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

9

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1,203

SSRN CITATIONS
Rank 17,095

SSRN RANKINGS

Top 17,095

in Total Papers Citations

19

CROSSREF CITATIONS

33

Scholarly Papers (9)

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 444 (67,864)
Citation 2

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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 170 (185,046)
Citation 2

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

3.

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 (NUS) - Department of Mathematics, Mathematical Institute, Boston University and Soochow university
Downloads 146 (210,424)
Citation 1

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

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 140 (217,559)
Citation 6

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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 (NUS) - Department of Mathematics, Mathematical Institute and Washington University in St. Louis - Olin Business School
Downloads 117 (249,757)

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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 and Xun Yu Zhou
Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 73 (341,606)

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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 and Xun Yu Zhou
Mathematical Institute and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 3 (691,599)
Citation 2
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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 and Xun Yu Zhou
Université de Rennes 1, Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 68 (351,345)
Citation 5

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

8.

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 30 (490,675)

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

9.

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 12 (598,838)
Citation 3

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