Research Interest   Education   Professional Experience   Editorship   Research Paper

 

Zuoquan Xu (许左权)

Professor

If you are interested in my research, please contact me.


Contact

l   Office: TU828, Core T (Campus Map)

l   Address: Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong, China

l   Phone: (+852) 2766 6962

l   Email: maxu [at] polyu.edu.hk

l   Official website: https://www.polyu.edu.hk/ama/people/academic-staff/prof-xu-zuoquan/


Research Interest

l   Mathematical Finance & Financial Engineering

l   Behavioral Finance

l   Insurance & Risk Management

l   Stochastic Control

l   Free Boundary Problem in Finance


Education

l   Ph.D. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong, China

l   M.Phil. School of Mathematical Sciences, Peking University, Beijing, China

l   B.Sc. School of Mathematical Sciences, Nankai University, Tianjin, China


Professional Experience

l   Assistant/Associate/Full Professor, Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China

l   Nomura Research Fellow in Mathematical Finance, Mathematical Institute, The University of Oxford, UK

l   Associate Member, Oxford-Man Institute of Quantitative Finance, The University of Oxford, UK

l   Post-Doc, Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong, China


Editorship

l   Mathematics of Operations Research Associate Editor

l   Digital Finance Associate Editor


Research Paper

l   Min Dai, Yu Sun, Zuo Quan Xu, Xun Yu Zhou. Learning to optimally stop a diffusion process, arXiv version

l   Guangchen Wang, Zuo Quan Xu, Panpan Zhang. Competitive optimal portfolio selection in a non-Markovian financial market: A backward stochastic differential equation study, arXiv version

l   Xiaomin Shi, Zuo Quan Xu. Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach, arXiv version

l   Chonghu Guan, Jiacheng Fan, Zuo Quan Xu. Optimal dividend payout with path-dependent drawdown constraint, arXiv version

l   Ying Hu, Xiaomin Shi, Zuo Quan Xu. Comparison theorems for multi-dimensional BSDEs with jumps and stochastic linear-quadratic control with jumps, arXiv version

l   Na Li, Xun Li, Zuo Quan Xu. Policy iteration reinforcement learning method for continuous-time mean-field linear-quadratic optimal problem, arXiv version

l   Hui Mi, Zuo Quan Xu. Optimal management of DC pension plan with inflation risk and tail VaR constraint, arXiv version

l   Yunhong Li, Zuo Quan Xu. Stochastic linear-quadratic control with regime switching and controlled time,

l   Ying Hu, Xiaomin Shi, Zuo Quan Xu. Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients, arXiv version

l   Pengyu Wei, Zuo Quan Xu. Dynamic growth-optimum portfolio choice under risk control, arXiv version

l   Zuo Quan Xu. Moral-hazard-free insurance contract design under rank-dependent utility theory, arXiv version

l   Panpan Zhang, Zuo Quan Xu. Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching, SIAM Journal on Control and Optimization, to appear (2024). arXiv version

l   Chonghu Guan, Zuo Quan Xu. Optimal ratcheting of dividend payout under Brownian motion surplus, SIAM Journal on Control and Optimization, 62 (2024), 2590-2620. published version  arXiv version

l   Xiaomin Shi, Zuo Quan Xu. Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients, ESAIM: Control, Optimisation and Calculus of Variations, 30 (2024), 61. published version  arXiv version

l   Xiaomin Shi, Zuo Quan Xu. Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients, Systems and Control Letters, 188 (2024), 105796. published version  arXiv version

l   Hyun Jin Jang, Zuo Quan Xu, Harry Zheng. Optimal investment, heterogeneous consumption and the best time for retirement, Operations Research, 72 (2024), 832-847. published version  arXiv version

l   Ying Hu, Xiaomin Shi, Zuo Quan Xu. Non-homogeneous stochastic LQ control with regime switching and random coefficients, Mathematical Control and Related Fields, 14 (2024), 671-694. published version  arXiv version

l   Zhuo Jin, Zuo Quan Xu, Bin Zou. Optimal moral-hazard-free reinsurance under extended distortion premium principles, SIAM Journal on Control and Optimization, 62 (2024), 1390-1416. published version  arXiv version

