Giovanni Gambarotta | Searcharxiv

arXiv2025

A Dynamic Model of Private Asset Allocation

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.

q-fin.PM↗

arXiv2010

A path integral for classical dynamics, entanglement, and Jaynes-Cummings model at the quantum-classical divide

The Liouville equation differs from the von Neumann equation 'only' by a characteristic superoperator. We demonstrate this for Hamiltonian dynamics, in general, and for the Jaynes-Cummings model, in particular. -- Employing superspace (instead of Hilbert space), we describe time evolution of density matrices in terms of path integrals which are formally identical for quantum and classical mechanics. They only differ by the interaction contributing to the action. This allows to import tools developed for Feynman path integrals, in order to deal with superoperators instead of quantum mechanical commutators in real time evolution. Perturbation theory is derived. Besides applications in classical statistical physics, the "classical path integral" and the parallel study of classical and quantum evolution indicate new aspects of (dynamically assisted) entanglement (generation). Our findings suggest to distinguish 'intra'- from 'inter-space' entanglement.

quant-ph↗