Xue Dong He

The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management

Associate Professor

505 William M.W. Mong Engineering Building

The Chinese University of Hong Kong, Shatin, N.T.

Hong Kong

Hong Kong

http://https://sites.google.com/site/xuedonghepage/home

  • The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management

SCHOLARLY PAPERS

30

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113

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104

Scholarly Papers (30)

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1.

Loss-Based Risk Measures

Number of pages: 29 Posted: 08 Oct 2011
Rama Cont, Romain Deguest and Xue Dong He
University of Oxford, IESEG School of Management and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 636 (59,345)
Citation 4

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risk measures, robustness, loss-based risk measures, quantile estimation

2.

Profit Sharing in Hedge Funds

Downloads 495 ( 81,284)
Citation 11

Profit Sharing in Hedge Funds

Number of pages: 34 Posted: 19 Sep 2011 Last Revised: 21 Jun 2016
Xue Dong He and Steven Kou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Boston University
Downloads 488 (81,880)

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cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first-loss scheme

Profit Sharing in Hedge Funds

Mathematical Finance, Vol. 28, Issue 1, pp. 50-81, 2018
Number of pages: 32 Posted: 17 Jan 2018
Xue Dong He and Steven Kou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Boston University
Downloads 7 (853,461)
Citation 8

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cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first‐loss scheme

3.

Optimal Insurance Design Under Rank-Dependent Expected Utility

Downloads 421 ( 98,299)
Citation 39

Optimal Insurance Design Under Rank-Dependent Expected Utility

Number of pages: 42 Posted: 11 Jul 2011 Last Revised: 11 Dec 2012
Carole Bernard, Xue Dong He, Jia‐An Yan and Xun Yu Zhou
Grenoble Ecole de Management, The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 421 (97,470)
Citation 4

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optimal insurance design, rank-dependent expected utility, inverse-S shaped probability distortion, indemnity, quantile formulation, deductible

4.

Hope, Fear and Aspirations

Downloads 384 (109,366)
Citation 16

Hope, Fear and Aspirations

Number of pages: 53 Posted: 23 Jul 2012 Last Revised: 10 May 2013
Xue Dong He and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 383 (108,834)
Citation 2

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portfolio choice, continuous time, rank-dependent utility, probability weighting, SP/A theory, quantile formulation, portfolio insurance

Hope, Fear, and Aspirations

Mathematical Finance, Vol. 26, Issue 1, pp. 3-50, 2016
Number of pages: 48 Posted: 13 Jan 2016
Xue Dong He and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 1 (932,912)
Citation 4

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portfolio choice, continuous time, rank-dependent utility, probability weighting, SP/A theory, quantile formulation, portfolio insurance

5.

Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth

Number of pages: 53 Posted: 12 Dec 2017 Last Revised: 23 Nov 2020
Xue Dong He and Zhao Li Jiang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 330 (129,222)
Citation 2

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portfolio selection, dynamic mean-variance analysis, time inconsistency, equilibrium policies

6.

Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model

Number of pages: 15 Posted: 08 Dec 2014 Last Revised: 16 Jun 2016
Xue Dong He, Sang Hu, Jan Obłój and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shenzhen, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 301 (142,293)
Citation 1

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casino gambling; cumulative prospect theory; path-dependence; randomized strategies; quasi-convexity; optimal stopping

7.

Realization Utility with Adaptive Reference Points

Downloads 274 (156,571)
Citation 5

Realization Utility with Adaptive Reference Points

Number of pages: 41 Posted: 12 Aug 2015 Last Revised: 07 Dec 2017
Xue Dong He and Linan Yang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 273 (156,527)
Citation 5

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realization utility, reference point adaptation, wealth utility, cumulative prospect theory, optimal stopping

Realization Utility with Adaptive Reference Points

Mathematical Finance, Vol. 29, Issue 2, pp. 409-447, 2019
Number of pages: 39 Posted: 13 Mar 2019
Xue Dong He and Linan Yang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 1 (932,912)

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cumulative prospect theory, optimal stopping, realization utility, reference point adaptation, wealth utility

8.

