Twelve trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand. We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors' portfolios and welfare, and we quantify those effects. Investors are underallocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and limited tradability. Perhaps counterintuitively, commitment risk premiums increase with secondary market liquidity, and they do not disappear when investments are spread over many funds.

中文翻译：

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 资本承诺


12万亿美元分配给私募市场基金，要求外部投资者承诺按需转移资本。我们在一个新颖的动态投资组合配置模型中表明，事前承诺对投资者的投资组合和福利有很大影响，并且我们量化了这些影响。投资者对私募市场基金的配置不足，并且愿意支付更大的溢价来调整承诺的数量，而不是消除其他摩擦，例如时间不确定性和有限的可交易性。也许与直觉相反，承诺风险溢价随着二级市场流动性的增加而增加，并且当投资分散在许多基金中时，承诺风险溢价并不会消失。