Xun Yu Zhou

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Liu Family Professor of Financial Engineering

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

  • Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

SCHOLARLY PAPERS

24

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63

Scholarly Papers (24)

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1.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
Min Dai, Hanqing Jin, Yifei Zhong and Xun Yu Zhou
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 444 (67,899)
Citation 2

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Black -- Scholes market, optimal stopping, stock goodness index, value function, free-boundary PDE (variational inequality)

2.

Hope, Fear and Aspirations

Downloads 357 ( 87,744)
Citation 12

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 357 (87,095)
Citation 3

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

3.

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 289 (110,884)

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

4.

Discounting, Diversity, and Investment

Number of pages: 61 Posted: 19 Sep 2016 Last Revised: 09 Feb 2018
Sebastian Ebert, Wei Wei and Xun Yu Zhou
Frankfurt School of Finance & Management gemeinnützige GmbH, University of Oxford and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 249 (129,653)
Citation 2

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diversity, hyperbolic discounting, investment, parameter uncertainty, time inconsistency, weighted discounting

5.

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 211 (152,114)
Citation 11

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

6.

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 204 (157,076)
Citation 1

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

7.

Greed, Leverage, and Potential Losses: A Prospect Theory Perspective

Mathematical Finance
Number of pages: 25 Posted: 21 Nov 2009 Last Revised: 05 Jan 2011
Hanqing Jin and Xun Yu Zhou
Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 170 (185,150)
Citation 2

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Cumulative prospect theory, greed, leverage, gains and losses, reference point, portfolio choice

8.

Behavioral Portfolio Selection with Loss Control

Number of pages: 24 Posted: 12 Feb 2010 Last Revised: 17 Sep 2010
Hanqing Jin, Song Zhang and Xun Yu Zhou
Mathematical Institute, Peking University - School of Mathematical Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 140 (217,690)
Citation 6

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Cumulative prospect theory, portfolio choice, gains and losses, constraint, Choquet integral, quantile function

9.

Arrow-Debreu Equilibria for Rank-Dependent Utilities

Downloads 134 (225,488)
Citation 3

Arrow-Debreu Equilibria for Rank-Dependent Utilities

Number of pages: 45 Posted: 15 Sep 2012
Jianming Xia and Xun Yu Zhou
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 134 (226,195)
Citation 4

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Rank-dependent utility, probability weighting, Arrow-Debreu Equilibrium, state-price density

10.

Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework

Number of pages: 39 Posted: 29 May 2019
Haoran Wang and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 122 (242,209)
Citation 29

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Reinforcement learning, mean-variance portfolio selection, entropy regularization, stochastic control, value function, Gaussian distribution, policy improvement theorem

11.

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 102 (275,104)
Citation 6

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

12.

Optimal Stopping Under Probability Distortion

Number of pages: 39 Posted: 12 Mar 2011
Zuo Quan Xu and Xun Yu Zhou
Hong Kong Polytechnic University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 91 (296,341)
Citation 3

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optimal stopping, probability distortion, Choquet expectation, probability distribution/qunatile function, Skorokhod embedding problem, $S$-shaped and reverse $S$-shaped function

13.

Dual Utilities on Risk Aggregation under Dependence Uncertainty

Finance and Stochastics, Forthcoming
Number of pages: 25 Posted: 30 Nov 2017 Last Revised: 30 Jun 2019
Ruodu Wang, Zuo Quan Xu and Xun Yu Zhou
University of Waterloo - Department of Statistics and Actuarial Science, Hong Kong Polytechnic University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 77 (327,972)
Citation 1

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Dual Utility; Conditional Joint Mixability; Risk Aggregation; Dependence Uncertainty; Pessimism Effect

14.

Erratum to 'Behavioral Portfolio Selection in Continuous Time'

Downloads 73 (330,507)
Citation 4

Erratum to 'Behavioral Portfolio Selection in Continuous Time'

Number of pages: 6 Posted: 19 Oct 2009 Last Revised: 09 Mar 2010
Hanqing Jin and Xun Yu Zhou
Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 73 (341,783)

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portfolio selection, continuous time, cumulative prospect theory, behavioral criterion, S-shaped function, probability distortion

15.

