Article (Scientific journals)
Learning private equity recommitment strategies for institutional investors
Kieffer, Emmanuel; Meyer, Thomas; Gloukoviezoff, Georges et al.
2023In Frontiers in Artificial Intelligence in Finance
Peer reviewed
 

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Keywords :
Private Equity; Evolutionary learning; Recommitment strategies
Abstract :
[en] Keeping strategic allocations at target level to maintain high exposure to private equity is a complex but essential task for investors who need to balance against the risk of default. Illiquidity and cashflow uncertainty are critical challenges especially when commitments are irrevocable. In this work, we propose to use a trustworthy and explainable A.I. approach to design recommitment strategies. Using intensive portfolios simulations and evolutionary computing, we show that efficient and dynamic recommitment strategies can be brought forth automatically.
Disciplines :
Computer science
Author, co-author :
Kieffer, Emmanuel ;  University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Computer Science (DCS)
Meyer, Thomas;  Simcorp Luxembourg SA
Gloukoviezoff, Georges;  European Investment Bank
Lucius, Hakan;  European Investment Bank
Bouvry, Pascal ;  University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Computer Science (DCS)
External co-authors :
yes
Language :
English
Title :
Learning private equity recommitment strategies for institutional investors
Publication date :
07 February 2023
Journal title :
Frontiers in Artificial Intelligence in Finance
eISSN :
2624-8212
Peer reviewed :
Peer reviewed
Focus Area :
Finance
Name of the research project :
STAREBEI
Funders :
EIB - European Investment Bank [LU]
Available on ORBilu :
since 11 March 2023

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