Xudong Zeng

Shanghai University of Finance and Economics, School of Finance

Associate Professor

777 Guoding Road

Shanghai, AK Shanghai 200433

China

SCHOLARLY PAPERS

7

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1,102

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Correlation Ambiguity and Under-Diversification

Number of pages: 48 Posted: 20 Nov 2015 Last Revised: 13 Sep 2017
Jun Liu and Xudong Zeng
University of California, San Diego (UCSD) - Rady School of Management and Shanghai University of Finance and Economics, School of Finance
Downloads 318 (113,782)

Abstract:

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potfolio choice, under-diversification, ambiguity, correlation, mean-variance

2.

A Stochastic Volatility Model and Optimal Portfolio Selection

Number of pages: 25 Posted: 23 Oct 2012
Xudong Zeng and Michael I. Taksar
Shanghai University of Finance and Economics, School of Finance and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 275 (132,667)

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Optimal portfolio, HJB equation, Stochastic volatility, HARA utility, Heston model, Square-root process

3.

Tail Risk and Robust Portfolio Decisions

Management Science, Forthcoming
Number of pages: 50 Posted: 07 Nov 2016 Last Revised: 13 Apr 2020
Xing Jin, Dan Luo and Xudong Zeng
University of Warwick - Warwick Business School, School of Finance, Shanghai University of Finance and Economics and Shanghai University of Finance and Economics, School of Finance
Downloads 243 (150,252)
Citation 1

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Tail risk; Jump ambiguity; Robust decisions; Portfolio selection

4.

Non-Zero-Sum Stochastic Differential Reinsurance and Investment Games with Default Risk

Number of pages: 32 Posted: 26 May 2015 Last Revised: 28 Oct 2018
Chao Deng, Xudong Zeng and Huiming Zhu
Hunan University, College of Business Administration, Shanghai University of Finance and Economics, School of Finance and Hunan University, College of Business Administration
Downloads 105 (302,815)
Citation 2

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5.

Dynamic Portfolio Choice with Stochastic Wage and Life Insurance

Number of pages: 20 Posted: 04 Aug 2012 Last Revised: 18 Nov 2015
Xudong Zeng, Yuling Wang and James M. Carson
Shanghai University of Finance and Economics, School of Finance, Shanghai University of Finance and Economics and University of Georgia
Downloads 100 (312,911)
Citation 2

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Life insurance, portfolio choice, asset allocation, HJB equation, stochastic control

6.

Limited Diversification, Portfolio Inertia, and Ambiguous Correlation

Number of pages: 56 Posted: 21 May 2020
Julia Jiang, Jun Liu, Weidong Tian and Xudong Zeng
affiliation not provided to SSRN, University of California, San Diego (UCSD) - Rady School of Management, University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration and Shanghai University of Finance and Economics, School of Finance
Downloads 44 (480,370)

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Correlation ambiguity, portfolio choice, limited diversification, portfolio inertia

7.

Cross-Affiliation Collaboration and Power Laws for Research Output of Institutions: Evidence from Top Journals in Financial Economics

Number of pages: 43 Posted: 05 May 2020 Last Revised: 01 Feb 2021
Hui Dong, Dan Luo, Xudong Zeng and Zhentao Zou
Shanghai University of Finance and Economics - School of Accountancy, School of Finance, Shanghai University of Finance and Economics, Shanghai University of Finance and Economics, School of Finance and Wuhan University - Economics and Management School
Downloads 17 (630,782)

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Research Collaboration, Cross-Affiliation, Power Laws, Accelerated Network, Preferential Attachment