l   Yunhong Li, Zuo Quan Xu, Xun Yu Zhou. Robust utility maximization with intractable claims, Finance and Stochastics, 27 (2023), 985-1015. published version  arXiv version

l   Jing Peng, Pengyu Wei, Zuo Quan Xu. Relative growth rate optimization under behavioral criterion, SIAM Journal on Financial Mathematics, 14 (2023), 1140-1174. published version  arXiv version

l   Chonghu Guan, Xiaomin Shi, Zuo Quan Xu. Continuous-time Markowitz’s mean-variance model under different borrowing and saving rates, Journal of Optimization Theory and Applications, 199 (2023), 167-208. published version  arXiv version

l   Ying Hu, Xiaomin Shi, Zuo Quan Xu. Constrained monotone mean-variance problem with random coefficients, SIAM Journal on Financial Mathematics, 14 (2023), 838-854. published version  arXiv version

l   Hui Mi, Zuo Quan Xu. Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility, Insurance: Mathematics and Economics, 110 (2023), 82-105. published version  SSRN version

l   Ying Hu, Xiaomin Shi, Zuo Quan Xu. Stochastic linear-quadratic control with a jump and regime switching on a random horizon, Mathematical Control and Related Fields, 13 (2023), 1597-1617. published version  arXiv version

l   Zuo Quan Xu. Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory, Scandinavian Actuarial Journal, 2023 (2023), 269-289. published version  arXiv version

l   Ying Hu, Shanjian Tang, Zuo Quan Xu. Optimal control of SDES with expected path constraints and related constrained FBSDES, Probability, Uncertainty and Quantitative Risk, 7 (2022), 365-384. published version  arXiv version

l   Xiangyu Wang, Jianming Xia, Zuo Quan Xu, Zhou Yang. Minimal quantile functions subject to stochastic dominance constraints, SIAM Journal on Financial Mathematics, 13 (2022), SC87-SC98. published version  arXiv version

l   Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou. g-Expectation of Distributions, Probability, Uncertainty and Quantitative Risk, 7 (2022), 385-404. published version  arXiv version

l   Chonghu Guan, Jing Peng, Zuo Quan Xu. A multi-dimensional free boundary problem arising from a hidden regime-switching stock trading model, Journal of Differential Equations, 337 (2022), 436-459. published version  arXiv version

l  Chonghu Guan, Zuo Quan Xu, Fahuai Yi. A consumption-investment model with wealth-dependent lower bound constraint on consumption, Journal of Mathematical Analysis and Applications, 516 (2022), 126511. published version  arXiv version

l  Na Li, Xun li, Jing Peng, Zuo Quan Xu. Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method, IEEE Transactions on Automatic Control, 67 (2022), 5009-5016. published version  arXiv version

l   Chonghu Guan, Zuo Quan Xu, Rui Zhou. Dynamic optimal reinsurance and dividend-payout in finite time horizon, Mathematics of Operations Research, 337 (2022), 436–459. published version  arXiv version

l  Xuefeng Gao, Zuo Quan Xu, Xun Yu Zhou. Temperature control for Langevin Diffusions, SIAM Journal on Control and Optimization, 60 (2022), 1250-1268. published version  arXiv version

l  Ying Hu, Xiaomin Shi, Zuo Quan Xu. Constrained stochastic LQ control on infinite time horizon with regime switching, ESAIM: Control, Optimisation and Calculus of Variations, 28 (2022), 5. published version  arXiv version

l  Ying Hu, Xiaomin Shi, Zuo Quan Xu. Constrained stochastic LQ control with regime switching and application to portfolio selection, Annals of Applied Probability, 32 (2022), 426-460. published version  arXiv version

l  Zhuo Jin, Zuo Quan Xu, Bin Zou. A perturbation approach to optimal investment, liability ratio, and dividend strategies, Scandinavian Actuarial Journal, 26 (2022), 351-382. published version  arXiv version

l  Yichun Chi, Zuo Quan Xu, Sheng Chao Zhuang. Distributionally robust goal-reaching in the presence of background risk, North American Actuarial Journal, 67 (2022), 5009-5016. published version  arXiv version

l  Jie Xiong, Zuo Quan Xu, Jiayu Zheng. Mean-variance portfolio selection under partial information with drift uncertainty, Quantitative Finance, 21 (2021), 1461-1473. published version  arXiv version

