Status:
Personal website:
+44 1865 270516
ORCID iD:
https://orcid.org/0000-0001-5299-5730
Research groups:
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Recent Publications:
A new approach to find biomarkers in chronic fatigue syndrome/myalgic encephalomyelitis (CFS/ME) by single-cell Raman micro-spectroscopy.
The Analyst
issue 3
volume 144
page 913-920
(January 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)
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)
Continuous-time portfolio selection under ambiguity
Mathematical Control and Related Fields
issue 3
volume 5
page 475-488
(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, 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.