Processing Consistency in Non-Bayesian Inference

Number of pages: 43 Posted: 19 Dec 2014 Last Revised: 13 Mar 2017
Xue Dong He and Di Xiao
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Columbia University - Fu Foundation School of Engineering and Applied Science
Downloads 267 (160,802)
Citation 3

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Non-Bayesian inference, processing consistency, distortion, pseudo-likelihood, false-Bayesian models, conservatism and base-rate neglect

9.

On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time

Number of pages: 29 Posted: 10 Jan 2019 Last Revised: 07 Jul 2021
Xue Dong He and Zhao Li Jiang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 253 (169,652)
Citation 2

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stochastic control, time inconsistency, continuous-time setting, equilibrium strategies, portfolio selection

10.

Optimal Exit Time from Casino Gambling: Strategies of Pre-Committed and Naive Gamblers

Number of pages: 26 Posted: 31 Oct 2015 Last Revised: 28 Mar 2019
Xue Dong He, Sang Hu, Jan Obłój and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shenzhen, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 239 (179,232)
Citation 2

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casino gambling, cumulative prospect theory, optimal stopping, pre-committed gamblers, naive gamblers, optimal strategies

11.

Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment

Management Science
Number of pages: 36 Posted: 29 Sep 2009 Last Revised: 04 Mar 2011
Xue Dong He and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 236 (181,397)
Citation 18

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Portfolio choice, single period, cumulative prospect theory, reference point, loss aversion, S-shaped utility function, probability weighting, well-posedness

12.

Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence

Number of pages: 62 Posted: 30 Jul 2021
Jing Guo and Xue Dong He
Columbia University - Fu Foundation School of Engineering and Applied Science and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 208 (204,378)
Citation 3

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recursive utility, gains and losses, existence and uniqueness, Markov processes, portfolio selection, dynamic programming

13.

How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection

Number of pages: 47 Posted: 20 Jan 2019 Last Revised: 05 May 2022
Xue Dong He and Moris Simon Strub
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Southern University of Science and Technology - School of Business
Downloads 205 (207,135)
Citation 4

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gain-loss utility; reference point formation, loss aversion, portfolio optimization

14.

Equilibrium Asset Pricing with Epstein-Zin and Loss-Averse Investors

Number of pages: 47 Posted: 06 Jun 2015 Last Revised: 29 Dec 2016
Jing Guo and Xue Dong He
Columbia University - Fu Foundation School of Engineering and Applied Science and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 175 (237,945)
Citation 3

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equilibrium asset pricing; heterogeneous agents; recursive utility; prospect theory; loss aversion; gain-loss ratio; market dominance

15.

A New Preference Model That Allows for Narrow Framing

Number of pages: 68 Posted: 06 Nov 2017 Last Revised: 19 Jan 2021
Jing Guo and Xue Dong He
Columbia University - Fu Foundation School of Engineering and Applied Science and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 161 (255,293)
Citation 3

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narrow framing, recursive utility, existence and uniqueness, dynamic programming, risk attitudes

16.

Portfolio Selection under Median and Quantile Maximization

Number of pages: 63 Posted: 20 Aug 2020 Last Revised: 30 Mar 2021
Xue Dong He, Zhao Li Jiang and Steven Kou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and Boston University
Downloads 157 (260,660)
Citation 1

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quantiles, median, portfolio selection, intra-persional equilibrium, portfolio insurance

17.

Inverse S-Shaped Probability Weighting and Its Impact on Investment

Number of pages: 43 Posted: 10 Nov 2017
Xue Dong He, Roy Kouwenberg, Roy Kouwenberg and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 140 (285,542)
Citation 2

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Rank-Dependent Utility; Portfolio Selection; Probability Weighting; Inverse S-shaped Weighting Function; Optimal Stock Holding

18.

Dynamic Mean-Variance Efficient Fractional Kelly Portfolios in a Stochastic Volatility Model

Number of pages: 64 Posted: 20 Aug 2020
Xue Dong He and Zhao Li Jiang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 134 (295,340)
Citation 1

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fractional Kelly portfolios, dynamic mean-variance analysis, stochastic volatility, time inconsistency, equilibrium strategies

19.

