+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
Buy Low and Sell High
page 317-334 (2010) 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
Time-inconsistent stochastic linear-quadratic control: Characterization and uniqueness of equilibrium
SIAM Journal on Control and Optimization issue 2 volume 55 page 1261-1279 (1 January 2017)
Erratum to Behavioral portfolio selection in continuous time [Math. Finance, (2008), 18, 385 426]
Mathematical Finance issue 3 volume 20 page 521-525 (1 July 2010)
Continuous-time behavioral portfolio selection
Proceedings of the IEEE Conference on Decision and Control page 5602-5607 (1 December 2008)
A convex stochastic optimization problem arising
from portfolio selection
Mathematical Finance issue 1 volume 18 page 171-183 (January 2008)
A Convex Stochastic Optimization Problem Arising from Portfolio Selection
(27 September 2007) Full text available
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.
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.