References
Acemoglu, Daron, Asuman Ozdaglar, and Alireza Tahbaz-Salehi. 2015. “Systemic Risk and Stability in Financial Networks.” American Economic Review 105 (2): 564–608.
Almgren, Robert, and Neil Chriss. 2001. “Optimal Execution of Portfolio Transactions.” Journal of Risk 3: 5–39.
Amihud, Yakov, and Haim Mendelson. 1986. “Asset Pricing and the Bid-Ask Spread.” Journal of Financial Economics 17 (2): 223–49.
Ang, Andrew, Bingxu Chen, William N. Goetzmann, and Ludovic Phalippou. 2018. “Estimating Private Equity Returns from Limited Partner Cash Flows.” Journal of Finance 73 (4): 1751–83.
Asaf, Samir. 2004. Executive Corporate Finance: The Business of Enhancing Shareholder Value. Financial Times Prentice Hall.
Asaf, Samir. 2026a. GE-LAV® Platform. Web platform, https://liquidityillusion.com.
Asaf, Samir. 2026b. Liquidity Illusion: The General Equilibrium Theory of Private Capital Valuation.
Bain & Company. 2024. Global Private Equity Report 2024. Bain & Company.
Black, Fischer, and Myron Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81 (3): 637–54.
Carmona, René, and François Delarue. 2018. Probabilistic Theory of Mean Field Games with Applications, Vols. I and II. Springer.
Cetra, James, Daniel Lacker, and Kevin Webster. 2024. “Mean-Field Games in Finance.” Annual Review of Financial Economics.
Cochrane, John H. 2005. “The Risk and Return of Venture Capital.” Journal of Financial Economics 75 (1): 3–52.
Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross. 1985. “A Theory of the Term Structure of Interest Rates.” Econometrica 53 (2): 385–407.
Financial Stability Board. 2023. Private Markets and Systemic Risk. Financial Stability Board.
Fleming, Wendell H., and H. Mete Soner. 2006. Controlled Markov Processes and Viscosity Solutions. 2nd ed. Springer.
Gredil, Oleg, Barry E. Griffiths, and Rüdiger Stucke. 2020. “Benchmarking Private Equity: The Direct Alpha Method.” Unpublished manuscript.
Harris, Robert S., Tim Jenkinson, and Steven N. Kaplan. 2014. “Private Equity Performance: What Do We Know?” Journal of Finance 69 (5): 1851–82.
Hull, John C. 2017. Options, Futures, and Other Derivatives. 10th ed. Pearson.
Ivashina, Victoria, and Josh Lerner. 2019. Patient Capital: The Challenges and Promises of Long-Term Investing. Princeton University Press.
Jensen, Johan L. W. V. 1906. “Sur Les Fonctions Convexes Et Les Inégalités Entre Les Valeurs Moyennes.” Acta Mathematica 30: 175–93.
Kaplan, Steven N., and Antoinette Schoar. 2005. “Private Equity Performance: Returns, Persistence, and Capital Flows.” Journal of Finance 60 (4): 1791–823.
Kaplan, Steven N., and Per Strömberg. 2009. “Leveraged Buyouts and Private Equity.” Journal of Economic Perspectives 23 (1): 121–46.
Karatzas, Ioannis, and Steven E. Shreve. 1991. Brownian Motion and Stochastic Calculus. 2nd ed. Springer.
Korteweg, Arthur, and Morten Sorensen. 2010. “Risk and Return Characteristics of Venture Capital-Backed Entrepreneurial Companies.” Review of Financial Studies 23 (10): 3738–72.
Lasry, Jean-Michel, and Pierre-Louis Lions. 2007. “Mean Field Games.” Japanese Journal of Mathematics 2 (1): 229–60.
Lazard. 2024. Secondary Market Report 2024. Lazard.
Ljungqvist, Alexander, and Matthew Richardson. 2003. “The Investment Behavior of Private Equity Fund Managers.” Working Paper, NYU Stern.
Long, Austin M., and Craig J. Nickels. 1996. “A Method for Comparing Private Market Internal Rates of Return to Returns on Publicly Traded Securities.” Unpublished manuscript.
Mas-Colell, Andreu. 1985. The Theory of General Economic Equilibrium. Cambridge University Press.
Mas-Colell, Andreu, Michael D. Whinston, and Jerry R. Green. 1995. Microeconomic Theory. Oxford University Press.
McKean Jr., Henry P. 1966. “A Class of Markov Processes Associated with Nonlinear Parabolic Equations.” Proceedings of the National Academy of Sciences 56 (6): 1907–11.
McKinsey Global Institute. 2024. The Global Private Markets Review 2024. McKinsey.
Merton, Robert C. 1969. “Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case.” Review of Economics and Statistics 51 (3): 247–57.
Merton, Robert C. 1971. “Optimum Consumption and Portfolio Rules in a Continuous-Time Model.” Journal of Economic Theory 3 (4): 373–413.
Merton, Robert C. 1973. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science 4 (1): 141–83.
Øksendal, Bernt. 2003. Stochastic Differential Equations: An Introduction with Applications. 6th ed. Springer.
Pavliotis, Grigorios A. 2014. Stochastic Processes and Applications: Diffusion Processes, the Fokker-Planck and Langevin Equations. Springer.
Pham, Huyên. 2009. Continuous-Time Stochastic Control and Optimization with Financial Applications. Springer.
Pigou, Arthur C. 1920. The Economics of Welfare. Macmillan.
Preqin. 2024. Preqin Private Capital Data. Database subscription.
Risken, Hannes. 1996. The Fokker-Planck Equation: Methods of Solution and Applications. 2nd ed. Springer.
Robinson, David T., and Berk A. Sensoy. 2016. “Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity.” Journal of Financial Economics 122 (3): 521–43.
Sensoy, Berk A., Yingdi Wang, and Michael S. Weisbach. 2014. “Limited Partner Performance and the Maturing of the Private Equity Industry.” Journal of Financial Economics 112 (3): 320–43.
Setter Capital. 2024. Setter Secondary Market Reports. Industry publication.
Sharpe, William F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.” Journal of Finance 19 (3): 425–42.
Stafford, Erik. 2022. “Replicating Private Equity with Value Investing.” Review of Financial Studies 35 (6): 2799–848.
Sznitman, Alain-Sol. 1991. “Topics in Propagation of Chaos.” In École d’été de Probabilités de Saint-Flour XIX—1989. Springer.
Vasicek, Oldrich. 1977. “An Equilibrium Characterization of the Term Structure.” Journal of Financial Economics 5 (2): 177–88.
Vlasov, Anatoly A. 1938. “On the Kinetic Theory of Plasma.” Journal of Experimental and Theoretical Physics 8: 291.