KTH Matematik  


Matematisk Statistik

Tid: 30 augusti 2018 kl 13.00-14.00.

Seminarierummet 3418, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 4.

Föredragshållare: Harald Agering

Title: True risk of illiquid investments

Abstract: Alternative assets are becoming a considerable portion of global financial markets. Some of these alternative assets are highly illiquid, and as such they may require more intricate methods for calculating risk and performance statistics accurately. Research on hedge funds has established a pattern of risk being understated and various measures of performance being overstated due to illiquidity of the assets. This paper sets out to prove the existence of such bias and presents methods for removing it. Four mathematical methods aiming to adjust statistics for sparse return series were considered, and an implementation was carried out for data on private equity, real estate and infrastructure assets. The results indicate that there are in general substantial adjustments made to the risk and performance statistics of the illiquid assets when using these methods. In particular, the volatility and market exposure were adjusted upwards while manager skill and risk-adjusted performance were adjusted downwards.

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Sidansvarig: Jimmy Olsson
Uppdaterad: 23/8-2018