Managing Private Fund-Based Portfolios: A Search for Rebalancing Strategies

Higher-Frequency Analysis of Low-Frequency Data

“…Indeed, illiquid investments are difficult to manage in a portfolio context for many reasons. Though progress has been made in modeling their portfolio dynamics (Takahashi and Alexander [2002];de Malherbe [2005]; Szigety [2013]), and while there is work regarding unsmoothing the reported series (Geltner [1991]; Fisher et al [1994]; Cho et al [2003]; Lizieri et al [2012]), we are unaware of any work regarding the higherfrequency treatment of these series that does not present significant practical challenges. It's often recommended to rely on higher-frequency public market or factor analogues, generated by or enhanced with cash-flow data (as in Kaplan and Schoar [2005] and Harris et al [2012]).…”