Prof. Hanqing Jin

PhD

Status

Academic Faculty

+44 1865 270516

Contact form

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

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

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. "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 and X. Zhou, “Behavioral portfolio selection in continuous time”, Mathematical Finance, (18), pp. 385-426, 2008.

Recent publications

Consistent investment of sophisticated rank‐dependent utility agents in continuous time

Hu, Y Jin, H Zhou, X Mathematical Finance volume 31 issue 3 1056-1095 (28 Jul 2021)

A Dynamic Mean-Variance Analysis for Log Returns

Dai, M Jin, H Kou, S Xu, Y Management Science volume N/A N/A-N/A (20 May 2020) https://www.maths.ox.ac.uk/~jinh

Correction: 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, J Morten, K Poulton, J Wang, N Jin, H Hou, Z Huang, W Analyst (07 Jun 2019)

Behavioral mean-variance portfolio selection

Bi, J Jin, H Meng, Q European Journal of Operational Research volume 271 issue 2 644-663 (01 Dec 2018)

Arrow–Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting

Jin, H Xia, J Zhou, X Mathematical Finance (01 Oct 2018)

Research interests

I am an Associate Professor at the Mathematical Institute and the director of Oxford-Octa Laboratory in Digital Economics. 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.

Highlighted publications

Greed, Leverage, and Potential Losses: A Prospect Theory Perspective

Jin, H Zhou, X Mathematical Finance (15 Jun 2011) http://www.maths.ox.ac.uk/~jinh

Behavioral portfolio selection with loss control

Zhang, S Jin, H Zhou, X Acta Mathematica Sinica, English Series volume 27 issue 2 255-274 (01 Feb 2011)

Illiquidity, Position limits, and Optimal Investment for Mutual Funds

Dai, M Jin, H Liu, H Journal of Economic Theory volume 146 issue 4 1598-1630 (2011) http://www.maths.ox.ac.uk/~jinh

Buy Low and Sell High

Jin, H Dai, M Zhong, Y Zhou, X Contemporary Quantitative Finance 317-334 (2010) http://www.maths.ox.ac.uk/~jinh

Numerical Methods for Portfolio Selection with
Bounded Constraints

Jin, H Jin, Z Yin, G Journal of Computational and Applied Mathematics volume 233 issue 2 564-581 (Nov 2009) http://www.maths.ox.ac.uk/~jinh

Teaching

Stochastic Calculus (Michaelmas 2018--2020), Stochastic Control (Hilary 2020), Information Theory (Hilary 2021)