标题： 一个动态的私人资产配置模型 显示英文标题

标题： A Dynamic Model of Private Asset Allocation

摘要： 我们构建了一个最先进的动态资产配置模型，该模型考虑了私人资产市场的五个关键特征：（1）私人资产的非流动性，（2）资本承诺、资本调用与最终分配之间的时滞，（3）随时间变化的商业周期条件，（4）观察到的私人资产回报率的序列相关性，以及（5）对某些机构投资者投资组合选择的监管限制。 我们使用前沿的机器学习方法来量化基金生命周期内的最优投资策略。 此外，我们的模型为监管者提供了一种工具，以精确量化设定基于风险的资本附加费时的权衡关系。 显示英文摘要

摘要： 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.