Modeling and managing portfolios including listed private equity

DOI10.1016/J.COR.2010.12.015zbMath1251.91052OpenAlexW2001740336MaRDI QIDQ1762037

Georg Beyschlag, Rudi Zagst, Philipp Aigner, Markus Kalepky, Tim Friederich

Publication date: 15 November 2012

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2010.12.015

zbMATH Keywords

portfolio optimizationMarkov-switching modelsfinancial crisisasset allocationprivate equitylisted private equity

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Some new results on value ranges of risks for mean-variance portfolio models ⋮ Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups

Cites Work

• The Pricing of Options and Corporate Liabilities
• Moments of Markov switching models
• Coherent Measures of Risk
• Unnamed Item

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