This article presents a new methodological approach to value private equity investments based on simulation. The valuation relies on 'imperfect replication'. This method does not presuppose the perfection of the capital market and is essentially built on measuring the risk. The approach turns...

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...