Optimal Liquidation of Venture Capital Stakes
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Optimal Liquidation of Venture Capital Stakes

        

Optimal Liquidation of Venture Capital Stakes

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We model the optimal liquidation behavior of a venture capital or non-diversified asset management firm faced with a sale of concentrated security holdings. As the firm?s stake is large, its sales can lead to permanent and temporary price depressions. At the optimum, the institution chooses the liquidation interval to balance the exposure to the market return variance against the impact of its own sales on the realized return. We obtain closed-form solutions for power impact functions... More
Material Type: Open Journal-Article
Technical Format: PDF
Date Added to MERLOT: March 25, 2011
Date Modified in MERLOT: August 06, 2014
Author:
Submitter: Howard Kuan

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  • Reviewed by members of Editorial board for inclusion in MERLOT.
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About

Primary Audience: College Upper Division, Graduate School, Professional
Mobile Compatibility: Not specified at this time
Language: English
Cost Involved: no
Source Code Available: unsure
Accessiblity Information Available: unsure
Creative Commons: unsure

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