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-Nie Financial Big Data Laboratory

Member

Andrew Wiles Building

Woodstock Road

Oxford, Oxfordshire OX2 6GG

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

11

DOWNLOADS
Rank 37,055

SSRN RANKINGS

Top 37,055

in Total Papers Downloads

1,503

SSRN CITATIONS
Rank 13,378

SSRN RANKINGS

Top 13,378

in Total Papers Citations

31

CROSSREF CITATIONS

55

Scholarly Papers (11)

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, Mathematical Institute, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 459 (74,703)
Citation 3

Abstract:

Loading...

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, Steven Kou and Yuhong Xu
National University of Singapore, Mathematical Institute, Boston University and Soochow university
Downloads 294 (124,139)
Citation 6

Abstract:

Loading...

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

3.

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 175 (203,649)
Citation 1

Abstract:

Loading...

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

4.

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 145 (238,347)
Citation 4

Abstract:

Loading...

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

5.

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, Mathematical Institute and Washington University in St. Louis - Olin Business School
Downloads 118 (279,175)

Abstract:

Loading...

Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

6.

Robo-Advising: A Dynamic Mean-Variance Approach

Number of pages: 21 Posted: 04 Jan 2021 Last Revised: 07 Feb 2021
Min Dai, Hanqing Jin, Steven Kou and Yuhong Xu
National University of Singapore, Mathematical Institute, Boston University and Soochow university
Downloads 100 (313,020)
Citation 1

Abstract:

Loading...

robo-advising, mean-variance, asset allocation

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 73 (382,904)

Abstract:

Loading...

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 3 (767,523)
Citation 2
  • Add to Cart

Abstract:

Loading...

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 and Xun Yu Zhou
Université de Rennes 1, Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 70 (387,429)
Citation 10

Abstract:

Loading...

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 and Jianming Xia
Mathematical Institute and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 35 (521,832)

Abstract:

Loading...

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, Jianming Xia and Xun Yu Zhou
Mathematical Institute, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 17 (653,540)
Citation 1

Abstract:

Loading...

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, Jianming Xia and Xun Yu Zhou
Mathematical Institute, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 1 (793,125)
Citation 7
  • Add to Cart

Abstract:

Loading...

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 and Xun Yu Zhou
Université de Rennes 1, Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 13 (659,599)
Citation 2

Abstract:

Loading...

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