Anders Max Reppen

Assistant Professor, Questrom School of Business, Boston University.

Address

A. Max Reppen
Boston University Questrom School of Business
Rafik B. Hariri Building
595 Commonwealth Avenue
Boston, MA 02215

Email

amreppen@bu.edu

1. 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 ]
2. S. Geng, H. Nassif, C. A. Manzanares, A. M. Reppen, and R. Sircar. "Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions." ICML (2020). [ bib | arXiv ]
3. J. Backhoff Veraguas, A. M. Reppen, and L. Tangpi. "Stochastic control of optimized certainty equivalents." arXiv preprint arXiv:2001.10108 (2020). [ bib ]
4. Z. Li, A. M. Reppen, and R. Sircar. "A Mean Field Games Model for Cryptocurrency Mining." arXiv preprint arXiv:1912.01952 (2019). [ bib ]
5. J. Keppo, A. M. Reppen, and H. M. Soner. "Discrete dividend payments in continuous time." Mathematics of Operations Research (to appear) (2020). [ bib ]

1. 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 ]
2. 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 ]
3. 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 ]
4. 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 ]
5. 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.