Zuoquan Xu
Associate Professor
Contact
l Office: Room TU828 (campus map)
l Address: Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China
l Phone: (+852) 2766 6962
l Email: maxu[at]polyu.edu.hk
Research Interest
l Mathematical finance/financial engineering
l Behavioral finance
l Stochastic control
l Free boundary problems
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, China
l B.Sc. School of Mathematical Sciences, Nankai University, China
Professional Experience
l Assistant/Associate Professor, Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China
l Nomura Research Fellow in Mathematical Finance, Mathematical Institute, University of Oxford, UK
l Associate Member, Oxford-Man Institute of Quantitative Finance, University of Oxford, UK
Editorship
l Mathematics of Operations Research, Associate Editor, 2021-now
l Mathematics, Guest Editor, 2021-now
Research Paper
l Ying Hu, Xiaomin Shi, and Zuo Quan Xu, Stochastic linear-quadratic control with a jump and regime switching on a random horizon, arXiv version
l Ying Hu, Shanjian Tang, and Zuo Quan Xu, Optimal control of SDES with expected path constraints and related constrained FBSDES, arXiv version
l Pengyu Wei, and Zuo Quan Xu, Dynamic growth-optimum portfolio choice under risk control, arXiv version
l Chonghu Guan, Xiaomin Shi, and Zuo Quan Xu, Continuous-time mean-variance hedging under different loan and deposit rates, arXiv version
l Zuo Quan Xu, Moral-hazard-free insurance contract design under rank-dependent utility theory, arXiv version
l Zuo Quan Xu, Moral-hazard-free insurance for variance premium principle insurer and rank-dependent utility insured, arXiv version
l Zuo Quan Xu, and Harry Zheng, Optimal investment, heterogeneous consumption and the best time for retirement, arXiv version
l Hui Mi, and Zuo Quan Xu, Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory, SSRN version
l Ying Hu, Xiaomin Shi, and Zuo Quan Xu, Mean-variance asset-liability management with regime switching and random coefficients, arXiv version
l Chonghu Guan, Jing Peng, and Zuo Quan Xu, A multi-dimensional free boundary problem arising from a hidden regime-switching stock trading model, arXiv version
l Xiangyu Wang, Jianming Xia, Zuo Quan Xu, and Zhou Yang, Minimal quantile functions subject to stochastic dominance constraints, arXiv version
l Chonghu Guan, Zuo Quan Xu, and Fahuai Yi, A consumption-investment model with wealth-dependent lower bound constraint on consumption, Journal of Mathematical Analysis and Applications, minor revision, arXiv version
l Na Li, Xun li, Jing Peng, and Zuo Quan Xu, Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method, IEEE Transactions on Automatic Control, minor revision, arXiv version
l Chonghu Guan, Zuo Quan Xu, and Rui Zhou, Dynamic optimal reinsurance and dividend-payout in finite time horizon, Mathematics of Operations Research, to appear, arXiv version
l Xuefeng Gao, Zuo Quan Xu, and Xun Yu Zhou, Temperature control for Langevin Diffusions, SIAM Journal on Control and Optimization, to appear, arXiv version
l Ying Hu, Xiaomin Shi, and Zuo Quan Xu, Constrained stochastic LQ control on infinite time horizon with regime switching, ESAIM: Control, Optimisation and Calculus of Variations, published version, arXiv version
l Ying Hu, Xiaomin Shi, and Zuo Quan Xu, Constrained stochastic LQ control with regime switching and application to portfolio selection, Annals of Applied Probability, published version, arXiv version
l Zhuo Jin, Zuo Quan Xu, and Bin Zou, A perturbation approach to optimal investment, liability ratio, and dividend strategies, Scandinavian Actuarial Journal, published version, arXiv version
l Yichun Chi, Zuo Quan Xu, and Sheng Chao Zhuang, Distributionally robust goal-reaching in the presence of background risk, North American Actuarial Journal, published version, arXiv version
l Jie Xiong, Zuo Quan Xu, and 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, and 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, and 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, and 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, and Zuo Quan Xu, Utility maximization under trading constraints with discontinuous utility, SIAM Journal on Financial Mathematics, Vol Oct. (2019), 243-260. published version
l Zuo Quan Xu, Xun Yu Zhou, and Sheng Chao Zhuang, Optimal insurance under rank-dependent utility and incentive compatibility, Mathematical Finance, 29 (2019), 659-692. published version
l Yongwu Li, and 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, and 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, and Zuo Quan Xu, Optimal insurance in the presence of reinsurance, Scandinavian Actuarial Journal, 2017, 535-554. published version
l Xun Li, and 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, No. 3 (2016), 589-601. published version, arXiv version
l Zuo Quan Xu, and Fahuai Yi, An optimal consumption-investment model with constraint on consumption, Mathematical Control and Related Fields, 6, No. 3 (2016), 517-534. published version, arXiv version
l Danlin Hou, and 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, and 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, and Xun Yu Zhou, Optimal stopping under probability distortion, Annals of Applied Probability, 23 (2013), 251-282. published version, arXiv version
l Min Dai, and 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, and 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, and Xun Yu Zhou, Thou shalt buy and hold, Quantitative Finance, 8 (2008), 765-776. published version
l Albert Shiryaev, Zuoquan Xu, and 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, and Xun Yu Zhou, A convex stochastic optimization problem arising from portfolio selection, Mathematical Finance, 18 (2008), 171-184. published version, arXiv version
