3 citations · 10 across the 28 of their papers we have counts for
29 papers
Stochastic Maximum Principle for Optimal Liquidation with Control-dependent Terminal Time
Riccardo Cesari, Harry Zheng
In this paper we study a general optimal liquidation problem with a control-dependent stopping time which is the first time the stock holding becomes zero or a fixed terminal time,…
Duality for optimal consumption with randomly terminating income
Ashley Davey, Michael Monoyios, Harry Zheng
We establish a rigorous duality theory, under No Unbounded Profit with Bounded Risk, for an infinite horizon problem of optimal consumption in the presence of an income stream that…
Optimal Liquidation in a Mean-reverting Portfolio
Riccardo Cesari, Harry Zheng
In this work we study a finite horizon optimal liquidation problem with multiplicative price impact in algorithmic trading, using market orders. We analyze the case when an agent i…
Deep Learning for Constrained Utility Maximisation
Ashley Davey, Harry Zheng
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovia…
Optimal Investment, Heterogeneous Consumption and Best Time for Retirement
Hyun Jin Jang, Zuo Quan Xu, Harry Zheng
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The util…
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…