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Dr Alex Sing-lam Tse

Dr Alex Sing-lam Tse

Lecturer in Finance and Accounting

Not Known


I joined the University of Exeter Business School as a lecturer in 2020. Prior to this appointment, I was a Chapman Fellow in Mathematics at Imperial College London. I also held a postdoctoral position at the Cambridge Endowment for Research in Finance, University of Cambridge.

I work at the interface among finance, economics and mathematics. My current research interests include portfolio selection, behavioural finance, market frictions projects you have been involved in previously, positions held (at the University, on publications, committees), awards / grants received, PhD supervision, any other key points about your work / experience / achievements you would like to include. and mathematical finance. My research is regularly published in internationally renowned journals such as Journal of Economic Theory, Mathematical Finance and Finance & Stochastics.

From 2010 to 2013, I was an equity derivatives trader at the Australia and New Zealand Banking Group Limited responsible for flow trading of structured products on Asian underlyings.

Nationality: British National (Overseas)

Administrative responsibilities: Academic misconduct officer

Qualifications

  • PhD (Warwick)
  • MSc (Warwick)
  • BSc (HKUST)

Links

Research interests

  • Portfolio selection
  • Behavioural finance
  • Mathematical finance

Key publications | Publications by category | Publications by year

Publications by category


Journal articles

Tse ASL (2020). Dividend policy and capital structure of a defaultable firm. Mathematical Finance, 30(3), 961-994. Abstract. DOI.
Hobson D, Tse ASL, Zhu Y (2019). A multi-asset investment and consumption problem with transaction costs. Finance and Stochastics, 23(3), 641-676. Abstract. DOI.
Hobson D, Tse ASL, Zhu Y (2019). Optimal consumption and investment under transaction costs. Mathematical Finance, 29(2), 483-506. Abstract. DOI.
Henderson V, Hobson D, Tse ASL (2018). Probability weighting, stop-loss and the disposition effect. Journal of Economic Theory, 178, 360-397. Abstract. DOI.
Henderson V, Hobson D, Tse ASL (2017). Randomized strategies and prospect theory in a dynamic context. Journal of Economic Theory, 168, 287-300. Abstract. DOI.

Publications by year


2020

Tse ASL (2020). Dividend policy and capital structure of a defaultable firm. Mathematical Finance, 30(3), 961-994. Abstract. DOI.

2019

Hobson D, Tse ASL, Zhu Y (2019). A multi-asset investment and consumption problem with transaction costs. Finance and Stochastics, 23(3), 641-676. Abstract. DOI.
Hobson D, Tse ASL, Zhu Y (2019). Optimal consumption and investment under transaction costs. Mathematical Finance, 29(2), 483-506. Abstract. DOI.

2018

Henderson V, Hobson D, Tse ASL (2018). Probability weighting, stop-loss and the disposition effect. Journal of Economic Theory, 178, 360-397. Abstract. DOI.

2017

Henderson V, Hobson D, Tse ASL (2017). Randomized strategies and prospect theory in a dynamic context. Journal of Economic Theory, 168, 287-300. Abstract. DOI.

My teaching expertise lies in the more technical areas of finance at postgraduate level. Modules that I have taught previously include financial economics, derivatives pricing and numerical methods for finance.

In addition, I have also supervised students’ projects/dissertations in the following topics: behavioural finance, volatility trading, deep learning for derivatives pricing, reinforcement learning for portfolio optimisation, etc.

Modules

2020/21