Figure 15 - available via license: Creative Commons Attribution 4.0 International
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Business cycles and total wealth outcomes. This figure illustrates the distribution of total wealth outcomes at the end of the investment horizon t " T . The initial total wealth is W 0 ` P 0 " 1. Panel A plots the distribution for total wealth W T ` P T . Panel B plots the distribution for the realized growth in total wealth per annum, logpW T ` P T q{10. The solid (dashed) bars plot the outcomes conditional on the LP experiencing a lower (higher) than expected number of recessions over its investment horizon.
Source publication
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timing lags between capital commitments, capital calls, and eventual distributions, (3) time-varying business cycle conditions, (4) serial correlation in observed private ass...
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