Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2016 erstellt
Beschreibung:
It has been long understood that value considerations alone are not sufficient to describe investor preferences. Starting with the premise that investors generally dislike uncertainty in the realized price of redeemed-from holdings, we propose a utility-based framework for calculating hedge fund illiquidity discounts. The framework links discounts to such factors as hedge fund expected volatility, length of liquidity time constraints, and investor risk preferences