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Liquidity Illusion: The General Equilibrium Theory of Private Capital Valuation de Samir Asaf

Liquidity Illusion: The General Equilibrium Theory of Private Capital Valuation: Chapman and Hall/CRC Financial Mathematics Series

Autor Samir Asaf
en Limba Engleză Paperback – 3 mar 2027
“Liquidity Illusion is a significant contribution to the mathematical theory of asset valuation. Asaf brings together mean-field game theory, stochastic control, and general equilibrium analysis in a framework that is both mathematically rigorous and applicable to the practice of institutional investment. The identification of the McKean–Vlasov externality in private capital markets—and its correction through a uniquely derived Pigouvian instrument—is genuinely novel. This book could reshape how the profession thinks about illiquidity risk.” - Robert J. Elliott, Emeritus RBC Financial Group Professor of Finance, University of Calgary
 
Liquidity Illusion: The General Equilibrium Theory of Private Capital Valuation addresses an open question: how to value private-market assets when the liquidity premium is stochastic, shaped by collective investor behaviour, and productive of externalities in secondary markets.
 
The starting point is DCF. Endorsed by the International Private Equity and Venture Capital Valuation guidelines and embedded in regulation from Solvency II to AIFMD, DCF is structurally unsuited to private assets — not through parameter misuse, but because it holds the liquidity premium fixed where private-market liquidity is stochastic and governed by McKean–Vlasov mean-field interactions. This book replaces it with a rigorous, empirically calibrated framework. GELAV generalises DCF, yielding five results with direct implications for investment and regulation.
 
The book serves two audiences. Section One (Chapters 1–9) is for practitioners—investment officers, fund managers, regulators, and sophisticated LPs wanting to understand and improve current valuation practices. No advanced math is needed. Section Two (Chapters 10–20) is for researchers—PhD students, academics, and quants seeking full math derivations.
 
Features
  • The first continuous-time general-equilibrium model of private-capital valuation
  • Five new theorems with calibrated numerical content
  • Two-part structure that serves practitioners and researchers
  • Direct connection to live regulation
  • Reproducible computational platform
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Specificații

ISBN-13: 9781041448785
ISBN-10: 1041448783
Pagini: 496
Ilustrații: 70
Dimensiuni: 178 x 254 mm
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman and Hall/CRC Financial Mathematics Series

Public țintă

Postgraduate, Professional Practice & Development, and Professional Reference

Cuprins

Section 1: The Practitioner’s Guide  1. Why Private Market Valuation Is Broken  2. The Liquidity Illusion: What Secondary Markets Reveal  3. The Term Structure of Private Capital Returns  4. IRR, PME, and the Measurement Problem  5. What a Correct Theory Must Deliver  6. Exit Timing, Free Boundaries, and the Trapped Investor  7. Portfolio Construction with Liquidity Hedge Demand  8. Regulatory Implications: Solvency II, AIFMD, and the FSB  9. Implementation: The GELAV Platform  Section 2: The Researcher’s Framework  10. Probability, Brownian Motion, and the Itô Calculus  11. Stochastic Control and the HJB Equation  12. The Ornstein–Uhlenbeck Process  13. McKean–Vlasov Mean-Field Games  14. The Fokker–Planck Equation  15. The Master Equation on Wasserstein Space  16. The Liquidity-Adjusted Valuation Operator  17. General Equilibrium: Endogenous Premiums and Market Clearing  18. The Jensen Convexity Bias: Proof and Calibration  19. Constrained Pareto Inefficiency and the Pigouvian Exit Tax  20. The Valuation Hierarchy: DCF ⊊ LAV ⊊ GELAV

Recenzii

“Liquidity Illusion is a significant contribution to the mathematical theory of asset valuation. Asaf brings together mean-field game theory, stochastic control, and general equilibrium analysis in a framework that is both mathematically rigorous and applicable to the practice of institutional investment. The identification of the McKean–Vlasov externality in private capital markets—and its correction through a uniquely derived Pigouvian instrument—is genuinely novel. This book could reshape how the profession thinks about illiquidity risk.” - Robert J. Elliott, Emeritus RBC Financial Group Professor of Finance, University of Calgary

Notă biografică

Samir Asaf is Senior Partner at Regent Financial, a private markets advisory firm in New York, as a Senior Principal Investment Banker with active FINRA Series 7, 24, 63, 66, 79, and 82 Licenses. He holds a PhD in Finance (SMC University), an MSc (Economics and Econometrics) from the London School of Economics (Commonwealth Scholar), a PGDip in Mathematical Economics from Birkbeck (Distinction), and a BSc (Economics) from Boston College. He is a CFA, CMA, CTP, CM&AA; a Chartered Director and Fellow of the Institute of Directors (UK), Certified in International Banking Risk and Regulation (ICBRR) from GARP; a Certified Basel III Auditor, and holds a Professional Certification in Data Science and Systems Architecture from MIT. He is an alumnus of Oxford University and was a research fellow in Financial Markets at the Harvard Business School. He was an Instructor in Corporate Finance at Stanford University, a Senior Advisor at theWorld Bank/International Finance Corporation, and Finance Director at AT&T Corp. With over thirty years’ experience, he has advised leading institutional investors and fund managers on private equity, infrastructure, private credit, and cross-border M&A across North America, Europe, Asia-Pacific, and the Middle East. His research explores stochastic control theory, McKean–Vlasov mean-field games, and their application to private markets. The GELAV (General Equilibrium Liquidity-Adjusted Valuation) framework, introduced here, is his main contribution to financial economics, offering the first continuous-time general equilibrium model of liquidity pricing in private markets. It produces closed-form results for the Jensen convexity bias, optimal exit boundary, welfare gap, and corrective Pigouvian exit tax. The framework is implemented at liquidityillusion.com. Dr. Asaf’s earlier work, Executive Corporate Finance: The Business of Enhancing Shareholder Value (Financial Times Prentice Hall, 2004), has been adopted worldwide for MBA and executive education programs. This book continues that tradition by applying stochastic analysis, optimal control, and mean-field game theory to current issues in private capital market valuation.


Descriere

Liquidity Illusion: The General Equilibrium Theory of Private Capital Valuation addresses an open question: how to value private-market assets when the liquidity premium is stochastic, shaped by collective investor behaviour, and productive of externalities in secondary markets.