Wright meets Markowitz: how standard portfolio theory changes when assets are technologies following experience curves

DOI10.1016/J.JEDC.2018.10.006zbMath1411.91346arXiv1705.03423OpenAlexW3123768660WikidataQ128485272 ScholiaQ128485272MaRDI QIDQ1734586

François Lafond, J. Doyne Farmer, Rupert Way, Fabrizio Lillo, Valentyn Panchenko

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.03423

zbMATH Keywords

learning-by-doingportfolio theorytechnological changeMarkowitz portfoliotechnology investmentexperience curves

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Portfolio theory (91G10)

Related Items (1)

Portfolio selection with exploration of new investment assets

Cites Work

• Optimal investment in learning-curve technologies
• Dynamic trading policies with price impact
• Multi-period stochastic portfolio optimization: block-separable decomposition
• Information Acquisition and Under-Diversification
• The Learning Curve, Market Dominance, and Predatory Pricing
• A Bayesian Approach to Managing Learning-Curve Uncertainty
• The Stochastic Learning Curve: Optimal Production in the Presence of Learning-Curve Uncertainty

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