Limited partners (LPs) of private equity funds commit to invest with extreme levels of illiquidity and significant uncertainty regarding the timing of capital flows, often exacerbated by the LPs’ spending requirements and portfolio rebalancing needs. Secondary markets have emerged that alleviate some of the associated cost. This paper develops a valuation model incorporating these institutional features. Model-implied breakeven returns match empirically observed average fund returns for moderately risk-tolerant LPs with private equity allocations up to 40%. In contrast, when earning average returns in private equity, highly risk-averse LPs optimally allocate only a few percent to the asset class.

中文翻译：

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剪个头发多少钱？流动性不足、二级市场和私募股权的价值

私募股权基金的有限合伙人 (LP) 承诺以极端程度的非流动性和对资本流动时间的重大不确定性进行投资，而这些往往因 LP 的支出要求和投资组合再平衡需求而加剧。二级市场的出现减轻了一些相关成本。本文开发了一个包含这些制度特征的估值模型。模型隐含的盈亏平衡回报与经验观察到的中等风险承受能力有限合伙人的平均基金回报相匹配，私募股权分配高达 40%。相比之下，当在私募股权中获得平均回报时，高度规避风险的 LP 仅将几个百分比最佳地分配给资产类别。