Time-Inconsistent Stochastic Linear–Quadratic Control: Characterization and Uniqueness of Equilibrium

Number of pages: 27 Posted: 05 Apr 2015 Last Revised: 05 May 2015
Ying Hu, Hanqing Jin and Xun Yu Zhou
Université de Rennes 1, Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 68 (351,555)
Citation 5

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time-inconsistency, stochastic linear-quadratic control, uniqueness of equilibrium control, forward-backward stochastic differential equation, mean-variance portfolio selection

16.

Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes

Number of pages: 22 Posted: 27 Nov 2018
Moris Simon Strub and Xun Yu Zhou
Southern University of Science and Technology - Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 65 (359,980)
Citation 3

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Risk-aversion, Arrow-Pratt measure of risk-tolerance, forward utility (performance) processes, dynamic preferences, portfolio selection, binomial model, SAHARA utility

17.

Optimal Insurance with Rank-Dependent Utility and Increasing Indemnities

Number of pages: 33 Posted: 15 Sep 2015
Zuo Quan Xu, Xun Yu Zhou and Sheng Chao Zhuang
Hong Kong Polytechnic University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Nebraska Lincoln
Downloads 58 (380,984)
Citation 7

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optimal insurance design, rank-dependent utility theory, Yaari’s dual criterion, probability weighting function, moral hazard, indemnity function, retention function, quantile formulation

18.

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 57 (384,413)
Citation 2

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19.

Exploration versus Exploitation in Reinforcement Learning: A Stochastic Control Approach

Number of pages: 33 Posted: 27 Jan 2019 Last Revised: 15 Feb 2019
Haoran Wang, Thaleia Zariphopoulou and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), University of Texas at Austin - Red McCombs School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 50 (407,808)
Citation 2

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Reinforcement Learning, Exploration, Exploitation, Entropy Regularization, Stochastic Control, Relaxed Control, Linear-Quadratic, Gaussian

20.

Predictable Forward Performance Processes: The Binomial Case

Number of pages: 23 Posted: 16 Nov 2016 Last Revised: 14 Oct 2019
Bahman Angoshtari, Thaleia Zariphopoulou and Xun Yu Zhou
University of Washington, University of Texas at Austin - Red McCombs School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 39 (450,146)
Citation 4

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Optimal investment, forward performance processes, binomial model, inverse investment problem, iterative functional equation

21.

Stopping Behaviors of Naive and Non-Committed Sophisticated Agents When They Distort Probability

Number of pages: 36 Posted: 13 Sep 2017
Yu-Jui Huang, Adrien Nguyen-Huu and Xun Yu Zhou
University of Colorado at Boulder - Department of Applied Mathematics, Université Montpellier I and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 25 (518,045)
Citation 3

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optimal stopping, probability distortion, time inconsistency, naive and sophisticated agents, equilibrium stopping law

22.

Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency

Number of pages: 23 Posted: 19 Jul 2018
Ken Seng Tan, Wei Wei and Xun Yu Zhou
University of Waterloo, University of Waterloo - Department of Statistics and Actuarial Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 17 (566,725)
Citation 1

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time inconsistency, equilibrium stopping rule, intra-personal game, smooth pasting, nonexistence

23.

Arrow-Debreu Equilibria for Rank-Dependent Utilities with Heterogeneous Probability Weighting

Forthcoming, Mathematical Finance
Number of pages: 36 Posted: 21 Aug 2018
Hanqing Jin, Jianming Xia and Xun Yu Zhou
Mathematical Institute, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 12 (599,163)
Citation 3

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rank-dependent utility, probability weighting, Arrow-Debreu equilibrium, state-price density, comonotone Pareto optimum, price equilibrium with transfers

24.

Optimal Insurance Under Rank‐Dependent Utility and Incentive Compatibility

Mathematical Finance, Vol. 29, Issue 2, pp. 659-692, 2019
Number of pages: 34 Posted: 13 Mar 2019
Zuo Quan Xu, Xun Yu Zhou and Sheng Chao Zhuang
Hong Kong Polytechnic University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Nebraska Lincoln
Downloads 0 (700,758)
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Abstract:

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incentive compatibility, indemnity function, moral hazard, optimal insurance design, probability weighting function, quantile formulation, rank‐dependent utility theory, retention function