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

SCHOLARLY PAPERS

34

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234

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65

Scholarly Papers (34)

1.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 543 (96,391)

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

2.

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 431 (127,258)
Citation 2

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

3.

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
, University of Oxford and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 344 (163,834)
Citation 2

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

4.

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 338 (166,915)
Citation 1

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

5.

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 314 (180,428)
Citation 44

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

6.

Exploration versus Exploitation in Reinforcement Learning: A Stochastic Control Approach

Number of pages: 33 Posted: 27 Jan 2019 Last Revised: 15 Feb 2019
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), University of Texas at Austin (Mathematics and IROM) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 297 (191,474)
Citation 4

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

7.

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 285 (199,792)
Citation 2

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

8.

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 284 (200,495)
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

9.

q-Learning in Continuous Time

Number of pages: 64 Posted: 13 Jul 2022 Last Revised: 25 Apr 2023
Yanwei Jia and Xun Yu Zhou
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 254 (224,215)
Citation 5

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continuous-time reinforcement learning, policy improvement, q-function, martingale, on-policy and off-policy

10.

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, Hanqing Jin and Xun Yu Zhou
Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 210 (269,029)
Citation 1

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

11.

Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach

Number of pages: 58 Posted: 02 Sep 2021 Last Revised: 02 Feb 2022
Yanwei Jia and Xun Yu Zhou
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 197 (285,226)
Citation 11

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Continuous time and space, reinforcement learning, policy evaluation, temporal difference, martingale.

12.

Behavioral Portfolio Selection with Loss Control

Number of pages: 24 Posted: 12 Feb 2010 Last Revised: 17 Sep 2010
Hanqing Jin, Hanqing Jin, Song Zhang and Xun Yu Zhou
Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Peking University - School of Mathematical Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 179 (310,690)
Citation 6

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

13.

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 171 (323,418)
Citation 5

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

14.

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 166 (331,725)
Citation 5

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

15.

Rank-Dependent Utility and Risk Taking in Complete Markets

Number of pages: 40 Posted: 27 Jan 2015 Last Revised: 25 Jun 2016
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 164 (335,238)
Citation 7

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

16.

A Casino Gambling Model under Cumulative Prospect Theory: Analysis and Algorithm

Number of pages: 46 Posted: 16 Feb 2021 Last Revised: 13 Jan 2022
Sang Hu, Jan Obłój and Xun Yu Zhou
The Chinese University of Hong Kong, Shenzhen, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 159 (344,121)
Citation 2

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casino gambling, cumulative prospect theory, optimal stopping, probability weighting, time inconsistency, randomization, finite time horizon, Skorokhod embedding, potential function

17.

Policy Gradient and Actor–Critic Learning in Continuous Time and Space: Theory and Algorithms

Number of pages: 52 Posted: 01 Feb 2022 Last Revised: 25 Jul 2022
Yanwei Jia and Xun Yu Zhou
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 151 (363,117)
Citation 7

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Reinforcement learning, continuous time and space, policy gradient, policy evaluation, actor–critic algorithms, martingale.

18.

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

Number of pages: 22 Posted: 27 Nov 2018 Last Revised: 09 Jun 2020
Moris Simon Strub and Xun Yu Zhou
University of Warwick - Warwick Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 138 (385,860)
Citation 2

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

19.

Curse of Optimality, and How We Break It

Number of pages: 16 Posted: 14 May 2021 Last Revised: 01 Sep 2021
Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 125 (416,573)
Citation 1

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Exploration, randomization, reinforcement learning, stochastic control, simulated annealing, Langevin diffusion

20.

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 120 (429,503)
Citation 11

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

21.

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, Hanqing Jin and Xun Yu Zhou
Université de Rennes 1, Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 118 (434,967)
Citation 18

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

22.

Asset Selection via Correlation Blockmodel Clustering

Number of pages: 46 Posted: 29 Mar 2021 Last Revised: 01 Jun 2022
Wenpin Tang, Xiao Xu and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 109 (461,357)

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Asset selection, cluster analysis

23.

Beta and Coskewness Pricing: Perspective from Probability Weighting

Number of pages: 58 Posted: 12 May 2020 Last Revised: 03 Jun 2020
Yun Shi, Xiangyu Cui and Xun Yu Zhou
East China Normal University (ECNU), Shanghai University of Finance and Economics - School of Statistics and Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 106 (470,661)
Citation 3

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Probability weighting, Beta, Coskewness, Asset Pricing

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 105 (473,929)
Citation 3

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25.

Erratum to 'Behavioral Portfolio Selection in Continuous Time'

Number of pages: 6 Posted: 19 Oct 2009 Last Revised: 09 Mar 2010
Hanqing Jin, Hanqing Jin and Xun Yu Zhou
Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 103 (480,474)

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

26.

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 96 (503,532)
Citation 2

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

27.

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 90 (524,681)
Citation 9

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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

28.

Predictable Forward Performance Processes: The Binomial Case

Number of pages: 23 Posted: 16 Nov 2016 Last Revised: 16 Dec 2022
University of Miami - Department of Mathematics, University of Texas at Austin (Mathematics and IROM) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 74 (589,378)
Citation 9

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

29.

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 51 (709,061)
Citation 4

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

30.

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 41 (775,687)
Citation 5

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

31.

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

Forthcoming, Mathematical Finance
Number of pages: 36 Posted: 21 Aug 2018
Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 39 (790,234)
Citation 1

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

32.

Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time

Number of pages: 44 Posted: 01 Jul 2020
Ying Hu, Hanqing Jin, Hanqing Jin and Xun Yu Zhou
Université de Rennes 1, Mathematical InstituteOxford-Nie Financial Big Data Laboratory and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 36 (812,984)
Citation 2

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Rank-dependent utility, probability weighting, portfolio selection, continuous time, time inconsistency, intra-personal equilibrium strategy, market price of risk

33.

Variance Contracts

Number of pages: 42 Posted: 27 Aug 2020
Yichun Chi, Xun Yu Zhou and Sheng Chao Zhuang
Central University of Finance and Economics (CUFE), Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Nebraska Lincoln
Downloads 35 (820,801)
Citation 1

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insurance design; expected value principle; variance; incentive compatibility; comparative statics

34.

Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration

Number of pages: 43 Posted: 20 Dec 2023
Min Dai, Yuchao Dong, Yanwei Jia and Xun Yu Zhou
The Hong Kong Polytechnic University, Tongji University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 20 (956,269)

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Reinforcement learning; Merton's problem; incomplete market; recursive utility; entropy regularization; Gaussian exploration; biased stochastic policy