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ORCIDA. Max Reppen
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- affiliation: Boston University, Questrom School of Business, MA, USA
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2020 – today
- 2025
[j6]Sinong Geng, Houssam Nassif, Zhaobin Kuang, Anders Max Reppen, Ronnie Sircar:
Factor Learning Portfolio Optimization Informed by Continuous-Time Finance Models. Trans. Mach. Learn. Res. 2025 (2025)- 2024
- [j5]Zongxi Li, A. Max Reppen
, Ronnie Sircar:
A Mean Field Games Model for Cryptocurrency Mining. Manag. Sci. 70(4): 2188-2208 (2024) - 2022
- [j4]Julio D. Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi:
Stochastic Control of Optimized Certainty Equivalents. SIAM J. Financial Math. 13(3): 745-772 (2022) - 2021
- [j3]Jussi Keppo, A. Max Reppen, H. Mete Soner:
Discrete Dividend Payments in Continuous Time. Math. Oper. Res. 46(3): 895-911 (2021) - 2020
- [j2]Matteo Burzoni, Vincenzo Ignazio, A. Max Reppen, H. Mete Soner:
Viscosity Solutions for Controlled McKean-Vlasov Jump-Diffusions. SIAM J. Control. Optim. 58(3): 1676-1699 (2020) - [c1]Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar:
Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions. ICML 2020: 3431-3441 - [i2]Sinong Geng, Houssam Nassif, Carlos A. Manzanares, A. Max Reppen, Ronnie Sircar:
Identifying Reward Functions using Anchor Actions. CoRR abs/2007.07443 (2020) - [i1]A. Max Reppen, H. Mete Soner:
Bias-Variance Trade-off and Overlearning in Dynamic Decision Problems. CoRR abs/2011.09349 (2020)
2010 – 2019
- 2017
- [j1]Albert Altarovici, A. Max Reppen, H. Mete Soner:
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs. SIAM J. Control. Optim. 55(3): 1673-1710 (2017)
Coauthor Index
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