Blackstone Group CEO Stephen Schwarzman said the biggest risks to market valuations are geopolitical, particularly North Korea and its nuclear program.
"The issue isn't particularly economic in terms of markets and it's not really the central banks...it's geopolitical and there's some bad things going on in the world and conventional analysis says things will be fine," Schwarzman said at the Delivering Alpha conference, produced by CNBC and Institutional Investor. "Whether it's North Korea, whether it's trade, there are a number of issues that people don't want to focus on because the outcome would be really bad."
North Korea has been a factor that has shaken markets recently, and it was cited as the top risk for markets in Bank of America Merrill Lynch's global fund managers survey Tuesday.
In response to a question, Schwarzman said he is concerned about North Korea as it pertains to investments, his firm and life in general. "I would not be buying office buildings in Seoul," he said, though he did not comment further on how North Korea affects investment decisions.
Schwarzman said there is a misperception in the U.S. that China and North Korea are friendly.
"The Chinese do not want a nuclearized Korean peninsula, and they're very serious about that. They also don't want to have a shooting war occur and have 20 million refugees from North Korea go into China. So it's complicated for them as to what they do and what we've been doing is dealing with them during a period where they're actually having what we would call an election," he said.
Schwarzman said after its party congress in late October, China may be more willing to take action on North Korea. President Xi Jinping is expected to be granted a second five year term, and other party leadership will be aligned at the congress, which takes place every five years.
"It's very complicated. For the Chinese it's a lot of different things. First, their relationship with North Korea is not good and it's not been very good for a long time," said Schwarzman, who just returned from China.
"You also have the Russians involved. The perception that this is just China and North Korea is not correct," he said.
The U.N. Security Council , including China, approved tough new sanctions against North Korea Monday. The sanctions would ban 90 percent of North Korea's reported exports and limit the amount of oil it is permitted to import.
"There's a lot of actors in this drama. There's South Korea. There's the Japanese with missiles flying over them. This is a very dangerous situation," he said. "It's complicated and you will only find what people will do at the end of the drama."