Multicriteria approaches for a private equity fund
Christiane Tammer, Johannes Tannert · AIP conference proceedings · 2012
We develop a new model for a Private Equity Fund based on stochastic differential equations. In order to find efficient strategies for the fund manager we formulate a multicriteria optimization problem for a Private Equity Fund. Using the e-constraint method we solve this multicriteria optimization problem. Furthermore, a genetic algorithm is applied in order to get an approximation of the efficient frontier.