| The traditional venture capital theory holds that the behavior of venture capitalists is “completely rational”,but the venture capitalists in reality are “bounded rational”.This article first in the classical CRRA utility function,considering the private equity,risk stocks and risk-free bonds,introducting opportunity costs as a decision variable,establish The Optimal Portfolio Model with private equity.Then,on this basis,based on the general disappointment model of Jia & Dyer(2001),we study the investment portfolio of private equity funds considering investors’ disappointment aversion.This article completed the following work:Assuming that investors want to put all their initial wealth into private equity funds,investment is divided into two stages,Investors invest in private equity at the beginning of the first stage as part of the initial commitment and the remainder Twostage initial time investment.The first phase of the initial time did not extract the paidup capital all into the risk of stocks and debt Coupons,investors in the entire investment cycle can be continuously adjusted portfolio weight,making the private equity fund investment ratio Example Keep constant.Considering the delayed investment in private equity,by making private equity investment delayed and without delay Ultimate Wealth Expectations Equal Opportunity Costs Minimal,Solving the First Stage Commitment The remainder of the capital is invested in stocks and The optimal allocation in the bond,get the optimal portfolio.The study found that,under the classicly CRRA utility model,if the private equity and risk stocks are not relevant,it is only for the investor to have less than three quarters of the initial commitment to the private equity at the initial moment.If the investor’s initial commitment to invest in private equity remains unchanged,the investor’s optimal investment weight for the risk stock decreases as the correlation coefficient between the private equity and the risky stock increases.If the correlation coefficient between private equity and risk stock is constant,When the correlation coefficient is less than 0.5094,the more the private equity investment is made by the investor at the initial time,the greater the optimal weight of the risk stock.The optimal weight of the risk stock is independent of the length of the first stage.The longer the first phase,the more the opportunity cost.Big.Secondly,consider the investor’s disappointment disgust,the proportion of the commitment capital invested by the investor at the initial time is increased to CRRA utility.At this point,the initial commitment of private equity investment ratio range,different phase The number of relationships corresponds to a different initial commitment range,and the greater the correlation coefficient between private equity and risk.Small,the initial commitment of private equity closer to 1,investors in the first phase more willing to put money into private equity,And the balance of the remaining portion of the first phase of the commitment capital into the stock and the optimal allocation ratio in the bond is more than the CRRA utility Does not change.When the comprehensive factor of disappointment disgust is 0,consider the opportunity cost model of disappointment aversion establishment And CRRA utility model is equivalent.When the disappointment disgusting factor is greater than 1,the opportunity to disappoint the model The cost increases as the disappointment aversion coefficient increases.So the newly established model is the optimization and improvement of the original model.Finally,under the classical CRRA utility model,a portfolio optimization model is established to consider the consumption in the period.Shows investors how to optimally commitment of capital to private equity funds,and how to optimize the current liquidity assets assigned to the stock and bonds,found that the expected utility of consumption rate decreases gradually with time increaseing. |
