Hanqing Jin

Oxford-Nie Financial Big Data Laboratory

Member

Andrew Wiles Building

Woodstock Road

Oxford, Oxfordshire OX2 6GG

United Kingdom

Mathematical Institute

Lecturer

Andrew Wiles Building

Radicliff Observatory Quarter, Woodstock Road

Oxford, oxfordshire OX2 6GG

United Kingdom

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

St. Peter's College

Fellow

New Inn Hall Street

Oxford, Oxfordshire OX1 2DL

United Kingdom

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

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 37,894

in Total Papers Downloads

1,853

SSRN CITATIONS
Rank 12,281

SSRN RANKINGS

Top 12,281

in Total Papers Citations

42

CROSSREF CITATIONS

55

Scholarly Papers (11)

1.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
Min Dai, Hanqing Jin, Hanqing Jin, Yifei Zhong and Xun Yu Zhou
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 495 (82,352)
Citation 3

Abstract:

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

2.

A Dynamic Mean-Variance Analysis for Log Returns

Number of pages: 54 Posted: 19 Aug 2019 Last Revised: 09 Sep 2019
Min Dai, Hanqing Jin, Hanqing Jin, Steven Kou and Yuhong Xu
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Boston University and Soochow university
Downloads 442 (94,161)
Citation 10

Abstract:

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portfolio choices, stochastic volatility, time-varying mean returns, risk aversion recovery

3.

Robo-Advising: A Dynamic Mean-Variance Approach

Number of pages: 21 Posted: 04 Jan 2021 Last Revised: 07 Feb 2021
Min Dai, Hanqing Jin, Hanqing Jin, Steven Kou and Yuhong Xu
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Boston University and Soochow university
Downloads 218 (198,215)
Citation 1

Abstract:

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robo-advising, mean-variance, asset allocation

4.

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, Hanqing Jin and Xun Yu Zhou
Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 181 (234,199)
Citation 1

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

5.

Behavioral Portfolio Selection with Loss Control

Number of pages: 24 Posted: 12 Feb 2010 Last Revised: 17 Sep 2010
Hanqing Jin, Hanqing Jin, Song Zhang and Xun Yu Zhou
Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Peking University - School of Mathematical Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 149 (275,332)
Citation 5

Abstract:

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

6.

Illiquidity, Position Limits, and Optimal Investment

Number of pages: 45 Posted: 17 Mar 2009
Min Dai, Hanqing Jin, Hanqing Jin and Hong Liu
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Washington University in St. Louis - Olin Business School
Downloads 124 (317,078)

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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, Hanqing Jin and Xun Yu Zhou
Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 79 (429,118)

Abstract:

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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, Hanqing Jin and Xun Yu Zhou
Mathematical InstituteOxford-Nie Financial Big Data Laboratory and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 5 (892,497)
Citation 2

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8.

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, Hanqing Jin and Xun Yu Zhou
Université de Rennes 1, Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 79 (424,572)
Citation 11

Abstract:

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

9.

Monotone Solutions to the Moral Hazard Problem

Number of pages: 39 Posted: 07 Aug 2018
Hanqing Jin, Hanqing Jin and Jianming Xia
Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 37 (597,563)

Abstract:

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Moral hazard, Monotone solution, Concave envelope, Monotone likelihood ratio

Arrow-Debreu Equilibria for Rank-Dependent Utilities with Heterogeneous Probability Weighting

Forthcoming, Mathematical Finance
Number of pages: 36 Posted: 21 Aug 2018
Hanqing Jin, Hanqing Jin, Jianming Xia and Xun Yu Zhou
Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 22 (719,751)
Citation 1

Abstract:

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rank-dependent utility, probability weighting, Arrow-Debreu equilibrium, state-price density, comonotone Pareto optimum, price equilibrium with transfers

Arrow–Debreu Equilibria for Rank‐Dependent Utilities with Heterogeneous Probability Weighting

Mathematical Finance, Vol. 29, Issue 3, pp. 898-927, 2019
Number of pages: 30 Posted: 29 May 2020
Hanqing Jin, Hanqing Jin, Jianming Xia and Xun Yu Zhou
Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 2 (934,864)
Citation 8

Abstract:

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Arrow–Debreu equilibrium, comonotone Pareto optimum, price equilibrium with transfers, probability weighting, rank‐dependent utility, state‐price density

11.

Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time

Number of pages: 44 Posted: 01 Jul 2020
Ying Hu, Hanqing Jin, Hanqing Jin and Xun Yu Zhou
Université de Rennes 1, Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 20 (713,780)
Citation 2

Abstract:

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Rank-dependent utility, probability weighting, portfolio selection, continuous time, time inconsistency, intra-personal equilibrium strategy, market price of risk