Prof. Hanqing Jin | Mathematical Institute

Prof. Hanqing Jin

PhD

Status:

Academic Faculty

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Personal website:

http://people.maths.ox.ac.uk/jinh

CV (128.51K)

+44 1865 270516

ORCID iD:

https://orcid.org/0000-0001-5299-5730

Research groups:

Address

Mathematical Institute
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

Greed, Leverage, and Potential Losses: A Prospect Theory Perspective
Jin, H; Zhou, XY;
Mathematical Finance (15 June 2011) Full text available

Behavioral portfolio selection with loss control

Behavioral portfolio selection with loss control
Zhang, S; Jin, HQ; Zhou, XY;
Acta Mathematica Sinica, English Series issue 2 volume 27 page 255-274 (20 January 2011)

Illiquidity, Position limits, and Optimal Investment for Mutual Funds

Illiquidity, Position limits, and Optimal Investment for Mutual Funds
Dai, M; Jin, H; Liu, H;
Journal of Economic Theory issue 4 volume 146 page 1598-1630 (2011) Full text available

Buy Low and Sell High

Buy Low and Sell High
Jin, H; Dai, M; Zhong, YF; Zhou, XY;
page 317-334 (2010) Full text available

Numerical Methods for Portfolio Selection with Bounded Constraints

Numerical Methods for Portfolio Selection with Bounded Constraints
Jin, H; Jin, Z; Yin, G;
Journal of Computational and Applied Mathematics issue 2 volume 233 page 564-581 (November 2009) Full text available

Recent Publications:

A new approach to find biomarkers in chronic fatigue syndrome/myalgic encephalomyelitis (CFS/ME) by single-cell Raman micro-spectroscopy.

A new approach to find biomarkers in chronic fatigue syndrome/myalgic encephalomyelitis (CFS/ME) by single-cell Raman micro-spectroscopy.
Xu, J; Potter, M; Tomas, C; Elson, JL; Morten, KJ; Poulton, J; Wang, N; Jin, H; Hou, Z; Huang, WE;
The Analyst issue 3 volume 144 page 913-920 (January 2019)

Behavioral mean-variance portfolio selection

Behavioral mean-variance portfolio selection
Bi, J; Jin, H; Meng, Q;
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

Arrow–Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting
Jin, H; Xia, J; Zhou, XY;
Mathematical Finance (1 October 2018)

Time-inconsistent stochastic linear-quadratic control: Characterization and uniqueness of equilibrium

Time-inconsistent stochastic linear-quadratic control: Characterization and uniqueness of equilibrium
Hu, Y; Jin, H; Zhou, XY;
SIAM Journal on Control and Optimization issue 2 volume 55 page 1261-1279 (1 January 2017)

Dynamic portfolio choice when risk is measured by weighted VaR

Dynamic portfolio choice when risk is measured by weighted VaR
He, XD; Jin, H; Zhou, XY;
Mathematics of Operations Research issue 3 volume 40 page 773-796 (1 January 2015)

Research interests:

I am an Associate Professor at the Mathematical Institute and a member of the Oxford-Man Institute of Quantitative Finance. 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 and optimization. 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.

Teaching:

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 and X. Zhou. "Greed, leverage, and potential losses: A prospect theory perspective." Mathematical Finance 23.1: 122-142, 2013

Y.Hu, H. Jin, and X.Zhou, “Time-Inconsistent Stochastic Linear-Quadratic Control”, SIAM Journal on Control and Optimization 50.3: 1548-1572, 2012.

M. Dai, H. Jin and H. Liu, "Illiquidity, Position Limits, and Optimal Investment for Mutual Funds", Journal of Economic Theory 146.4: 1598-1630, 2011.

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.

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