9 citations · 14 across the 4 of their papers we have counts for
9 papers
Finite-Horizon Reversible Investment under Multi-Factor Dynamics
Junkee Jeon, Takwon Kim, Jinwan Park +1
We study a finite-horizon reversible investment problem in which a risk-neutral firm adjusts capacity at a proportional purchase cost and a lower salvage value under multi-factor g…
Deep Empirical Risk Minimization in finance: looking into the future
A. Max Reppen, H. Mete Soner
Many modern computational approaches to classical problems in quantitative finance are formulated as empirical loss minimization (ERM), allowing direct applications of classical re…
Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions
Sinong Geng, Houssam Nassif, Carlos A. Manzanares +2
We propose a reward function estimation framework for inverse reinforcement learning with deep energy-based policies. We name our method PQR, as it sequentially estimates the Polic…
Stochastic control of optimized certainty equivalents
Julio Backhoff Veraguas, A. Max Reppen, Ludovic Tangpi
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it enc…
A Mean Field Games Model for Cryptocurrency Mining
Zongxi Li, A. Max Reppen, Ronnie Sircar
We propose a mean field game model to study the question of how centralization of reward and computational power occur in Bitcoin-like cryptocurrencies. Miners compete against each…
Viscosity solutions for controlled McKean--Vlasov jump-diffusions
Matteo Burzoni, Vincenzo Ignazio, A. Max Reppen +1
We study a class of non linear integro-differential equations on the Wasserstein space related to the optimal control of McKean--Vlasov jump-diffusions. We develop an intrinsic not…
Discrete dividend payments in continuous time
Jussi Keppo, Max Reppen, H. Mete Soner
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment…
Optimal dividend policies with random profitability
Max Reppen, Jean-Charles Rochet, H. Mete Soner
We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade-off between potential bankruptcy and extraction of profits. In contrast to previous works, ge…
Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
Albert Altarovici, Max Reppen, H. Mete Soner
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general…