Hao Xing

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

13

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7

Scholarly Papers (13)

1.

Asset Pricing under Optimal Contracts

Number of pages: 43 Posted: 09 Feb 2017 Last Revised: 17 Oct 2017
Jaksa Cvitanic and Hao Xing
California Institute of Technology - Division of the Humanities and Social Sciences and London School of Economics & Political Science (LSE)
Downloads 264 (112,837)

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Asset-Management, Equilibrium Asset Pricing, Optimal Contracts, Principal-Agent Problem

2.

Consumption Investment Optimization with Epstein-Zin Utility in Incomplete Markets

Number of pages: 30 Posted: 20 Jan 2015 Last Revised: 13 Nov 2015
Hao Xing
London School of Economics & Political Science (LSE)
Downloads 158 (183,017)

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Portfolio optimization, Epstein-Zin utility, Backward stochastic differential equation

Convex Duality for Epstein-Zin Stochastic Differential Utility

Number of pages: 25 Posted: 15 Jan 2016 Last Revised: 02 Nov 2016
Anis Matoussi and Hao Xing
Ecole Polytechnique, Paris and London School of Economics & Political Science (LSE)
Downloads 145 (196,976)

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Consumption investment optimization, Convex duality, Stochastic differential utility, Backward stochastic differential equation

Convex Duality for Epstein–Zin Stochastic Differential Utility

Mathematical Finance, Vol. 28, Issue 4, pp. 991-1019, 2018
Number of pages: 29 Posted: 17 Sep 2018
Anis Matoussi and Hao Xing
Ecole Polytechnique, Paris and London School of Economics & Political Science (LSE)
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backward stochastic differential equation, consumption investment optimization, convex duality, stochastic differential utility

4.

Abstract, Classic, and Explicit Turnpikes

Boston U. School of Management Research Paper No. 2011-5
Number of pages: 34 Posted: 18 Mar 2011 Last Revised: 09 Feb 2012
Boston University - Department of Mathematics and Statistics, Questrom School of Business, Boston University, London School of Economics & Political Science (LSE) and Carnegie Mellon University
Downloads 102 (255,924)
Citation 1

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Portfolio Choice, Incomplete Markets, Long-Run, Utility Functions, Turnpikes

Robust Portfolios and Weak Incentives in Long Run Investments

Boston U. School of Management Research Paper No. 2013-5
Number of pages: 35 Posted: 11 Jun 2013 Last Revised: 08 Oct 2013
Boston University - Department of Mathematics and Statistics, Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE)
Downloads 86 (288,029)

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long run, portfolio choice, incentives, executive compensation

Robust Portfolios and Weak Incentives in Long‐Run Investments

Mathematical Finance, Vol. 27, Issue 1, pp. 3-37, 2017
Number of pages: 35 Posted: 15 Jan 2017
Boston University - Department of Mathematics and Statistics, University of Michigan at Ann Arbor and London School of Economics & Political Science (LSE)
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long run, portfolio choice, incentives, executive compensation

6.

Optimal Contracting with Unobservable Managerial Hedging

Number of pages: 49 Posted: 04 Dec 2017
Yu Huang, Nengjiu Ju and Hao Xing
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and London School of Economics & Political Science (LSE)
Downloads 73 (314,737)

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Moral Hazard, Managerial Hedging, Optimal Contracting, Performance Evaluation, Capital Structure

7.

Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality

Number of pages: 35 Posted: 28 May 2015
London School of Economics & Political Science (LSE), London School of Economics & Political Science (LSE) and University of Texas at Austin
Downloads 49 (382,812)

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backward stochastic differential equations, general equilibrium, incomplete markets, Radner equilibrium, systems of BSDE

8.

Asymptotic Glosten Milgrom Equilibrium

Number of pages: 35 Posted: 19 Oct 2013 Last Revised: 24 Apr 2014
Cheng Li and Hao Xing
London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 41 (411,100)

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Glosten Milgrom model, Kyle model, nonexistence, occupation time, weak convergence

9.

Valuation Equations for Stochastic Volatility Models

SIAM J. Finan. Math., 3(1), 351–373, 2012.
Number of pages: 25 Posted: 28 May 2016
University of Michigan at Ann Arbor - Department of Mathematics, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 20 (509,657)

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stochastic volatility models, valuation equations, Feynman–Kac theorem, strict local martingales, necessary and sufficient conditions for uniqueness

10.

Strict Local Martingale Deflators and Valuing American Call-Type Options

Finance Stochastics, Vol. 16, No. 2, 2012
Number of pages: 17 Posted: 28 May 2016
University of Michigan at Ann Arbor - Department of Mathematics, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 14 (543,959)
Citation 1

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Strict local martingales, Deflators, American call options

11.

Pricing Asian Options for Jump Diffusion

Mathematical Finance, Vol. 21, Issue 1, pp. 117-143, 2010
Number of pages: 27 Posted: 01 Jan 2011
Erhan Bayraktar and Hao Xing
University of Michigan at Ann Arbor - Department of Mathematics and London School of Economics & Political Science (LSE)
Downloads 2 (621,223)
Citation 5
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pricing Asian options, jump diffusions, an iterative numerical scheme, classical solutions of integro partial differential equations

12.

Stability of the Exponential Utility Maximization Problem with Respect to Preferences

Mathematical Finance, Vol. 27, Issue 1, pp. 38-67, 2017
Number of pages: 30 Posted: 15 Jan 2017
Hao Xing
London School of Economics & Political Science (LSE)
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utility maximization, exponential utility, stability, semimartingales, utility‐based prices

13.

Long-Term and Blow-Up Behaviors of Exponential Moments in Multi-Dimensional Affine Diffusions

Stochastic Processes and their Applications, vol. 122, 2961-2993
Posted: 30 Dec 2013
Rudra Jena, Kyoung-Kuk Kim and Hao Xing
Independent, Korea Advanced Institute of Science and Technology and London School of Economics & Political Science (LSE)

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Affine diffusions; Exponential moments; Riccati differential equations; Implied volatility