arXiv Open Access 2025

A Dynamic Model of Private Asset Allocation

Hui Chen Giovanni Gambarotta Simon Scheidegger Yu Xu

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Abstrak

We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timing lags between capital commitments, capital calls, and eventual distributions, (3) time-varying business cycle conditions, (4) serial correlation in observed private asset returns, and (5) regulatory constraints on certain institutional investors' portfolio choices. We use cutting-edge machine learning methods to quantify the optimal investment policies over the life cycle of a fund. Moreover, our model offers regulators a tool for precisely quantifying the trade-offs when setting risk-based capital charges.

Topik & Kata Kunci

q-fin.PM

Penulis (4)

Hui Chen

Giovanni Gambarotta

Simon Scheidegger

Yu Xu

Format Sitasi

APA MLA BibTeX

Chen, H., Gambarotta, G., Scheidegger, S., Xu, Y. (2025). A Dynamic Model of Private Asset Allocation. https://arxiv.org/abs/2503.01099

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Informasi Jurnal

Tahun Terbit: 2025
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