+44 1865 270516
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
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 (20 January 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
Numerical Methods for Portfolio Selection with
Journal of Computational and Applied Mathematics issue 2 volume 233 page 564-581 (November 2009) 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)
Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
SIAM Journal on Control and Optimization issue 2 volume 55 page 1261-1279 (25 April 2017)
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, applied stochastic analysis, optimization and financial big data. My work focuses on the study on portfolio selection (by stochastic control and martingale method) and optimal stopping in financial market. Recently I also worked on behavioural finance and time consistency in portfolio selection models.
Stochastic Control and Dynamic Asset Allocation (Hilary 2014), Financial Derivatives II (Hilary 2014)
Major / recent publications:
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, Z. Jin and G. Yin, "Numerical Methods for Portfolio Selection with Bounded Constraints", Journal of Computational and Applied Mathematics, (233), pp. 564-581, 2009.
H. Jin and X. Zhou, “Behavioral portfolio selection in continuous time”, Mathematical Finance, (18), pp. 385-426, 2008.