The oxidation of cyclohexane to cyclohexanol and cyclohexanone is an important industrial reaction and a key step in the nylon production chain. A novel route is to use supercritical carbon dioxide to expand the reactive liquid, which enhances the mobility of both the reactants and the products, to obtain a higher conversion rate and a better yield. However, only little experimental phase equilibrium data for design of carbon dioxide expanded oxidation processes is available, especially for a high pressure and multicomponent system. In previous works, we also performed experimental measurements. However, it would be a lot of work to measure all desired experimental data. Therefore, it would be interesting to examine the accuracy of prediction from molecular simulation and thermodynamic models. In this study, three theoretical approaches, i.e., molecular simulation, the Peng-Robinson equation of state (PR EOS), and COSMO-SAC, were investigated in a comprehensive study with respect to their predictive and descriptive capabilities for fluid phase coexistence data of an industrially important pentenary mixture. Overall, the PR EOS provides the poorest performance and the performance of molecular simulation and COSMO-SAC is good and very similar. Both molecular simulation and COSMOSAC are capable to predict multicomponent VLE with an excellent accuracy, if one state-independent binary parameter is introduced. Beside these satisfactory results, it was found that improvements are necessary, especially when no experimental binary data are available. In predictive mode, deviations up to 50% in terms of the vapor pressure or the Henry's law constant were encountered for some systems. The presented data and models can be used for the optimization of the reaction conditions for the oxidation of cyclohexane in carbon dioxide expanded liquids.