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.

Item Type: Journal Article
Journal or Publication Title: Journal of Banking and Finance
Uncontrolled Keywords: /dk/atira/pure/subjectarea/asjc/2000/2002
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 63383
Deposited By: ep_importer_pure
Deposited On: 15 Apr 2013 07:49
Refereed?: Yes
Published?: Published
Last Modified: 01 Jan 2020 08:22

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