Optimizing investment period length and strategies for later stage venture capital staged financing portfolio
利用随机规划模型分析后期风险投资组合的最优投资期限与退出策略，发现投资期限与收益呈S形关系，及时终止和严格退出倍数可提高收益，正相关组合表现更优。
In this paper, we analyze the investment and exit decisions in late-stage Venture Capital (VC) rounds of financing portfolios. We utilize a stochastic programming framework to minimize the investment period and find the optimal investment strategy for the VC portfolio under a predefined payoff. Validation of the model is conducted using the US later stage rounds of financing deals from PitchBook. Numerical results of the model reveal an ‘S’-shaped relationship between the portfolio’s payoff and investment period length, demonstrating the importance of timely termination for maximizing returns. Furthermore, a longer period with stricter exit multiples leads to a higher DPI payoff due to increased selectivity. However, excessively high exit multiples may reduce exits, hampering the portfolio’s overall payoff. Finally, portfolios with positive correlation perform better than the uncorrelated ones. These findings shed light on VC portfolio dynamics, providing insights for informed decision-making in staged financing investments.