Private Equity Benchmarks and Portfolio Optimization

Cumming, Douglas and Hass, Lars Helge and Schweizer, Denis (2013) Private Equity Benchmarks and Portfolio Optimization. Journal of Banking and Finance, 37 (9). 3515–3528. ISSN 0378-4266

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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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Journal Article
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Journal of Banking and Finance
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15 Apr 2013 07:49
Last Modified:
21 Nov 2022 23:32