l  Zuo Quan Xu, Fahuai Yi. Optimal redeeming strategy of stock loans under drift uncertainty, Mathematics of Operations Research, 45 (2020), 384-401. published version  arXiv version

l  Yongwu Li, Zhongfei Li, Shouyang Wang, Zuo Quan Xu. Dividend optimization for jump-diffusion model with solvency constraints, Operations Research Letters, 48 (2020), 170-175. published version

l  Ruodu Wang, Zuo Quan Xu, Xun Yu Zhou. Dual utilities on risk aggregation under dependence uncertainty, Finance and Stochastics, 23 (2019), 1025-1048. published version  SSRN version

l  Baojun Bian, Xinfu Chen, Zuo Quan Xu. Utility maximization under trading constraints with discontinuous utility, SIAM Journal on Financial Mathematics, 10 (2019), 243-260. published version

l  Zuo Quan Xu, Xun Yu Zhou, Sheng Chao Zhuang. Optimal insurance under rank-dependent utility and incentive compatibility, Mathematical Finance, 29 (2019), 659-692. published version

l  Yongwu Li, Zuo Quan Xu. Optimal insurance design with a bonus, Insurance: Mathematics and Economics, 77 (2017), 111-118. published version

l  Chonghu Guan, Xun Li, Zuo Quan Xu, Fahuai Yi. A stochastic control problem and related free boundaries in finance, Mathematical Control and Related Fields, 7 (2017), 563-584. published version

l  Sheng Chao Zhuang, Tim J. Boonen, Ken Seng Tan, Zuo Quan Xu. Optimal insurance in the presence of reinsurance, Scandinavian Actuarial Journal, 2017, 535-554. published version

l  Xun Li, Zuo Quan Xu. Continuous-time mean-variance portfolio selection with constraints on wealth and portfolio, Operations Research Letters, 44 (2016), 729-736. published version  arXiv version

l  Zuo Quan Xu. A note on the quantile formulation, Mathematical Finance, 26 (2016), 589-601. published version  arXiv version

l  Zuo Quan Xu, Fahuai Yi. An optimal consumption-investment model with constraint on consumption, Mathematical Control and Related Fields, 6 (2016), 517-534. published version  arXiv version

l  Danlin Hou, Zuo Quan Xu. A robust Markowitz mean-variance portfolio selection model with an intractable claim, SIAM Journal on Financial Mathematics, 7 (2016), 124-151. published version

l  Zuo Quan Xu, Jia-An Yan. A note on the Monge-Kantorovich problem in the plane, Communications on Pure and Applied Analysis, 14 (2015), 517-525. published version  arXiv version

l  Zuo Quan Xu. Investment under duality risk measure, European Journal of Operational Research, 239 (2014), 786-793. published version  arXiv version

l  Zuo Quan Xu. A characterization of comonotonicity and its application in behavioral finance, Journal of Mathematical Analysis and Applications, 418 (2014), 612-625. published version  arXiv version

l  Zuo Quan Xu, Xun Yu Zhou. Optimal stopping under probability distortion, Annals of Applied Probability, 23 (2013), 251-282. published version  arXiv version

l  Min Dai, Zuo Quan Xu. Optimal redeeming strategy of stock loans with finite maturity, Mathematical Finance, 21 (2011), 775-793. published version  arXiv version

l  Min Dai, Zuo Quan Xu, Xun Yu Zhou. Continuous-time Markowitz's model with transaction costs, SIAM Journal on Financial Mathematics, 1 (2010), 96-125. published version  arXiv version

l  Albert Shiryaev, Zuoquan Xu, Xun Yu Zhou. Thou shalt buy and hold, Quantitative Finance, 8 (2008), 765-776. published version

l  Albert Shiryaev, Zuoquan Xu, Xun Yu Zhou. Response to comment on "Thou shalt buy and hold", Quantitative Finance, 8 (2008), 761-762. published version

l  Hanqing Jin, Zuo Quan Xu, Xun Yu Zhou. A convex stochastic optimization problem arising from portfolio selection, Mathematical Finance, 18 (2008), 171-184. published version  arXiv version