Private equity benchmarks and portfolio optimization

Douglas Cumming, Lars Helge Hass, Denis Schweizer

Research output: Contribution to journalArticle

16 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)3515–3528
Number of pages14
JournalJournal of Banking and Finance
Volume37
Issue number9
DOIs
Publication statusPublished - 1 Sep 2013

Keywords

  • benchmark
  • risk modelling
  • private equity
  • venture capital

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