Current appointment
Assistant Professor, Questrom School of Business, Boston University.
Junior Faculty Fellow, Rafik B. Hariri Institute for Computing and Computational Science & Engineering
Contact details
- Address
-
A. Max Reppen
Boston University Questrom School of Business
Rafik B. Hariri Building
595 Commonwealth Avenue
Boston, MA 02215
- amreppen@bu.edu
Preprints
Before the Storm: Firm Policies and Varying Recession Risk
Available at SSRN (2023), by , , , and . [ bib ]Neural Optimal Stopping Boundary
arXiv preprint (2023): arXiv:2205.04595, by , , and . [ bib ]Segmented Trading Markets
Available at SSRN (2023), by , , , and . [ bib ]Why is Cash U-Shaped in Firm Size?
Available at SSRN (2023), by , , , and . [ bib ]
Publications
Renewable Energy Investment under Stochastic Interest Rate with Regime-Switching Volatility
Energy Economics (accepted), by , , and . [ bib ]Factor Learning Portfolio Optimization Informed by Continuous-Time Finance Models
ICML Workshop on New Frontiers in Learning, Control, and Dynamical Systems., 2023, by , , , and . [ bib ]A Mean Field Games Model for Cryptocurrency Mining
Management Science (to appear) (2023), by , , and . [ bib | arXiv ]Deep empirical risk minimization in finance: Looking into the future
Mathematical Finance 33, no. 1 (2023): 116–145, by and . [ bib | arXiv ]Deep Stochastic Optimization in Finance
Digital Finance (2022): 1–21, by , , and . [ bib | arXiv ]Stochastic control of optimized certainty equivalents
SIAM Journal on Financial Mathematics 13, no. 3 (2022): 745–772, by , , and . [ bib | arXiv ]Discrete Dividend Payments in Continuous Time
Mathematics of Operations Research 46, no. 3 (2021): 895–911, by , , and . [ bib | arXiv ]Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions
International Conference on Machine Learning. PMLR 119: 3431–3441, 2020, by , , , , and . [ bib | arXiv ]Viscosity solutions for controlled McKean–Vlasov jump-diffusions
SIAM Journal on Control and Optimization 58, no. 3 (2020): 1678–1699, by , , , and . [ bib | arXiv ]Optimal dividend policies with random profitability
Mathematical Finance 30, no. 1 (2020): 228–259, by , , and . [ bib | arXiv ]Are Bitcoin bubbles predictable? Combining a generalized Metcalfe's Law and the Log-Periodic Power Law Singularity model
Royal Society Open Science 6 (2019), by , , , , and . [ bib | arXiv ]A primer on portfolio choice with small transaction costs
Annual Review of Financial Economics 9, no. 1 (2017), by , , and . [ bib | arXiv ]Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
SIAM Journal on Control and Optimization 55, no. 3 (2017): 1673–1710, by , , and . [ bib | arXiv ]
Featured in
- Amazon Research
- The science behind Amazon Prime
- MIT Technology Review
- How network theory predicts the value of Bitcoin
- CNBC
- Bitcoin’s market value should fall by more than a third before year-end, Swiss researchers say
Previously
- 2018–2020, Princeton University, ORFE
-
Department of Operations Research and Financial Engineering (ORFE).
Postdoctoral Research Fellow, supported by Swiss National Science Foundation grant SNF 181815.
Postdoctoral Research Associate. - 2014–2018, ETH Zurich, D-MATH
- Ph.D. (Dr.Sc.) in mathematics from ETH Zurich.
- 2011–2013, KTH, Royal Institute of Technology
- M.Sc. in mathematics from KTH, Royal Institute of Technology, Stockholm.
- 2009–2013, Stockholm School of Economics
- B.Sc. in business and economics from Stockholm School of Economics.
- 2008–2011, KTH, Royal Institute of Technology
- B.Sc. in engineering physics from KTH, Royal Institute of Technology, Stockholm.