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

25

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86

CROSSREF CITATIONS

101

Scholarly Papers (25)

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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 619 (49,344)
Citation 4

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

2.

Profit Sharing in Hedge Funds

Downloads 461 ( 71,489)
Citation 10

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 458 (71,387)

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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 3 (746,652)
Citation 6
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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 415 ( 81,042)
Citation 38

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 415 (80,318)
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 368 ( 93,118)
Citation 14

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 368 (92,377)
Citation 3

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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
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Citation 2
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portfolio choice, continuous time, rank-dependent utility, probability weighting, SP/A theory, quantile formulation, portfolio insurance

5.

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 292 (120,177)

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

6.

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 255 (138,466)
Citation 3

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

7.

Realization Utility with Adaptive Reference Points

Downloads 251 (140,659)
Citation 4

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 251 (140,071)
Citation 4

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

8.

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 239 (148,693)
Citation 2

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

9.

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 221 (158,956)
Citation 14

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

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 215 (163,143)
Citation 1

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

11.

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 170 (201,762)
Citation 2

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

12.

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 148 (226,607)
Citation 3

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

13.

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

Number of pages: 49 Posted: 10 Jan 2019 Last Revised: 18 Sep 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 147 (229,092)
Citation 2

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

14.

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

Number of pages: 37 Posted: 20 Jan 2019 Last Revised: 09 Jun 2020
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 - Division of Information Systems and Management Engineering
Downloads 105 (293,139)
Citation 3

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

15.

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 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) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 105 (293,139)
Citation 6

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

16.

Inverse S-Shaped Probability Weighting and Its Impact on Investment

Number of pages: 43 Posted: 10 Nov 2017
Xue Dong He, 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) and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 99 (304,862)
Citation 3

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

17.

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 - Division of Information Systems and Management Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 91 (321,763)
Citation 4

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

18.

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 84 (338,183)
Citation 1

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

19.

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 79 (350,650)
Citation 2

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

20.

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 63 (396,712)
Citation 3

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21.

Portfolio Selection under Median and Quantile Maximization

Number of pages: 71 Posted: 20 Aug 2020
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 57 (420,134)
Citation 1

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

22.

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 49 (445,737)

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

23.

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 47 (457,483)
Citation 1

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

24.

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 8 (677,272)

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

25.

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 3 (714,737)
Citation 9
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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