2 citations · 2 across the 4 of their papers we have counts for
7 papers
Reinforcement Learning for Speculative Trading under Exploratory Framework
Yun Zhao, Alex S. L. Tse, Harry Zheng
We study a speculative trading problem within the exploratory reinforcement learning (RL) framework of Wang et al. [2020]. The problem is formulated as a sequential optimal stoppin…
Portfolio Optimization under Transaction Costs with Recursive Preferences
Martin Herdegen, David Hobson, Alex S. L. Tse
The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, whi…
The importance of dynamic risk constraints for limited liability operators
John Armstrong, Damiano Brigo, Alex S. L. Tse
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with…
Speculative Trading, Prospect Theory and Transaction Costs
Alex S. L. Tse, Harry Zheng
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-t…
Dividend Policy and Capital Structure of a Defaultable Firm
Alex S. L. Tse
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its divide…
A multi-asset investment and consumption problem with transaction costs
David Hobson, Alex S. L. Tse, Yeqi Zhu
In this article we study a multi-asset version of the Merton investment and consumption problem with proportional transaction costs. In general it is difficult to make analytical p…
Optimal consumption and investment under transaction costs
David Hobson, Alex S. L. Tse, Yeqi Zhu
In this article we consider the Merton problem in a market with a single risky asset and transaction costs. We give a complete solution of the problem up to the solution of a free-…