Private equity benchmarks and portfolio optimization

Douglas Cumming, Lars Helge Haß and Denis Schweizer

Journal of Banking & Finance, 2013, vol. 37, issue 9, 3515-3528

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.

Keywords: Benchmark; Risk modeling; Private equity; Venture capital (search for similar items in EconPapers)
JEL-codes: G24 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:9:p:3515-3528

DOI: 10.1016/j.jbankfin.2013.04.010

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