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 UShaped in Firm Size?
Available at SSRN (2023), by , , , and . [ bib ]
Publications
Renewable Energy Investment under Stochastic Interest Rate with RegimeSwitching Volatility
Energy Economics (accepted), by , , and . [ bib ]Factor Learning Portfolio Optimization Informed by ContinuousTime 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 jumpdiffusions
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 LogPeriodic 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 ]
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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, DMATH
 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.