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

Abstract:

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...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Publisher's version

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Publisher copy:
10.1016/j.jedc.2018.10.006

Authors


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Institution:
University of Oxford
Division:
Social Sciences Division
Department:
SOGE
Subgroup:
Smith School
ORCID:
0000-0002-0684-4955
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Institution:
University of Oxford
Division:
Social Sciences Division
Department:
SOGE
Subgroup:
Smith School
Panchenko, V More by this author
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Institution:
University of Oxford
Division:
Social Sciences Division
Department:
Oxford Martin School
Partners for a New Economy More from this funder
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Grant:
Horizon 2020 research and innovation programme under grant agreement No. 730427 (COP21 RIPPLES)
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Grant:
European Union’s Seventh Framework Programme (FP7/2007-2013)/ ERC grant agreement No. 611272 (GROWTHCOM)
Publisher:
Elsevier Publisher's website
Journal:
Journal of Economic Dynamics and Control Journal website
Volume:
101
Pages:
211-238
Publication date:
2019-01-31
Acceptance date:
2018-10-07
DOI:
ISSN:
0165-1889
Pubs id:
pubs:896795
URN:
uri:a7138fb6-1dd9-4690-a99d-49bf94170e5f
UUID:
uuid:a7138fb6-1dd9-4690-a99d-49bf94170e5f
Local pid:
pubs:896795

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