Redefining Risk-Adjusted Returns of PE Funds through Advanced Analytics
Advisor: Sara Boni, M.Sc.
Start: flexible
Topic
- Previous literature suggests various ways to compute risk-adjusted Private Equite funds returns
- However, recent data analytics methodologies offer ways to produce alternative measures.
- The goal would be to review the literature that already existts as well as implement the new measure to compute PE funds returns.
Requirements
Interest in quantitative finance and private markets; interest in empirical work and special dedication to coding in Phyton; attention to detail.
Related Literature
Gupta, A. and Van Nieuwerburgh, S. (2021), Valuing Private Equity Investments Strip by Strip. The Journal of Finance, 76: 3255-3307. https://doi.org/10.1111/jofi.13073
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 master thesis on this topic, please indicate this in your application. Please note that this topic can be expanded and/or taken in other directios depending on the student's own interests and ideas.