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

  • Mathematical Institute

  • Oxford-Nie Financial Big Data Laboratory

  • St. Peter's College

SCHOLARLY PAPERS

11

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2,134

SSRN CITATIONS
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Top 14,137

in Total Papers Citations

59

CROSSREF CITATIONS

35

Scholarly Papers (11)

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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 525 (89,419)
Citation 3

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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 516 (91,347)
Citation 16

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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 279 (182,147)
Citation 1

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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 200 (251,106)
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 162 (301,772)
Citation 6

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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 138 (343,967)

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Illiquidity, Portfolio Constraints, Liquidity Premium, Transaction Costs

7.

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 100 (435,322)
Citation 16

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

8.

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 93 (456,548)

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

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 59 (588,825)

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

10.

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 35 (728,819)
Citation 1

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

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 27 (789,205)
Citation 2

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