Private equity benchmarks and portfolio optimization

被引：21

作者：

Cumming, Douglas ^{[1
]}

Hass, Lars Helge ^{[2
]}

Schweizer, Denis ^{[3
]}

机构：

[1] York Univ, Schulich Sch Business, Toronto, ON M3J 1P3, Canada

[2] Univ Lancaster, Sch Management, Lancaster LA1 4YX, England

[3] WHU Otto Beisheim Sch Management, D-56179 Vallendar, Germany

来源：

JOURNAL OF BANKING & FINANCE | 2013年 / 37卷 / 09期

关键词：

Benchmark; Risk modeling; Private equity; Venture capital; PERFORMANCE; INVESTMENT; RETURNS; EUROPE; SHARPE;

D O I：

10.1016/j.jbankfin.2013.04.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：3515 / 3528

页数：14

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