Private Equity Benchmarks and Portfolio Optimization

35 Pages Posted: 5 Oct 2010

See all articles by Douglas J. Cumming

Douglas J. Cumming

Florida Atlantic University

Lars Helge Hass

Lancaster University - Management School; University of Iowa - Henry B. Tippie College of Business

Denis Schweizer

Concordia University

Multiple version iconThere are 2 versions of this paper

Date Written: October 4, 2010

Abstract

Portfolio optimization with private equity is based on one of three different indices: listed private equity indices, transaction-based private equity indices, and appraisal value based private equity indices. We show that none of these indices are appropriate for portfolio optimization. We introduce a new benchmark index for buyouts and venture capital. Our benchmark is updated monthly, adjusted for autocorrelation (de-smoothing) and available contemporaneously. We show our benchmark enables superior quantitative portfolio optimization.

Keywords: Benchmark, Risk Modeling, Private Equity, Venture Capital

JEL Classification: G24

Suggested Citation

Cumming, Douglas J. and Hass, Lars Helge and Schweizer, Denis, Private Equity Benchmarks and Portfolio Optimization (October 4, 2010). Available at SSRN: https://ssrn.com/abstract=1687380 or http://dx.doi.org/10.2139/ssrn.1687380

Douglas J. Cumming (Contact Author)

Florida Atlantic University ( email )

777 Glades Rd
Boca Raton, FL 33431
United States

HOME PAGE: http://booksite.elsevier.com/9780124095373/

Lars Helge Hass

Lancaster University - Management School ( email )

Department of Accounting and Finance
Lancaster, LA1 4YX
United Kingdom

University of Iowa - Henry B. Tippie College of Business ( email )

Dept. of Accounting
Iowa City, IA 52242-1000
United States

Denis Schweizer

Concordia University ( email )

1455 de Maisonneuve Blvd. W.
Montreal, Quebec H3G 1M8
Canada
+1 (514) 848-2424 ext. 2926 (Phone)
+1 (514) 848-4500 (Fax)

HOME PAGE: http://www.concordia.ca/jmsb/faculty/denis-schweizer.html

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