A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment opportunities are constant, we find that the fund's portfolio depends only on the fu…
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48 results for “private investments”
I studied what role the US stock markets and money markets have possibly played in the Gross Private Domestic Investment (GPDI) of the United States from the year 1959 to the year 2001, Gross Private Domestic Investment refers to the total amount of investment spending by businesses and firms located within the borders…
This paper investigates the relationship between private and public investment in R&D, while taking into account the effect of several instruments policies such as subsidies and taxes. We design a new look of knowledge spillovers and R&D cooperation to explain the contribution of public and private R&D on growth. We pr…
We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the exploitation to a private consortium, or the firm supports the debt and the investment but outsources the exploitation. We prove the existence…
In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources. One important motivation for privatization is to help develop factor and produc…
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets. Each private actor aims to maximize its expected terminal logarithmic utility. The…
Study analyzes climate-tech investments across 14 sectors.
problem Accelerating climate-tech innovation in nascent value chains.
method Analysis of 4,172 firms and 12,929 investments over 15 years.
result Only 15% of firms develop end products, 59% support them, and 26% develop services.
Private equity deals predict public market returns with up to 70% accuracy.
problem Predicting public market behavior from private equity transactions.
method Logit model using detailed analysis of private equity diligence process.
result Model predicts public market returns with up to 70% accuracy in specific sectors.
Paper uses time series transformers to predict investment success.
problem Optimizing investment sourcing in VC and GC.
method Transformer-based Multivariate Time Series Classifier (TMTSC).
result TMTSC improves decision making in VC and GC investments.
Dynamic model considers private asset markets' complexities.
problem Understanding and optimizing private asset allocation.
method State-of-the-art dynamic model with machine learning.
result Optimal investment policies quantified over fund life.
When banks choose similar investment strategies the financial system becomes vulnerable to common shocks. We model a simple financial system in which banks decide about their investment strategy based on a private belief about the state of the world and a social belief formed from observing the actions of peers. Observ…
The Economist recently reported that infrastructure spending is the largest it is ever been as a share of world GDP. With $22 trillion in projected investments over the next ten years in emerging economies alone, the magazine calls it the "biggest investment boom in history." The efficiency of infrastructure planning a…
Model predicts exit of private companies using voting of three classifiers.
problem Predicting the exit of privately held companies from limited data.
method Combines three classifiers (Logistic Regression, Random Forest, SVM) on extracted data.
result Achieves 63% predictive accuracy for Private Equity investors.
Study evaluates early-stage cybersecurity firms' performance using Crunchbase data.
problem Assessing performance of early-stage cybersecurity startups.
method Empirical analysis of 19 cybersecurity sectors using Crunchbase data.
result Significant variations in capital raised and post-money valuations across cybersecurity sectors.
Big Data Information and Nowcasting: Consumption and Investment from Bank Transactions in Turkeyecon.EM
Nowcasts consumption and investment from Turkish bank transactions for real-time GDP.
problem Lack of timely data for GDP nowcasting in Turkey.
method Used aggregated bank transactions to replicate quarterly national accounts data.
result Bank transaction data successfully nowcasts Turkish GDP, especially useful for countries with long data lags.
The paper develops a model to predict IPO events in private equity investments.
problem Lack of publicly available quantitative information for predicting IPO events.
method Combines neural network and survival analysis for predicting IPO probability.
result The neuro-survival model accurately predicts IPO events across various sectors.
The investment economy is a main characteristic of prosperous society. The investment portfolio management is a main financial problem, which has to be solved by the investment, commercial and central banks with the application of modern portfolio theory in the investment economy. We use the learning analytics together…
Investment strategies in occupational pension plans are optimized for non-tradable income risk.
problem Optimizing investment strategies for occupational pension plans in the presence of non-tradable income risk.
method Formulated as a stochastic optimization problem, analyzed in both constant and stochastic volatility environments.
result Random contributions induce the optimal glide path structure, influenced by initial wealth, contributions, and risk aversion.
