Xun Yu Zhou

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management

Shatin, New Territories

Hong Kong

SCHOLARLY PAPERS

11

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555

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242

Scholarly Papers (11)

Optimal Insurance Design Under Rank-Dependent Expected Utility

Number of pages: 42 Posted: 11 Jul 2011 Last Revised: 11 Dec 2012
Grenoble Ecole de Management, The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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Citation 2

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optimal insurance design, rank-dependent expected utility, inverse-S shaped probability distortion, indemnity, quantile formulation, deductible

Optimal Insurance Design Under Rank‐Dependent Expected Utility

Mathematical Finance, Vol. 25, Issue 1, pp. 154-186, 2015
Number of pages: 33 Posted: 17 Jan 2015
Grenoble Ecole de Management, Columbia University, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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optimal insurance design, rank‐dependent expected utility, inverse‐S shaped probability distortion, indemnity, quantile formulation, deductible

2.
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Citation 12

Hope, Fear, and Aspirations

Mathematical Finance, Vol. 26, Issue 1, pp. 3-50, 2016
Number of pages: 48 Posted: 13 Jan 2016
Xue Dong He and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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Citation 1
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portfolio choice, continuous time, rank-dependent utility, probability weighting, SP/A theory, quantile formulation, portfolio insurance

Arrow-Debreu Equilibria for Rank-Dependent Utilities

Mathematical Finance, Vol. 26, Issue 3, pp. 558-588, 2016
Number of pages: 31 Posted: 10 Jun 2016
Jianming Xia and Xun Yu Zhou
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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rank‐dependent utility, probability weighting, Arrow‐Debreu equilibrium, state‐price density

4.

Inverse S-Shaped Probability Weighting and Its Impact on Investment

Number of pages: 43 Posted: 10 Nov 2017
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 The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 89 (284,321)
Citation 2

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Rank-Dependent Utility; Portfolio Selection; Probability Weighting; Inverse S-shaped Weighting Function; Optimal Stock Holding

Erratum to 'Behavioral Portfolio Selection in Continuous Time'

Mathematical Finance, Vol. 20, Issue 3, pp. 521-525, July 2010
Number of pages: 5 Posted: 08 Jun 2010
Hanqing Jin and Xun Yu Zhou
Mathematical Institute and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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Citation 2
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6.

Stock Loans

Mathematical Finance, Vol. 17, No. 2, pp. 307-317, April 2007
Number of pages: 11 Posted: 19 Mar 2007
Jianming Xia and Xun Yu Zhou
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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7.

Continuous-Time Mean-Variance Portfolio Selection with Bankruptcy Prohibition

Mathematical Finance, Vol. 15, No. 2, pp. 213-244, April 2005
Number of pages: 32 Posted: 23 Mar 2005
Illinois Institute of Technology, Chinese University of Hong Kong, University of Illinois at Chicago - Department of Finance and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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8.

A Note on Semivariance

Mathematical Finance, Vol. 16, No. 1, pp. 53-61, January 2006
Number of pages: 9 Posted: 21 Jun 2006
Hanqing Jin, Harry Markowitz and Xun Yu Zhou
Chinese University of Hong Kong, University of California at San Diego and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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9.

Portfolio Choice Via Quantiles

Mathematical Finance, Vol. 21, Issue 2, pp. 203-231, 2011
Number of pages: 29 Posted: 14 Feb 2011
Xue Dong He and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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Citation 3
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portfolio choice, continuous time, quantile function, law invariant measure, utility maximization, Yaari's dual theory, goal-reaching, behavioral finance, probability distortion, mutual fund theorem

10.

Behavioral Portfolio Selection in Continuous Time

Mathematical Finance, Vol. 18, No. 3, pp. 385-426, July 2008
Number of pages: 42 Posted: 16 Jun 2008
Hanqing Jin and Xun Yu Zhou
National University of Singapore (NUS) and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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Citation 5
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11.

Mean–Variance Portfolio Optimization with State‐Dependent Risk Aversion

Mathematical Finance, Vol. 24, Issue 1, pp. 1-24, 2014
Number of pages: 24 Posted: 13 Dec 2013
Tomas Bjork, Agatha Murgoci and Xun Yu Zhou
Stockholm School of Economics - Swedish House of Finance, Aarhus University - School of Business and Social Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
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Citation 7
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mean–variance, time inconsistency, time‐inconsistent control, dynamic programming, stochastic control, Hamilton–Jacobi–Bellman equation