Max Reppen
Assistant Professor, Finance
Education
PhD, ETH Zurich, 2018
BSc, Stockholm School of Economics, 2013
BSc, KTH Stockholm, 2013
MSc, KTH Stockholm, 2013
MSc, KTH Stockholm, 2013
BSc, KTH Stockholm, 2011
Selected Research Presentations
Reppen, A. Neural Optimal Stopping Boundary, INFORMS AN23, Phoenix, AZ, 2023
Reppen, A. Neural Optimal Stopping Boundary, ICIAM 2023, Tokyo, Japan, 2023
Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, Kyeong-Hee workshop on mathematical finance, Seoul, South Korea, 2023
Reppen, A. Neural Optimal Stopping Boundary, Seoul National University Mathematics Seminar, Seoul, South Korea, 2023
Reppen, A. Neural Optimal Stopping Boundary, AMaMeF 2023, Bielefeld, Germany, 2023
Reppen, A. A mean field games model for cryptocurrency mining, SIAM FM23, Philadelphia, PA, 2023
Reppen, A. Neural Optimal Stopping Boundary, SIAM FM23, Philadelphia, 2023
Reppen, A. Neural Optimal Stopping Boundary, One World Optimal Stopping, 2023
Reppen, A. Neural Optimal Stopping Boundary, CMSA Colloquium, Harvard, 2023
Reppen, A. Segmented trading markets: competition, fees, and tax policies, INFORMS Annual Meeting, 2022
Reppen, A. Neural Optimal Stopping Boundary, Machine Learning for Optimal Control, Imperial College London, 2022
Reppen, A. Neural Optimal Stopping Boundary, SIAM Annual Meeting, 2022
Reppen, A. The Cash-Cap Model: A Two-State Model of Firm Dynamics, FMARC, 2022
Reppen, A. Discrete Dividend Payments in Continuous Time, University of Southern California, 2022
Publications
Reppen, A., Soner, H., Tissot-Daguette, V. (In Press). “Deep Stochastic Optimization in Finance”, Digital Finance 1-21
Kakhbod, A., Reppen, A., Umar, T., Xing, H. (In Press). “Does the level of cash always increase with firm size? Theory and evidence from small firms”, Review of Finance
Reppen, A., Soner, H., Tissot-Daguette, V. (2024). “Neural Optimal Stopping Boundary”, Mathematical Finance
Li, Z., Reppen, A., Sircar, R. (2024). “A Mean Field Games Model for Cryptocurrency Mining”, Management Science, 70 2188-2208
Geng, S., Nassif, H., Kuang, Z., Reppen, A., Sircar, R. (2023). “Factor Learning Portfolio Optimization Informed by Continuous-Time Finance Models”, ICML Workshop on New Frontiers in Learning, Control, and Dynamical Systems
Reppen, A., Soner, H. (2023). “Deep empirical risk minimization in finance: Looking into the future”, Mathematical Finance, 33 (1), 116-145
Backhoff Veraguas, J., Reppen, A., Tangpi, L. (2022). “Stochastic control of optimized certainty equivalents”, SIAM Journal on Financial Mathematics, 13 745-772
Keppo, J., Reppen, A., Soner, H. (2021). “Discrete dividend payments in continuous time”, Mathematics of Operations Research, 46 (3), 895-911
Geng, S., Nassif, H., Manzanares, C., Reppen, A., Sircar, R. (2020). “Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions”, International Conference on Machine Learning (119), 3431-3441
Burzoni, M., Ignazio, V., Reppen, A., Soner, H. (2020). “Viscosity solutions for controlled McKean–Vlasov jump-diffusions”, SIAM Journal on Control and Optimization, 58 1678-1699
Reppen, A., Rochet, J., Soner, H. (2020). “Optimal dividend policies with random profitability”, Mathematical Finance, 30 228-259
Burzoni, M., Ignazio, V., Reppen, A., Soner, H. (2020). “Viscosity solutions for controlled McKean–Vlasov jump-diffusions”, SIAM Journal on Control and Optimization, 58 1678-1699
Wheatley, S., Sornette, D., Huber, T., Reppen, M., Gantner, R. (2019). “Are Bitcoin bubbles predictable? Combining a generalized Metcalfe’s Law and the Log-Periodic Power Law Singularity model”, Royal Society Open Science, 6
Muhle-Karbe, J., Reppen, M., Soner, H. (2017). “A primer on portfolio choice with small transaction costs”, Annual Review of Financial Economics, 9
Altarovici, A., Reppen, M., Soner, H. (2017). “Optimal Consumption and Investment with Fixed and Proportional Transaction Costs”, SIAM Journal on Control and Optimization, 55 1673-1710