeton University, 2010 
520    The goal of this study is to provide a quantitative 
       framework for modeling illiquid investments in private 
       markets and restricted funds. As such, we divide the study
       into two halves. First, we attempt to mimic private equity
       behavior by a quasi-replication strategy with a portfolio 
       of publicly traded assets, as illustrated in an 
       application to endowment investing. We also study its 
       behavior and fair valuation by an earnings-based 
       stochastic model (Chapter 1 and 2). Second, we build a 
       stochastic model for portfolios with non-traded assets and
       deliver numerical results on optimal portfolio choice 
       under lock-up type of illiquidity. We also examine the 
       option value of various fund redemption restrictions via a
       binomial pricing model (Chapter 3 and 4) 
520    We believe there is a relatively strong link between 
       private and public markets and our study is among the 
       first few studies to exploit this linkage to partially 
       hedge or manage illiquid equity exposures and apply it to 
       fund-of-funds investing. We are also able to formulate a 
       portfolio optimization model for making optimal 
       consumption and investment decisions while having locked-
       up capital. With a stochastic risk premia for both stock 
       index and non-tradable asset in the portfolio, we show 
       that illiquidity can be beneficial or detrimental 
       depending on risk premium levels as well as the portion of
       illiquid wealth. In particular, an indifference pricing 
       approach illustrates how much unrestricted wealth makes 
       the certainty equivalent of a liquidity constrained 
       portfolio. Finally, we are able to quantify the cost of 
       redemption restrictions in fund investment after a 
       detailed fund survival analysis. Expected fund returns and
       volatility, recovery rate in case of default and lockup 
       periods are among parameters that drives changes in cost 
       of illiquidity 
590    School code: 0181 
650  4 Economics, Finance 
650  4 Operations Research 
690    0508 
690    0796 
710 2  Princeton University 
773 0  |tDissertation Abstracts International|g71-11B 
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