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Title: Saving Private Buying: Replicating Private Equity Returns Under Different Economic Regimes
Authors: Quiogue, Lorenzo
Advisors: Mulvey, John M.
Department: Operations Research and Financial Engineering
Certificate Program: Engineering and Management Systems Program
Class Year: 2017
Abstract: The returns provided by investing in different types of private equity can be replicated using an optimized mixture of exchange-traded funds, with adjustments being made to mitigate the risk and lower the leverage associated with the deal. The result is a model that serves as both an adequate forecasting tool for future private equity returns and as a hedging strategy for risk-averse investors. While different strategies may be employed, the one that is the most optimal makes use of a regime-based economic model, adjusting the weights on each exchange-traded fund depending on whether the economy is in a growth regime or in a crash regime.
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2021

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