Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089543 | Journal of Banking & Finance | 2013 | 14 Pages |
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.
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Douglas Cumming, Lars Helge HaÃ, Denis Schweizer,