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

DOWNLOADS
Rank 11,918

SSRN RANKINGS

Top 11,918

in Total Papers Downloads

5,757

SSRN CITATIONS
Rank 6,075

SSRN RANKINGS

Top 6,075

in Total Papers Citations

113

CROSSREF CITATIONS

104

Scholarly Papers (30)

Actions:
Email selected abstracts
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 633 (58,936)
Citation 4

Abstract:

Loading...

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

2.

Profit Sharing in Hedge Funds

Downloads 491 ( 81,026)
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 487 (81,064)

Abstract:

Loading...

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 4 (872,059)
Citation 8

Abstract:

Loading...

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

3.

Optimal Insurance Design Under Rank-Dependent Expected Utility

Downloads 420 ( 97,355)
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 420 (96,525)
Citation 4

Abstract:

Loading...

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

4.

Hope, Fear and Aspirations

Downloads 384 (108,009)
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 (107,455)
Citation 2

Abstract:

Loading...

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 (914,453)
Citation 4

Abstract:

Loading...

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 328 (128,502)
Citation 2

Abstract:

Loading...

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 (140,634)
Citation 1

Abstract:

Loading...

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

7.

Realization Utility with Adaptive Reference Points

Downloads 274 (154,748)
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 (154,684)
Citation 5

Abstract:

Loading...

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 (914,453)

Abstract:

Loading...

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 266 (159,570)
Citation 3

Abstract:

Loading...

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 248 (170,938)
Citation 2

Abstract:

Loading...

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 (177,164)
Citation 2

Abstract:

Loading...

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 234 (180,805)
Citation 18

Abstract:

Loading...

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 (201,948)
Citation 3

Abstract:

Loading...

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 - Department of Information Systems and Management Engineering
Downloads 198 (211,241)
Citation 4

Abstract:

Loading...

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 (235,190)
Citation 3

Abstract:

Loading...

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 (252,419)
Citation 3

Abstract:

Loading...

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 152 (264,532)
Citation 1

Abstract:

Loading...

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 136 (288,845)
Citation 2

Abstract:

Loading...

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 131 (297,082)
Citation 1

Abstract:

Loading...

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 123 (311,346)
Citation 7

Abstract:

Loading...

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 (317,015)

Abstract:

Loading...

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 - Department of Information Systems and Management Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 107 (343,155)
Citation 4

Abstract:

Loading...

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 (363,695)
Citation 1

Abstract:

Loading...

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 (383,430)
Citation 2

Abstract:

Loading...

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 (411,352)
Citation 3

Abstract:

Loading...

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 66 (456,625)

Abstract:

Loading...

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 56 (494,248)

Abstract:

Loading...

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 17 (717,613)

Abstract:

Loading...

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 (717,613)
Citation 3

Abstract:

Loading...

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 4 (837,846)
Citation 12

Abstract:

Loading...

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

Abstract:

Loading...