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.
Authors: Douglas Cumming / Lars Helge Haß / Denis Schweizer
Publication date: 3 May 2013
Published in: Journal of Banking & Finance
Volume/ Ausgabe: Volume 37, Issue 9
Source download link: https://www.sciencedirect.com/science/article/abs/pii/S0305054811000025