Zuo Quan Xu

Hong Kong Polytechnic University

SCHOLARLY PAPERS

10

DOWNLOADS

481

SSRN CITATIONS

20

CROSSREF CITATIONS

18

Scholarly Papers (10)

1.

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 102 (362,937)
Citation 11

Abstract:

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

2.

Optimal Portfolio Selection With VaR and Portfolio Insurance Constraints Under Rank-Dependent Expected Utility Theory

Number of pages: 31 Posted: 14 Jul 2021
Hui Mi and Zuo Quan Xu
Nanjing Normal University and Hong Kong Polytechnic University
Downloads 96 (377,250)

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Behavioral finance; rank-dependent expected utility; quantile formulation; relax- ation method; VaR constraint; portfolio insurance.

3.

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 (418,373)
Citation 2

Abstract:

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

4.

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 68 (460,441)
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

5.

Rank-Dependent Utility Maximization Under Risk Exposure Constraint

Number of pages: 22 Posted: 09 Mar 2018
Peizhen Ding and Zuo Quan Xu
Chinese Academy of Sciences (CAS) and Hong Kong Polytechnic University
Downloads 52 (523,364)
Citation 1

Abstract:

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Rank-dependent utility theory, probability distortion/weighting function, quantile formulation, VaR, tail VaR, relaxation method

6.

Optimal Investment, Heterogeneous Consumption and Best Time for Retirement

Number of pages: 49 Posted: 14 Jun 2022
Hyun Jin Jang, Zuo Quan Xu and Harry Zheng
Ulsan National Institute of Science and Technology (UNIST), Hong Kong Polytechnic University and Imperial College London - Mathematical Finance
Downloads 39 (586,470)

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Heterogeneous consumption; Non-concave utility; Dynamic programming; Optimal stopping; Variational inequality; Dual transformation; Free boundary

7.

Quantile Optimization Under Derivative Constraint

Number of pages: 15 Posted: 07 Mar 2018
Zuo Quan Xu
Hong Kong Polytechnic University
Downloads 35 (608,829)
Citation 1

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Quantile Optimization, Probability Weighting/Distortion, Relaxation Method, Insurance Contract Design, Free Boundary Problem, Calculus of Variations

8.

Optimal Redeeming Strategy of Stock Loans with Finite Maturity

Mathematical Finance, Vol. 21, Issue 4, pp. 775-793, 2011
Number of pages: 19 Posted: 23 Aug 2011
Min Dai and Zuo Quan Xu
The Hong Kong Polytechnic University and Hong Kong Polytechnic University
Downloads 7 (835,809)

Abstract:

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stock loans, finite maturity, optimal strategy, optimal stopping

9.

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 1 (910,658)

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

10.

A Note on the Quantile Formulation

Mathematical Finance, Vol. 26, Issue 3, pp. 589-601, 2016
Number of pages: 13 Posted: 10 Jun 2016
Zuo Quan Xu
Hong Kong Polytechnic University
Downloads 0 (926,501)
Citation 6

Abstract:

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portfolio choice/selection, behavioral finance, law‐invariant, quantile formulation, probability weighting/distortion function, change‐of‐variable, relaxation method, calculus of variations, CPT, RDUT, time consistency, atomic, atomless/nonatomic, functional optimization problem