Journal of Banking & Finance Vol. 37 No. 9 2013
Private equity benchmarks and portfolio optimization
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.
- DOI
- 10.1016/j.jbankfin.2013.04.010
- Volume
- 37
- Issue
- 9
- Pages
- 3515-3528
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib