A Study On The Valuation Of Private Equity Investment

In recent years,with the development and improvement of China's economic system,the economy can develop rapidly and steadily.In the context of the improvement of the investment environment,China is attracting global private equity,and the private equity can be developed rapidly in China.Because of the particularity of high profit,high risk and lack of liquidity under the limited partnership,the fund managers in private equity investment should not only consider the optimal investment strategy,but also consider the investors' expected returns and fund managers' management compensation.The value evaluation plays an important role in private equity investment,and it is the basis for evaluating the expected return of investment projects,what's more,it can prompt the risk of the underlying assets,so that investors adjust the investment strategy in a timely manner,to make appropriate measures to avoid risks,therefore,it is of great significance to study the valuation of private equity.On the other hand,after the twenty-first century,the inflation issue has become an urgent problem to be solved in many countries.China's economy has emerged from local overheating to the overall overheating deduction.The easing of monetary policy and the opening of the investment environment has led to an increasingly serious and persistent inflation.The long term investment of private equity has an impact on the expected return of investors and fund managers.Therefore,it is of great significance to study the valuation issue of private equity under the inflation environment.The content of this thesis is the valuation of private equity investment.The full thesis is composed of four chapters:The first chapter is introduction,which discusses the contents of the three parts.First of all,the background and significance of this study is introduced.Then,the current domestic and foreign research status of the private equity valuation is discussed.Finally,the main research contents and structure of this thesis are explained.In the second chapter,we study the optimal consumption and portfolio of private equity investors under inflation,and the valuation model of private equity investment under the case of full spanning market.Firstly,we give the payoff framework of limited partners,general partners and creditors in the private equity investment under the limited partnership.Secondly,we define the value function of the limited partners and general partners,where the real value is the one of the nominal value discounted by inflation,and we deduce the optimal consumption and portfolio of the limited partners through the stochastic dynamic programming method in the presence of inflation.Moreover,in the case of full spanning market,by using the dynamic replicating portfolio approach to generalize the Black-Scholes formula,we value contingent claims on the underlying asset.Finally,the optimization results are simulated numerically,and its economic significance in the actual environment is expounded.The third chapter is based on the model of the second chapter.We study on the valuation model of private equity investment under the non-spanned risk.Firstly,we consider the impact of non-spanned risks on the expected return of private equity investors under inflation.Then the performance measures model of private equity investment projects is discussed.Finally,the numerical simulation is carried out and its economic significance is explained.The last chapter is a summary of the research results,and the future research plan is discussed.