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pro vyhledávání: '"Tse, Alex S. L."'
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, which is highly relevant from a financial perspective but also challengin
Externí odkaz:
http://arxiv.org/abs/2402.08387
Autor:
Lambrecht, Bart M.1 (AUTHOR) b.lambrecht@jbs.cam.ac.uk, Tse, Alex S. L.2 (AUTHOR) alex.tse@ucl.ac.uk
Publikováno v:
Journal of Financial & Quantitative Analysis. Feb2023, Vol. 58 Issue 1, p175-216. 42p.
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 S-shaped utility function in the context of portfolio optimisation. Ho
Externí odkaz:
http://arxiv.org/abs/2011.03314
Autor:
Tse, Alex S. L., Zheng, Harry
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-trip profit net of transaction costs. The optimization problem is formu
Externí odkaz:
http://arxiv.org/abs/1911.10106
Akademický článek
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Autor:
Tse, Alex S. L.
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 dividend policy and capital structure to maximize the expected lifetime util
Externí odkaz:
http://arxiv.org/abs/1810.03501
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 progress towards a solution in such problems, but we specialise to a ca
Externí odkaz:
http://arxiv.org/abs/1612.01327
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-boundary problem for a first-order differential equation, and find tha
Externí odkaz:
http://arxiv.org/abs/1612.00720
Publikováno v:
Annals of Operations Research; May2024, Vol. 336 Issue 1/2, p861-898, 38p
Akademický článek
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