Rank-Dependent Utility and Risk Taking in Complete Markets

Number of pages: 40 Posted: 27 Jan 2015 Last Revised: 25 Jun 2016
Xue Dong He, Roy Kouwenberg, Roy Kouwenberg and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 125 (311,184)
Citation 7

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rank-dependent utility; portfolio selection; risk aversion; complete markets; less risky terminal wealth; optimal stock holding

20.

Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation

Number of pages: 34 Posted: 06 May 2021
Xue Dong He and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 120 (320,495)

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time inconsistency, intra-personal equilibrium, stochastic control, continuous time

21.

Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion

Number of pages: 41 Posted: 02 May 2019 Last Revised: 02 Jan 2021
Xue Dong He, Moris Simon Strub and Thaleia Zariphopoulou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Southern University of Science and Technology - School of Business and University of Texas at Austin - Red McCombs School of Business
Downloads 109 (342,692)
Citation 4

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forward criteria, rank-dependent utility, probability distortion, time-consistency, portfolio selection, inverse problems

22.

Comparative Risk Aversion in RDEU with Applications to Optimal Underwriting of Securities Issuance

Insurance: Mathematics and Economics, Forthcoming.
Number of pages: 51 Posted: 19 Jan 2018 Last Revised: 09 Jun 2020
Mario Ghossoub and Xue Dong He
University of Waterloo and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 98 (367,707)
Citation 1

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Rank-dependent expected utility, comparative risk aversion, risk sharing, optimal underwriting, firm-commitment contract

23.

Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value-at-Risk

Operations Research, Forthcoming
Number of pages: 20 Posted: 06 Sep 2016 Last Revised: 23 Jan 2018
Xue Dong He and Xianhua Peng
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Peking University - HSBC School of Business
Downloads 90 (387,771)
Citation 2

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Capital Adequacy Tests; Value-At-Risk; Surplus-Invariance; Conicity; Positive Homogeneity; Numeraire-Invariance

24.

Supplementary Materials: Optimal Exit Time from Casino Gambling: Strategies of Pre-Committed and Naive Gamblers

Number of pages: 30 Posted: 03 Nov 2015 Last Revised: 28 Mar 2019
Xue Dong He, Sang Hu, Jan Obłój and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shenzhen, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 80 (415,749)
Citation 3

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25.

Menuless and Preference-Free Screening Contracts for Fund Managers

Number of pages: 82 Posted: 01 Jun 2021
Xue Dong He, Sang Hu and Steven Kou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shenzhen and Boston University
Downloads 72 (440,812)

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contract design, performance fees, first-loss, liquidation boundary

26.

Closed-Form Solutions to Dynamic Pricing Problems with Cauchy-Type-Tailed Willingness-to-Pay

Number of pages: 28 Posted: 07 Jun 2016
Xue Dong He
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 57 (495,369)

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dynamic pricing problems, willingness-to-pay, heavy tail, closed-form solutions

27.

Online Supplementary Material: On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time

Number of pages: 23 Posted: 08 Jul 2021
Xue Dong He and Zhao Li Jiang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 19 (710,621)

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28.

Optimal Payoff under the Generalized Dual Theory of Choice

Number of pages: 13 Posted: 05 Jan 2021
Xue Dong He and Zhao Li Jiang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 17 (727,094)
Citation 3

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Portfolio Selection, Quantile Approach, Quantile Maximization, Dual Theory of Choice

29.

Portfolio Choice Via Quantiles

Mathematical Finance, Vol. 21, Issue 2, pp. 203-231, 2011
Number of pages: 29 Posted: 14 Feb 2011
Xue Dong He and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 5 (841,826)
Citation 12

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portfolio choice, continuous time, quantile function, law invariant measure, utility maximization, Yaari's dual theory, goal-reaching, behavioral finance, probability distortion, mutual fund theorem

30.

Risk Measures: Robustness, Elicitability, and Backtesting

Annual Review of Statistics and Its Application, Vol. 9, Issue 1, pp. 141-166, 2022
Posted: 24 Mar 2022
Xue Dong He, Steven Kou and Xianhua Peng
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Boston University and Peking University

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