Strategic Asset Allocation with Illiquid Alternatives

@article{Luxenberg2022StrategicAA,
  title={Strategic Asset Allocation with Illiquid Alternatives},
  author={Eric Luxenberg and Stephen P. Boyd and Mykel J. Kochenderfer and Misha van Beek and Wen Cao and Steven Diamond and Alex Ulitsky and Kunal Menda and Vidy Vairavamurthy},
  journal={Proceedings of the Third ACM International Conference on AI in Finance},
  year={2022}
}
We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiquid asset classes is that we do not have direct control over our positions, as we do in liquid asset classes. Instead we can only make commitments; the position builds up over time as capital calls come in, and reduces over time as distributions occur, neither of which the investor has direct control over. The effect… 

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