Assistant Professor, Questrom School of Business, Boston University.
A. Max Reppen
Boston University Questrom School of Business
Rafik B. Hariri Building
595 Commonwealth Avenue
Boston, MA 02215
- A. M. Reppen and H. M. Soner. "Bias-Variance Trade-off and Overlearning in Dynamic Decision Problems." arXiv preprint arXiv:2011.09349 (2020). [ bib | arXiv ]
- J. Backhoff Veraguas, A. M. Reppen, and L. Tangpi. "Stochastic control of optimized certainty equivalents." arXiv preprint arXiv:2001.10108 (2020). [ bib ]
- Z. Li, A. M. Reppen, and R. Sircar. "A Mean Field Games Model for Cryptocurrency Mining." arXiv preprint arXiv:1912.01952 (2019). [ bib ]
- J. Keppo, A. M. Reppen, and H. M. Soner. "Discrete dividend payments in continuous time." Mathematics of Operations Research (to appear) (2020). [ bib ]
- S. Geng, H. Nassif, C. Manzanares, M. Reppen, and R. Sircar. "Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions." International Conference on Machine Learning. PMLR 119: 3431–3441, 2020. [ bib | arXiv ]
- M. Burzoni, V. Ignazio, A. M. Reppen, and H. M. Soner. "Viscosity solutions for controlled McKean–Vlasov jump-diffusions." SIAM Journal on Control and Optimization 58, no. 3 (2020): 1678–1699. [ bib | arXiv ]
- A. M. Reppen, J.-C. Rochet, and H. M. Soner. "Optimal dividend policies with random profitability." Mathematical Finance 30, no. 1 (2020): 228–259. [ bib | arXiv ]
- S. Wheatley, D. Sornette, T. Huber, M. Reppen, and R. N. Gantner. "Are Bitcoin bubbles predictable? Combining a generalized Metcalfe's Law and the Log-Periodic Power Law Singularity model." Royal Society Open Science 6 (2019). [ bib | arXiv ]
- J. Muhle-Karbe, M. Reppen, and H. M. Soner. "A primer on portfolio choice with small transaction costs." Annual Review of Financial Economics 9, no. 1 (2017). [ bib | arXiv ]
- A. Altarovici, M. Reppen, and H. M. Soner. "Optimal Consumption and Investment with Fixed and Proportional Transaction Costs." SIAM Journal on Control and Optimization 55, no. 3 (2017): 1673–1710. [ bib | arXiv ]
- 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.