Private Equity Benchmarks and Portfolio Optimization
نویسندگان
چکیده
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 (desmoothing), and available contemporaneously. We illustrate how our benchmark enables superior quantitative portfolio optimization. 2013 Elsevier B.V. All rights reserved.
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