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

28

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Scholarly Papers (28)

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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, Mathematical Institute, University of Oxford - Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 449 (71,697)
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 365 ( 91,459)
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 365 (90,752)
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 291 (117,171)

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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 258 (132,960)
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 219 (155,885)
Citation 12

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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 210 (162,070)
Citation 1

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

7.

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 173 (193,239)
Citation 41

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

8.

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 172 (194,232)
Citation 1

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

9.

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 143 (226,675)
Citation 4

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

10.

Arrow-Debreu Equilibria for Rank-Dependent Utilities

Downloads 136 (235,940)
Citation 4

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 136 (236,624)
Citation 4

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

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 105 (285,315)
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 93 (309,081)
Citation 8

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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.

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 90 (317,666)
Citation 3

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

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 - Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 78 (344,067)
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

15.

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 (346,688)
Citation 1

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

16.

Erratum to 'Behavioral Portfolio Selection in Continuous Time'

Downloads 73 (349,269)
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 (361,281)

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

17.

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 69 (368,403)
Citation 9

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

18.

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 60 (395,765)
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

19.

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 59 (399,095)
Citation 3

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20.

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 44 (453,872)

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Probability weighting, Beta, Coskewness, Asset Pricing

21.

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 43 (458,026)
Citation 5

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

22.

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 (546,823)
Citation 4

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

23.

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 18 (591,729)
Citation 1

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

24.

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

Downloads 16 (604,871)
Citation 20

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 15 (634,549)
Citation 2

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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, 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 1 (756,276)
Citation 5
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Arrow–Debreu equilibrium, comonotone Pareto optimum, price equilibrium with transfers, probability weighting, rank‐dependent utility, state‐price density

25.

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 10 (646,895)

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

26.

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

Number of pages: 44 Posted: 01 Jul 2020
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 10 (646,895)
Citation 1

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

27.

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

28.

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 (739,561)
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incentive compatibility, indemnity function, moral hazard, optimal insurance design, probability weighting function, quantile formulation, rank‐dependent utility theory, retention function