Private equity is high risk, and requires a very sizable initial investment. Are you ready to invest $250,000 or $1,000,000 in a single privately held company that will probably go bankrupt?
David Swenson popularized private equity in his book "Unconventional Success", where he describes allocating to both REITs and private equity. Yale had billions to invest, so spreading million dollar bets around is easy for them, and spreads their risk. You could read that book (probably available at the library - every college endowment copied Yale after that, the idea was so popular), and maybe look up "accredited investor" to learn about the requirements.