Venture capital: risk and return : optimal asset allocation in a venture capital portfolio

2011

Masteroppgave i økonomi og administrasjon - Universitetet i Agder 2011 This thesis examines the impact of including higher moments than the mean and variance when optimizing an investment portfolio. As prior research on venture capital portfolio strategy has focused on diversification across industries and the optimal number of investments, this thesis adds insight to portfolio prioritization by focusing on the effect of portfolio diversification across different risk levels. More specifically, this study uses Monte Carlo to simulate returns from different risk levels and then determines how a “higher moments” optimal allocation change if the returns come from a non-normal as opposed to a n…