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

35

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Scholarly Papers (35)

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1.

Buy Low and Sell High

Number of pages: 16 Posted: 02 Oct 2009
Min Dai, Hanqing Jin, Hanqing Jin, Yifei Zhong and Xun Yu Zhou
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 494 (81,332)
Citation 3

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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 383 (109,169)
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 (108,647)
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, Sebastian Ebert, Wei Wei and Xun Yu Zhou
Frankfurt School of Finance & ManagementFrankfurt School of Finance & Management, University of Oxford and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 301 (142,535)
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 301 (142,068)
Citation 1

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

5.

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 248 (172,670)
Citation 4

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

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 239 (178,969)
Citation 2

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

7.

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 (181,121)
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

8.

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 229 (186,370)
Citation 44

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

9.

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 180 (231,929)
Citation 1

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

10.

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 148 (272,928)
Citation 5

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

11.

Arrow-Debreu Equilibria for Rank-Dependent Utilities

Downloads 144 (278,936)
Citation 5

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 144 (279,876)
Citation 5

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

12.

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 (310,686)
Citation 7

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

13.

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 (320,026)

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

14.

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
Southern University of Science and Technology - School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 102 (357,707)
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

15.

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 101 (360,043)
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

16.

Erratum to 'Behavioral Portfolio Selection in Continuous Time'

Downloads 78 (409,390)
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, 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 78 (425,965)

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

17.

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 81 (412,293)
Citation 2

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

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 80 (415,285)
Citation 3

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19.

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 78 (421,361)
Citation 11

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

20.

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
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 76 (427,667)

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

21.

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 - Academy of Statistics and Interdisciplinary Sciences, Faculty of Economics and Management, Shanghai University of Finance and Economics - School of Statistics and Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 75 (430,740)

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Probability weighting, Beta, Coskewness, Asset Pricing

22.

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 72 (440,370)

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

23.

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 69 (450,470)

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

24.

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 67 (457,393)
Citation 8

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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

25.

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 63 (471,763)

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Asset selection, cluster analysis

26.

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 Miami - Department of Mathematics, University of Texas at Austin - Red McCombs School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 49 (528,820)
Citation 5

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

27.

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
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 29 (636,031)

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

28.

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 29 (636,031)
Citation 4

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

29.

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 24 (670,997)
Citation 3

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

30.

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 22 (686,251)
Citation 1

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

31.

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

Downloads 22 (686,251)
Citation 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, Hanqing Jin, Jianming Xia and Xun Yu Zhou
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 21 (715,956)
Citation 1

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

Arrow–Debreu Equilibria for Rank‐Dependent Utilities with Heterogeneous Probability Weighting

Mathematical Finance, Vol. 29, Issue 3, pp. 898-927, 2019
Number of pages: 30 Posted: 29 May 2020
Hanqing Jin, Hanqing Jin, Jianming Xia and Xun Yu Zhou
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 1 (930,537)
Citation 8

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

32.

Continuous‐Time Mean–Variance Portfolio Selection: A Reinforcement Learning Framework

Mathematical Finance, Vol. 30, Issue 4, pp. 1273-1308, 2020
Number of pages: 36 Posted: 07 Oct 2020
Haoran Wang and Xun Yu Zhou
The Vanguard Group, Inc. and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 19 (709,642)
Citation 12

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empirical study, entropy regularization, Gaussian distribution, mean–variance portfolio selection, policy improvement, reinforcement learning, simulation, stochastic control, theorem, value function

33.

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 19 (709,642)
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

34.

q-Learning in Continuous Time

Number of pages: 47 Posted: 13 Jul 2022
Yanwei Jia and Xun Yu Zhou
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 13 (761,284)

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continuous-time reinforcement learning, entropy regularization, policy improvement, q-function, martingale, Hamiltonian

35.

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 (907,349)

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