Figure 11 - available via license: Creative Commons Attribution 4.0 International
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Life cycle dynamics. This figure illustrates the life cycle dynamics of the LP's portfolio. The solid line plots the average outcome in each year while the shaded region provides the 95% confidence interval. Panels A through D plot the outcomes for new commitments, uncalled commitments, liquid wealth, and the stock allocation, respectively. All outcomes are shown relative to total wealth.
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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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