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Private equity benchmarks and portfolio optimization

  • Cumming, Douglas
  • Helge Haß, Lars
  • Schweizer, Denis

Portfolio optimization using private equity is typically based on one of three indices: listed private equity, transaction-based private equity, or appraisal value-based private equity indices. However, we show that none of these indices is fully suitable for portfolio optimization. We introduce here a new benchmark index for venture capital and buyouts, which is updated monthly, adjusted for autocorrelation (de-smoothing), and available contemporaneously. We illustrate how our benchmark enables superior quantitative portfolio optimization.

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 37 (2013)
Issue (Month): 9 ()
Pages: 3515-3528

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Handle: RePEc:eee:jbfina:v:37:y:2013:i:9:p:3515-3528
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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