Yuhong Xu

Soochow university

Associate professor

No. 1 Shizi Street

Suzhou, Jiangsu 215006

China

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

SCHOLARLY PAPERS

4

DOWNLOADS

250

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

A Dynamic Mean-Variance Analysis for Log Returns

Number of pages: 54 Posted: 19 Aug 2019 Last Revised: 09 Sep 2019
Min Dai, Hanqing Jin, Steven Kou and Yuhong Xu
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute, Boston University and Soochow university
Downloads 143 (213,274)
Citation 1

Abstract:

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

2.

Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation

Number of pages: 22 Posted: 11 Jul 2016
Yuhong Xu
Soochow university
Downloads 79 (321,945)

Abstract:

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

3.

Worst-Case Value at Risk and Portfolio Management: A Simple Method Incorporating Model Uncertainty

Number of pages: 33 Posted: 06 Jun 2019
Soochow University, Soochow university, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 28 (499,670)

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

4.

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 (698,441)
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Abstract:

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