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

Article, Preprint OPEN
Way, Rupert; Lafond, François; Lillo, Fabrizio; Panchenko, Valentyn; Farmer, J. Doyne;
  • Journal: Journal of Economic Dynamics and Control, volume 101 (issn: 0165-1889)
  • Publisher copyright policies & self-archiving
  • Identifiers: doi: 10.1016/j.jedc.2018.10.006
  • Subject: Technology investment | Applied Mathematics | Learning-by-doing | Experience curves | Portfolio theory | Economics - General Economics | Technological change | Control and Optimization | Economics and Econometrics | Markowitz portfolio

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 "lear... View more