Private Equity Benchmarks and Portfolio Optimization
43 Pages Posted: 15 Apr 2013
Date Written: April 15, 2013
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.
Keywords: Benchmark, Risk Modeling, Private Equity, Venture Capital
JEL Classification: G24
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