英文标题：
《Wright meets Markowitz: How standard portfolio theory changes when
  assets are technologies following experience curves》
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作者：
Rupert Way, Fran\\c{c}ois Lafond, Fabrizio Lillo, Valentyn Panchenko
  and J. Doyne Farmer
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最新提交年份：
2018
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英文摘要：
  We consider how to optimally allocate investments in a portfolio of competing technologies using the standard mean-variance framework of portfolio theory. We assume that technologies follow the empirically observed relationship known as Wright\'s law, also called a \"learning curve\" or \"experience curve\", which postulates that costs drop as cumulative production increases. This introduces a positive feedback between cost and investment that complicates the portfolio problem, leading to multiple local optima, and causing a trade-off between concentrating investments in one project to spur rapid progress vs. diversifying over many projects to hedge against failure. We study the two-technology case and characterize the optimal diversification in terms of progress rates, variability, initial costs, initial experience, risk aversion, discount rate and total demand. The efficient frontier framework is used to visualize technology portfolios and show how feedback results in nonlinear distortions of the feasible set. For the two-period case, in which learning and uncertainty interact with discounting, we compare different scenarios and find that the discount rate plays a critical role.
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中文摘要：
我们考虑如何使用投资组合理论的标准均值-方差框架，在竞争技术的投资组合中优化配置投资。我们假设技术遵循经验观察到的关系，即莱特定律，也称为“学习曲线”或“经验曲线”，该曲线假设成本随着累计产量的增加而下降。这在成本和投资之间引入了正反馈，使投资组合问题复杂化，导致多重局部最优，并导致在集中投资于一个项目以刺激快速进展与分散投资于多个项目以对冲失败之间进行权衡。我们研究了这两种技术的情况，并从进度率、可变性、初始成本、初始经验、风险规避、贴现率和总需求等方面描述了最优多元化。有效前沿框架用于可视化技术组合，并显示反馈如何导致可行集的非线性失真。对于学习和不确定性与贴现相互作用的两阶段情况，我们比较了不同的场景，发现贴现率起着关键作用。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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