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Multistage stochastic optimization for private equity investments
Lorenzo Reus
, John M. Mulvey
Research output
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Article
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peer-review
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Scopus citations
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INIS
investment
100%
market
100%
optimization
100%
stochastic processes
100%
allocations
83%
volatility
66%
values
33%
risks
33%
tools
16%
weight
16%
performance
16%
planning
16%
assets
16%
gain
16%
Keyphrases
Private Equity Investments
100%
Private Equity
100%
Multi-stage Stochastic Optimization
100%
Equity Allocation
40%
Volatility
20%
Market Conditions
20%
Private Equity Market
20%
Liquidity Problems
20%
Public Equity
20%
Net Present Value
10%
Factor Model
10%
Stochastic Optimization Model
10%
Long-term Investment
10%
Annual Return
10%
Weight Change
10%
Target Return
10%
Equity Volatility
10%
Higher Returns
10%
Public Equity Markets
10%
Time Change
10%
Cash-out
10%
Allocation Weight
10%
Investment Value
10%
Free Cash Flow
10%
Timing Difference
10%
Economics, Econometrics and Finance
Private Equity
100%
Volatility
18%
Investors
18%
Wealth
6%
Present Value
6%
Cash Flow
6%
Medicine and Dentistry
Body Weight Change
100%