Takahashi-Alexander重访:使用历史模拟建模私募股权投资组合结果

IF 1.1 4区 经济学 Q3 BUSINESS, FINANCE Journal of Portfolio Management Pub Date : 2023-05-13 DOI:10.3905/jpm.2023.1.496
Dawson Beutler, Alex Billias, Sam Holt, J. Lerner, TzuHwan Seet
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引用次数: 0

摘要

2001年,耶鲁大学投资办公室(Yale University Investments Office)的院长高桥(Dean Takahashi)和塞思•亚历山大(Seth Alexander)开发了一个确定性模型,用于估算耶鲁大学捐赠基金私募股权投资组合的未来现金流和估值。他们的模型简单直观,至今仍被投资者普遍使用。然而,该模型具有显著的缺陷,包括对模型运行所必需的假设的敏感性,以及未能提供一系列可能的投资组合结果。这两个问题都可能导致投资者对预测产生过度自信,从而导致次优甚至不利的投资组合管理决策。为了解决这些缺点,我们提出了一种新颖的历史模拟方法,该方法保留了Takahashi和Alexander方法背后的简单性和直觉。然而,我们的模型利用了历史私募股权现金流数据,不需要用户假设,自然会提供一系列结果。我们深入探讨了这个模型,强调了模型在无数用例中的功能和灵活性。
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Takahashi–Alexander Revisited: Modeling Private Equity Portfolio Outcomes Using Historical Simulations
In 2001, Dean Takahashi and Seth Alexander of the Yale University Investments Office developed a deterministic model for estimating future cash flows and valuations for the Yale endowment’s private equity portfolio. Their model, which is simple and intuitive, is still commonly used by investors to this day. However, the model possesses significant shortcomings, including its sensitivity to the assumptions necessary for the model to function and its failure to provide a range of possible portfolio outcomes. Both issues can result in investors developing overconfidence in forecasts, which can result in suboptimal—or even adverse—portfolio management decisions. To address these shortcomings, we propose a novel historical simulation approach that preserves the simplicity and intuition behind Takahashi and Alexander’s approach. However, our model, which leverages historical private equity cash flow data, requires no user assumptions and naturally provides a range of outcomes. We explore this model in some depth, highlighting the model’s power and flexibility across myriad use cases.
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来源期刊
Journal of Portfolio Management
Journal of Portfolio Management Economics, Econometrics and Finance-Finance
CiteScore
2.20
自引率
28.60%
发文量
113
期刊介绍: Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.
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