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Private Equity Benchmarks and Portfolio Optimization

Research output: Contribution to Journal/MagazineJournal articlepeer-review

<mark>Journal publication date</mark>09/2013
<mark>Journal</mark>Journal of Banking and Finance
Issue number9
Number of pages14
Pages (from-to)3515–3528
Publication StatusPublished
<mark>Original language</mark>English


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.