AUTHOR=Kieffer Emmanuel , Meyer Thomas , Gloukoviezoff Georges , Lucius Hakan , Bouvry Pascal 

TITLE=Learning private equity recommitment strategies for institutional investors

JOURNAL=Frontiers in Artificial Intelligence

VOLUME=6

YEAR=2023

URL=https://www.frontiersin.org/journals/artificial-intelligence/articles/10.3389/frai.2023.1014317

DOI=10.3389/frai.2023.1014317

ISSN=2624-8212

ABSTRACT=<p>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.</p>