
Status:
Personal website:
+44 1865 270516
ORCID iD:

Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Highlighted Publications:
Greed, Leverage, and Potential Losses: A Prospect Theory Perspective
Mathematical Finance
(15 June 2011)
Full text available
Behavioral portfolio selection with loss control
Acta Mathematica Sinica, English Series
issue 2
volume 27
page 255-274
(1 February 2011)
Illiquidity, Position limits, and Optimal Investment for Mutual Funds
Journal of Economic Theory
issue 4
volume 146
page 1598-1630
(2011)
Full text available
Buy Low and Sell High
Contemporary Quantitative Finance
page 317-334
(2010)
Full text available
Numerical Methods for Portfolio Selection with
Bounded Constraints
Journal of Computational and Applied Mathematics
issue 2
volume 233
page 564-581
(November 2009)
Full text available
Recent Publications:
A Dynamic Mean-Variance Analysis for Log Returns
Management Science
volume N/A
page N/A-N/A
(20 May 2020)
Full text available
Correction: A new approach to find biomarkers in chronic fatigue syndrome/myalgic encephalomyelitis (CFS/ME) by single-cell Raman micro-spectroscopy.
Analyst
issue 13
volume 144
page 4121-
(7 June 2019)
Behavioral mean-variance portfolio selection
European Journal of Operational Research
issue 2
volume 271
page 644-663
(1 December 2018)
Arrow–Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting
Mathematical Finance
(1 October 2018)
A new approach to find biomarkers in chronic fatigue syndrome/myalgic encephalomyelitis (CFS/ME) by single-cell Raman micro-spectroscopy
Analyst
issue 3
volume 144
page 913-920
(22 August 2018)
Research interests:
I am an Associate Professor at the Mathematical Institute and the director of Oxford-Nie Financial Big Data Laboratory. I obtained a Ph.D degree in Financial Engineering from the Chinese University of Hong Kong, and was then a postdoctoral fellow in the same university. I was an assistant professor in the National University of Singapore in September 2006--Jan 2009.
My general interest is in mathematical finance, behavioural finance, applied stochastic analysis, optimization, financial big data. My work focuses on the study on portfolio selection and optimal stopping without time consistency in financial market. Recently I also worked on token economics and mathematical problems in blockchain technology.
Teaching:
Stochastic Calculus (Michaelmas 2018--2020), Stochastic Control (Hilary 2020), Information Theory (Hilary 2021)
Major / recent publications:
M. Dai, H. Jin, S. Kou and Y. Xu "A Dynamic Mean-Variance Analysis for Log Returns", accepted by Management Sciences, 2020.
Y.Hu, H. Jin, and X.Zhou, “Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium”, SIAM Journal on Control and Optimization 55.2: 1261-1279, 2017.
X.He, H.Jin and X.Zhou, "Dynamic Portfolio Choice when Risk Is Measured by Weighted VaR", Mathematics of Operations Research 40, pp. 773-796, 2015
H. Jin and X. Zhou, “Behavioral portfolio selection in continuous time”, Mathematical Finance, (18), pp. 385-426, 2008.