Yuhong Xu

Soochow university

Associate professor

No. 1 Shizi Street

Suzhou, Jiangsu 215006

China

http://web.suda.edu.cn/yhxu/

SCHOLARLY PAPERS

8

DOWNLOADS

1,141

SSRN CITATIONS

7

CROSSREF CITATIONS

5

Scholarly Papers (8)

1.

A Dynamic Mean-Variance Analysis for Log Returns

Number of pages: 54 Posted: 19 Aug 2019 Last Revised: 09 Sep 2019
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Boston University and Soochow university
Downloads 461 (92,916)
Citation 10

Abstract:

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portfolio choices, stochastic volatility, time-varying mean returns, risk aversion recovery

2.

Robo-Advising: A Dynamic Mean-Variance Approach

Number of pages: 21 Posted: 04 Jan 2021 Last Revised: 07 Feb 2021
The Hong Kong Polytechnic University, Mathematical InstituteOxford-Nie Financial Big Data Laboratory, Boston University and Soochow university
Downloads 225 (197,781)
Citation 1

Abstract:

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robo-advising, mean-variance, asset allocation

3.

Optimal Growth under Model Uncertainty

Number of pages: 23 Posted: 08 Oct 2020 Last Revised: 16 Feb 2021
Yuhong Xu
Soochow university
Downloads 127 (320,279)

Abstract:

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Optimal Growth; Asset Allocation; Kelly Criterion; Model Uncertainty

4.

Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation

Number of pages: 22 Posted: 11 Jul 2016
Yuhong Xu
Soochow university
Downloads 98 (382,982)

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model uncertainty, profit&loss, asset allocation, ambiguity premium, Kelly criterion, G-Brownian motion

5.

A Worst-Case Risk Measure by G-VaR

Number of pages: 25 Posted: 06 Jun 2019 Last Revised: 29 Oct 2020
Soochow University, affiliation not provided to SSRN, Soochow university and affiliation not provided to SSRN
Downloads 91 (401,279)

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worst-case value-at-risk, portfolio management, G-normal distribution

6.

Portfolio Selection with Contrarian Strategy

Number of pages: 25 Posted: 30 Jun 2020
Yuhong Xu
Soochow university
Downloads 74 (452,871)

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portfolio selection;contrarian strategy; geometric mean reversion process; mean variance

7.

Large Shareholder Premium

Number of pages: 25 Posted: 19 Mar 2021
Weihuan Huang, Chenghu Ma and Yuhong Xu
School of Data Science, Fudan University, Fudan University and Soochow university
Downloads 65 (484,953)

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large shareholder premium, mean variance, asset allocation, time inconsistency.

8.

Multidimensional Dynamic Risk Measure via Conditional G‐Expectation

Mathematical Finance, Vol. 26, Issue 3, pp. 638-673, 2016
Number of pages: 36 Posted: 10 Jun 2016
Yuhong Xu
Soochow university
Downloads 0 (949,976)

Abstract:

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multidimensional dynamic convex risk measure, backward stochastic differential equation, g‐expectation, insolvency risk, stochastic interaction, risk sharing, risk contribution