Template-Type: ReDIF-Paper 1.0
Author-Name: de Zwart, G.J.
Author-Name-Last: de Zwart
Author-Name-First: Gerben
Author-Name: Frieser, B.
Author-Name-Last: Frieser
Author-Name-First: Brian
Author-Name: van Dijk, D.J.C.
Author-Name-Last: van Dijk
Author-Name-First: Dick
Author-Person: pva27
Title: A Recommitment Strategy for Long Term Private Equity Fund Investors
Abstract: This paper develops a reinvestment strategy for private equity which aims to keep its portfolio weight equal to a desired strategic allocation, while taking into account the illiquid nature of private equity. Historical simulations (1980-2005) show that our dynamic strategy is capable of maintaining a stable investment level that is close to the target. This does not only hold for unrestricted portfolios, but also for investments limited to buyout or venture capital, a specific region, or management experience. This finding is of great importance for investors, because private equity funds have a finite lifetime and uncertain cash flows.
Creation-Date: 2007-12-24
File-URL: https://repub.eur.nl/pub/10892/ERS-2007-097-F&A.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2007-097-F&A
Classification-JEL: G12, G3, M
Keywords: overcommitment, private equity funds, recommitment strategy, strategic asset allocation
Handle: RePEc:ems:eureri:10892