Alex S. L. Tse

Imperial College London

South Kensington Campus

Imperial College London

London, London SW7 2AZ

United Kingdom

http://www.imperial.ac.uk/people/a.tse

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 47,161

SSRN RANKINGS

Top 47,161

in Total Papers Downloads

905

SSRN CITATIONS

3

CROSSREF CITATIONS

5

Scholarly Papers (6)

1.

Randomized Strategies and Prospect Theory in a Dynamic Context

Number of pages: 29 Posted: 29 Nov 2014 Last Revised: 06 Jan 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and Imperial College London
Downloads 324 (96,240)
Citation 3

Abstract:

Loading...

Behavioral economics, prospect theory, probability weighting, randomized strategies

2.

Probability Weighting, Stop-Loss and the Disposition Effect

Number of pages: 58 Posted: 16 Aug 2016 Last Revised: 06 Mar 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and Imperial College London
Downloads 259 (122,409)
Citation 3

Abstract:

Loading...

Prospect theory, behavioral finance, disposition effect, investor trading behavior, probability weighting.

Liquidation, Bailout, and Bail-in: Insolvency Resolution Mechanisms and Bank Lending

Number of pages: 53 Posted: 22 Feb 2018 Last Revised: 21 Nov 2019
Bart M. Lambrecht and Alex S. L. Tse
University of Cambridge - Judge Business School and Imperial College London
Downloads 212 (148,864)

Abstract:

Loading...

Liquidation, bailout, bail-in, asset sale, agency

Liquidation, Bailout, and Bail-In: Insolvency Resolution Mechanisms and Bank Lending

CEPR Discussion Paper No. DP13734
Number of pages: 64 Posted: 22 May 2019
Bart M. Lambrecht and Alex S. L. Tse
University of Cambridge - Judge Business School and Imperial College London
Downloads 0
  • Add to Cart

Abstract:

Loading...

agency, asset sale, bail-in, bailout, Liquidation

4.

Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets

Asia-Pacific Financial Markets, Vol. 16, pp. 183-210, 2009
Number of pages: 40 Posted: 30 Jun 2009 Last Revised: 29 Jan 2010
Mike K. P. So and Alex S. L. Tse
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Imperial College London
Downloads 79 (318,540)

Abstract:

Loading...

Dynamic correlation, Extreme dependence, Multivariate GARCH Model, Risk management, Tail dependence coefficient

5.

Speculative Trading, Prospect Theory and Transaction Costs

Number of pages: 25 Posted: 10 Dec 2019
Alex S. L. Tse and Harry Zheng
Imperial College London and Imperial College London - Mathematical Finance
Downloads 30 (484,325)

Abstract:

Loading...

S-shaped utility, optimal stopping, transaction costs, entry-and-exit strategies

6.

Optimal Consumption and Investment Under Transaction Costs

Mathematical Finance, Vol. 29, Issue 2, pp. 483-506, 2019
Number of pages: 24 Posted: 13 Mar 2019
David Hobson, Alex S. L. Tse and Yeqi Zhu
University of Warwick, Imperial College London and Credit Suisse U.K. Limited
Downloads 1 (674,193)
  • Add to Cart

Abstract:

Loading...

Merton problem, proportional transaction costs, no transaction region, well‐posedness, leverage