Nowcasting Net Asset Values: The Case of Private Equity

Advisor: Dr. Sara Boni

Type: Master’s Thesis
Start: May/Mid June 2025

 

Overview

Valuing illiquid assets accurately is hard but necessary for many critical investment decisions made by institutional investors. Private equity (PE) investments are a prime example. Various stakeholders rely heavily on infrequently reported net asset values (NAVs) provided by fund managers. However, investors observe additional information that can be used to generate unbiased and more timely higher-frequency estimates of the true value of a fund.

Objective

This thesis aims to replicate the methodology implemented by Brown, G. W., Ghysels, E., Gredil, O. R., 2023 (see below) as well as placing it in the relevant literature.

Requirements

Advanced skills in financial econometrics and in general applied econometrics, as well as in coding (with Matlab). Experience with State-Space Models is a plus. 

Literature

Brown, G. W., Ghysels, E., Gredil, O. R., (2023), Nowcasting Net Asset Values: The Case of Private Equity,The Review of Financial Studies, 36(3): 945–986, https://doi.org/10.1093/rfs/hhac045

Contact & Application

If you are interested in writing your thesis on this topic, please indicate this in your application. Please note that this topic can be expanded and/or taken in other directions depending on the student's own interests and ideas.