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Evolutionary Learning of Private Equity Recommitment Strategies
Kieffer, Emmanuel; Pinel, Frederic; Meyer, Thomas et al.
2021In 2021 IEEE Symposium Series on Computational Intelligence (SSCI)
Peer reviewed
 

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Keywords :
Private Equity; Genetic Programming; Evolutionary Learning
Abstract :
[en] Achieving and maintaining high allocations to Private Equity and keeping allocations at the targeted level through recommitment strategies is a complex task which needs to be balanced against the risk of becoming a defaulting investor. When looking at recommitments we are quickly faced with a combinatorial explosion of the solution space, rendering explicit enumeration impossible. As a consequence, manual management if any is becoming time-consuming and error-prone. For this reason, investors need guidance and decision aid algorithms producing reliable, robust and trustworthy recommitment strategies. In this work, we propose to generate automatically recommitment strategies based on the evolution of symbolic expressions to provide clear and understandable decision rules to Private Equity experts and investors. To the best of our knowledge, this is the first time a methodology to learn recommitment strategies using evolutionary learning is proposed. Experiments demonstrate the capacity of the proposed approach to generate efficient and robust strategies, keeping a high degree of investment while bounding the risk of being overinvested.
Research center :
ULHPC - University of Luxembourg: High Performance Computing
Disciplines :
Computer science
Author, co-author :
Kieffer, Emmanuel ;  University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Computer Science (DCS)
Pinel, Frederic ;  University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Computer Science (DCS)
Meyer, Thomas;  SimCorp Luxembourg SA, Luxembourg,
Gloukoviezoff, Georges;  European Investment Bank, Luxembourg
Lucius, Hakan;  European Investment Bank, Luxembourg
Bouvry, Pascal ;  University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Computer Science (DCS)
External co-authors :
no
Language :
English
Title :
Evolutionary Learning of Private Equity Recommitment Strategies
Publication date :
2021
Event name :
IEEE Symposium Series on Computational Intelligence (IEEE SSCI 2021)
Event date :
from 05-12-2021 to 07-12-2021
Audience :
International
Main work title :
2021 IEEE Symposium Series on Computational Intelligence (SSCI)
Peer reviewed :
Peer reviewed
Focus Area :
Computational Sciences
Name of the research project :
Toward A.I. Recommitment Strategies for ESG integration in Private Equity
Funders :
EIB - European Investment Bank [LU]
Available on ORBilu :
since 26 November 2021

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