基本信息
浏览量:48
职业迁徙
个人简介
Research Interests
Behavioral finance, quantile optimization, optimal stopping problem
Selected Publications
XU, Z. Q., A Note on the Quantile Formulation, to appear in Mathematical Finance, http://arxiv.org/abs/1403.7269
Hou D., and Xu Z. Q., A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim, to appear in SIAM Journal on Financial Mathematics
Xu Z. Q., A Note on the Quantile Formulation, to appear in Mathematical Finance
Xu Z. Q., and Yan J. A., A Note on the Monge-Kantorovich Problem in the Plane, Communications on Pure and Applied Analysis, Vol.14 (2015), 517-525.
Xu Z. Q., Investment under Duality Risk Measure, European Journal of Operational Re-
search, Vol.239 (2014), 786-793.
Xu Z. Q., A Characterization of Comonotonicity and its Application in Behavioral Finance,
Journal of Mathematical Analysis and Applications, Vol.418 (2014), 612-625.
Xu Z. Q., and Zhou X. Y., Optimal Stopping under Probability Distortion, Annals of Applied Probability, Vol.23 (2013), 251-282.
Dai M. and Xu. Z. Q., Optimal Redeeming Strategy of Stock Loans with Finite Maturity, Mathematical Finance, Vol.21 (2011), 775-793.
Shiryaev A., Xu Z. Q., and Zhou X. Y., Thou Shalt Buy and Hold, Quantitative Finance, Vol.8 (2008), 765-776.
Jin H., Xu Z. Q., and Zhou X. Y., A Convex Stochastic Optimization Problem Arising from Portfolio Selection, Mathematical Finance, Vol.18 (2008), 171-184.
研究兴趣
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arxiv(2023)
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arXiv (Cornell University) (2023)
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FINANCE AND STOCHASTICSno. 4 (2023): 985-1015
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SIAM Journal on Control and Optimizationno. 3 (2023): 1390-1416
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