Purpose This study aims to examine the theoretical foundations for multivariate portfolio
optimization algorithms under illiquid market conditions. In this study, special emphasis is …

We develop a model for optimizing multiple‐asset portfolios with semi‐parametric liquidity‐
adjusted value‐at‐risk (LVaR), whereby linear correlations are substituted by the …

We survey the literature on the private equity partnership arrangement from the perspective
of an outside investor (limited partner). We examine how the partnership arrangement fits …

In many respects, financial advice is an enabler of risk-taking. Individuals who have little
knowledge of or experience with the financial markets may not feel confident in their ability …

This paper builds a venture capital index from 1987 to 1999 that consists of 12,946 rounds of
venture financing with 5,643 venture-backed firms. The paper uses two innovative …

We develop a dynamic portfolio choice model with illiquid alternative assets to analyze the
“endowment model,” widely adopted by institutional investors, such as pension funds …

This paper develops scenario optimization algorithms for the assessment of investable
financial portfolios under crisis market outlooks. To this end, this research study examines …

In recent times, venture capital and private equity funds have become household names, but
so far little has been written for the investors in such funds, the so-called limited partners …

Building on the success of the author's previous book Beyond the J Curve: Managing a
Portfolio of Venture Capital and Private Equity Funds, this work covers new and additional …

The aim of this paper is to analyse the development strategies of an innovative Special
Purpose Vehicle (SPV) for sustainable and responsible investments (SRI). This contribution …