Study of public and private VC relationships in France using qualitative methods.
problem Understanding interactions between public and private venture capitalists in France.
method Qualitative approach with semi-structured interviews and thematic content analysis.
result Formal or informal relationships between public and private VCs are a 'economico-cognitive' approach to networking and innovation.
Paper develops models to forecast private equity fund cash flows.
problem Limited literature on illiquid alternative asset cash flow forecasting.
method Develops benchmark model and two novel approaches (direct vs. indirect) using LSTM/GRU models and macroeconomic indicators.
result Direct model performs better and aligns with actual cash flows, but indirect model's performance is less clear.
Valuing Post-Revenue Biopharmaceutical Assets with Pfizer's Current Portfolio as a Case Studyq-fin.PR
This study improves valuation of post-revenue biopharmaceutical assets using Pfizer's data.
problem Accurate valuation of post-revenue drug assets in biotech and pharma.
method Historical sales data analysis to forecast future sales and calculate Net Present Value.
result Demonstrates a method for more informed investment decisions in biotech and pharma.
Credit expansion led to stronger household leverage cycles during the U.S. business cycle.
problem Understanding the role of credit supply in the U.S. business cycle.
method Causal evidence from 1999-2010 U.S. business cycle data.
result Credit expansion, particularly in private-label mortgages, caused stronger household leverage cycles.
We propose a continuous-time stock-flow consistent model for inventory dynamics in an economy with firms, banks, and households. On the supply side, firms decide on production based on adaptive expectations for sales demand and a desired level of inventories. On the demand side, investment is determined as a function o…
Optimal life-cycle consumption and investment decisions under age-dependent risk preferencesq-fin.MF
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken i…
Examines climate financing for renewable energy projects using structured funds.
problem Valuation of structured climate financing on diverse renewable energy asset pools.
method Bottom-up Gaussian copula framework with LH++ model for diversification analysis.
result Shows how the mix of indirect and direct RE investments affects the sensitivity of the senior tranche.
Study examines how governance, corruption, and R&D affect economic development.
problem The impact of corruption and governance on economic development.
method General equilibrium model with heterogeneous agents and a government, including corruption as a fraction of tax revenues.
result Redistribution and innovation-led strategies can mitigate the negative effects of corruption on economic development.
This paper studies trade-offs in private prediction methods.
problem Leakage of training data information in machine learning predictions.
method Private training and private prediction methods with trade-offs.
result Private training methods outperform private prediction methods in various settings.
Private method measures nonlinear correlations between data hosted across two entities.
problem Measuring nonlinear correlations between sensitive data hosted across multiple parties while preserving privacy.
method Differentially private estimator of distance correlation.
result First private estimator of nonlinear correlations in a multi-party setup.
TechRankq-fin.CP
TechRank ranks companies and technologies based on investor preferences.
problem Estimating influence and ranking companies and technologies.
method Recursive algorithm based on a bi-partite graph with weighted nodes, incorporating investor preferences.
result Provides investors with a quantitative ranking of technologies for optimal portfolio design.
Michael Milken: The Junk Dealerq-fin.GN
Milken revolutionized finance with junk bonds, boosting private equity and tech growth.
problem Lack of financing options for risky but potentially profitable companies.
method Innovative use of junk bonds and leveraged buyouts (LBOs).
result Milken's financial strategies led to significant economic growth and the rise of tech companies.
New algorithms for privately learning decision lists and halfspaces.
problem Private learning of decision lists and halfspaces.
method Differentially private algorithms for PAC and online models.
result Private algorithms match or surpass non-private guarantees.
Private PGB boosts synthetic data quality using GANs and privacy techniques.
problem Differentially private GANs struggle with convergence and poor output quality.
method Combines reweighted samples from GAN training using Private Multiplicative Weights method.
result Improves synthetic data quality across various datasets and tasks.
