Hanqing Jin

Mathematical Institute

Lecturer

Andrew Wiles Building

Radicliff Observatory Quarter, Woodstock Road

Oxford, oxfordshire OX2 6GG

United Kingdom

http://www.maths.ox.ac.uk

Oxford-Man Institute of Quantitative Finance

Member

Eagle House

Walton Well Raod

Oxford, Oxfordshire OX2 6ED

United Kingdom

St. Peter's College

Fellow

New Inn Hall Street

Oxford, Oxfordshire OX1 2DL

United Kingdom

http://www.spc.ox.ac.uk

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 36,531

SSRN RANKINGS

Top 36,531

in Total Papers Downloads

889

CITATIONS
Rank 13,196

SSRN RANKINGS

Top 13,196

in Total Papers Citations

29

Scholarly Papers (6)

1.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
Min Dai, Hanqing Jin, Yifei Zhong and Xun Yu Zhou
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 332 (59,578)
Citation 3

Abstract:

Black -- Scholes market, optimal stopping, stock goodness index, value function, free-boundary PDE (variational inequality)

2.

Greed, Leverage, and Potential Losses: A Prospect Theory Perspective

Mathematical Finance
Number of pages: 25 Posted: 21 Nov 2009 Last Revised: 05 Jan 2011
Hanqing Jin and Xun Yu Zhou
Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 155 (145,481)
Citation 3

Abstract:

Cumulative prospect theory, greed, leverage, gains and losses, reference point, portfolio choice

3.

Behavioral Portfolio Selection with Loss Control

Number of pages: 24 Posted: 12 Feb 2010 Last Revised: 17 Sep 2010
Hanqing Jin, Song Zhang and Xun Yu Zhou
Mathematical Institute, Peking University - School of Mathematical Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 120 (176,770)
Citation 3

Abstract:

Cumulative prospect theory, portfolio choice, gains and losses, constraint, Choquet integral, quantile function

4.

Illiquidity, Position Limits, and Optimal Investment

Number of pages: 45 Posted: 17 Mar 2009
Min Dai, Hanqing Jin and Hong Liu
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute and Washington University in St. Louis - Olin Business School
Downloads 106 (196,815)
Citation 1

Abstract:

Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

Erratum to 'Behavioral Portfolio Selection in Continuous Time'

Number of pages: 6 Posted: 19 Oct 2009 Last Revised: 09 Mar 2010
Hanqing Jin and Xun Yu Zhou
Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 54 (306,083)
Citation 19

Abstract:

portfolio selection, continuous time, cumulative prospect theory, behavioral criterion, S-shaped function, probability distortion

Erratum to 'Behavioral Portfolio Selection in Continuous Time'

Mathematical Finance, Vol. 20, Issue 3, pp. 521-525, July 2010
Number of pages: 5 Posted: 08 Jun 2010
Hanqing Jin and Xun Yu Zhou
Mathematical Institute and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 2 (540,023)
Citation 19

Abstract:

6.

Time-Inconsistent Stochastic Linear–Quadratic Control: Characterization and Uniqueness of Equilibrium

Number of pages: 27 Posted: 05 Apr 2015 Last Revised: 05 May 2015
Ying Hu, Hanqing Jin and Xun Yu Zhou
Université de Rennes I, Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 32 (312,497)

Abstract:

time-inconsistency, stochastic linear-quadratic control, uniqueness of equilibrium control, forward-backward stochastic differential equation, mean-variance portfolio selection