Xudong Zeng

Shanghai University of Finance and Economics, School of Finance

Associate Professor

777 Guoding Road

Shanghai, AK Shanghai 200433

China

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 44,695

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Top 44,695

in Total Papers Downloads

917

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 267 (113,444)

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 247 (122,930)

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

3.

Tail Risk and Robust Portfolio Decisions

Number of pages: 50 Posted: 07 Nov 2016 Last Revised: 19 Apr 2017
Xing Jin, Dan Luo and Xudong Zeng
University of Warwick - Warwick Business School, Shanghai University of Finance and Economics and Shanghai University of Finance and Economics, School of Finance
Downloads 193 (156,016)
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 93 (276,369)

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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 90 (282,124)

Abstract:

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

6.

Circuit Breakers and Contagion

Number of pages: 52 Posted: 02 Jan 2019
Hong Liu and Xudong Zeng
Washington University in St. Louis - Olin Business School and Shanghai University of Finance and Economics, School of Finance
Downloads 21 (513,200)

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Circuit Breaker, Contagion, Volatility, Market Crash

7.

Collaboration and Power Laws for Financial Research Institutions

Number of pages: 36 Posted: 14 May 2019 Last Revised: 24 May 2019
Hui Dong, Dan Luo, Xudong Zeng and Zhentao Zou
Shanghai University of Finance and Economics - School of Accountancy, Shanghai University of Finance and Economics, Shanghai University of Finance and Economics, School of Finance and Wuhan University - Economics and Management School
Downloads 6 (604,477)

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Research collaboration, Cross-affiliation, Power laws, Accelerated network, Preferential attachment