Near-optimal private tests for simple and MLR hypotheses developed under Gaussian differential privacy.
problem Developing private tests for simple and MLR hypotheses under Gaussian differential privacy.
method A private mean estimator with data-driven clamping bounds, constructing private test statistics.
result Private tests achieve the same asymptotic relative efficiency as non-private most powerful tests.
PEARL uses AI to replicate private equity performance with liquid assets.
problem Lack of access to private equity due to high costs and complexity.
method Combines AI with liquid assets, incorporating asymmetry for better performance.
result Model outperforms liquid proxies and aligns with private equity benchmarks.
We present a provably optimal differentially private algorithm for the stochastic multi-arm bandit problem, as opposed to the private analogue of the UCB-algorithm [Mishra and Thakurta, 2015; Tossou and Dimitrakakis, 2016] which doesn't meet the recently discovered lower-bound of [Shar…
On the Benefits of Public Representations for Private Transfer Learning under Distribution Shiftcs.LG
Public pretraining improves private model training even in extreme distribution shift scenarios.
problem Improving private model training accuracy in settings with large distribution shift.
method Empirical evaluation and theoretical explanation of public representations improving private training accuracy.
result Public representations can improve private training accuracy by up to 67% over private training from scratch in settings with large distribution shift.
Private learning of Gaussian Mixture Models without boundedness assumptions.
problem Private estimation of parameters of Gaussian Mixture Models with unbounded components.
method Reduction to non-private problem, blackbox privatization, Moitra and Valiant's algorithm.
result First sample complexity upper bound and polynomial time algorithm for privately learning GMMs.
Compound examines decentralized lending users and their short loan durations.
problem Systemic risk in decentralized finance due to concentration and interconnection.
method Analysis of on-chain transaction data and smart contract programming.
result Many users borrow for yield farming, not for traditional lending.
Private estimation with public data reduces sample complexity.
problem Estimating private distributions with limited public data.
method Differentially private estimation with public data under constraints of pure or concentrated DP.
result Public data can significantly reduce private sample complexity for estimation.
Study analyzes GDP growth of CEE countries using time-varying coefficients.
problem Understanding GDP growth patterns of CEE countries post-integration.
method Panel regression with time-varying coefficients.
result Private debt plays a crucial role in economic growth.
The paper explores learning with a mix of private and public data while maintaining privacy.
problem Learning with a mix of private and public data while ensuring differential privacy.
method Designing a learning algorithm that satisfies differential privacy only with respect to private examples.
result A hypothesis class of VC-dimension d can be agnostically learned up to an excess error of α using only (roughly) d/α public examples and d/α^2 private labeled examples.
Topology and Behaviour of Agents: Capital Marketscond-mat.other
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual equates own needs with those of the other agents. Any two agents from the group may…
Develops Merton's model for private companies using DDM.
problem Lack of observable asset values for private companies.
method Uses dividend discount model (DDM) to develop structural model.
result Obtains closed-form formulas for equity and liability values, default probability.
Transform non-private e-values into differentially private ones.
problem Leaking sensitive data through non-private e-values.
method Developed a novel biased multiplicative noise mechanism.
result Differentially private e-values maintain strong statistical power and asymptotic equivalence to non-private ones.
Algorithm selects public datasets for private machine learning.
problem Choosing the most suitable public dataset for private machine learning.
method Measures gradient subspace distance between public and private datasets.
result Excess risk scales with the subspace distance between gradients.
Differentially private hyperparameter tuning improves privacy in machine learning.
problem Hyperparameter tuning leaks private information through selected configurations.
method Local Bayesian optimization using Gaussian Process surrogate for private gradient approximation.
result DP-GIBO converges to locally optimal hyperparameters with polynomial dimensional dependence.
Optimizes private statistics with noisy methods.
problem Private inference in statistical models.
method Noisy optimization for M-estimators and confidence regions.
result Private estimators converge to non-private ones with high probability.
Bounds on Littlestone dimension for private learning and online prediction.
problem Understanding the Littlestone dimension of composed classes for private learning.
method Deriving bounds on Littlestone dimension and transforming private learners.
result Improved bounds on sample complexity for private learning.