Xing Jin

University of Warwick - Warwick Business School

Gibbet Hill Rd.

Coventry, West Midlands CV4 8UW

United Kingdom

  • University of Warwick - Warwick Business School

SCHOLARLY PAPERS

2

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436

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (2)

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1.

Tail Risk and Robust Portfolio Decisions

Management Science, Forthcoming
Number of pages: 50 Posted: 07 Nov 2016 Last Revised: 13 Apr 2020
Xing Jin, Dan Luo and Xudong Zeng
University of Warwick - Warwick Business School, School of Finance, Shanghai University of Finance and Economics and Shanghai University of Finance and Economics, School of Finance
Downloads 327 (154,364)
Citation 2

Abstract:

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Tail risk; Jump ambiguity; Robust decisions; Portfolio selection

2.

Efficient Estimation of Lower and Upper Bounds for Pricing Higher-Dimensional American Arithmetic Average Options by Approximating Their Payoff Functions

Number of pages: 42 Posted: 31 Jan 2015
Xing Jin and Cheng-Yu Yang
University of Warwick - Warwick Business School and University of Warwick, Warwick Business School
Downloads 109 (410,282)

Abstract:

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American arithmetic average option, Optimal exercise time, Arithmetic average, Geometric average, Dimension reduction