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Private Equity Benchmarks and Portfolio Optimization

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Private Equity Benchmarks and Portfolio Optimization. / Cumming, Douglas; Hass, Lars Helge; Schweizer, Denis.
In: Journal of Banking and Finance, Vol. 37, No. 9, 09.2013, p. 3515–3528.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Cumming, D, Hass, LH & Schweizer, D 2013, 'Private Equity Benchmarks and Portfolio Optimization', Journal of Banking and Finance, vol. 37, no. 9, pp. 3515–3528. https://doi.org/10.1016/j.jbankfin.2013.04.010

APA

Cumming, D., Hass, L. H., & Schweizer, D. (2013). Private Equity Benchmarks and Portfolio Optimization. Journal of Banking and Finance, 37(9), 3515–3528. https://doi.org/10.1016/j.jbankfin.2013.04.010

Vancouver

Cumming D, Hass LH, Schweizer D. Private Equity Benchmarks and Portfolio Optimization. Journal of Banking and Finance. 2013 Sept;37(9):3515–3528. doi: 10.1016/j.jbankfin.2013.04.010

Author

Cumming, Douglas ; Hass, Lars Helge ; Schweizer, Denis. / Private Equity Benchmarks and Portfolio Optimization. In: Journal of Banking and Finance. 2013 ; Vol. 37, No. 9. pp. 3515–3528.

Bibtex

@article{914b4f2677f249d1a123caa031a8da94,
title = "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.",
author = "Douglas Cumming and Hass, {Lars Helge} and Denis Schweizer",
year = "2013",
month = sep,
doi = "10.1016/j.jbankfin.2013.04.010",
language = "English",
volume = "37",
pages = "3515–3528",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",
number = "9",

}

RIS

TY - JOUR

T1 - Private Equity Benchmarks and Portfolio Optimization

AU - Cumming, Douglas

AU - Hass, Lars Helge

AU - Schweizer, Denis

PY - 2013/9

Y1 - 2013/9

N2 - 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.

AB - 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.

U2 - 10.1016/j.jbankfin.2013.04.010

DO - 10.1016/j.jbankfin.2013.04.010

M3 - Journal article

VL - 37

SP - 3515

EP - 3528

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 9

ER -