Qingshuo Song

City University of Hong Kong (CityUHK)

Kowloon Tong

Hong Kong

SCHOLARLY PAPERS

4

DOWNLOADS

253

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (4)

1.

Outperformance Portfolio Optimization Via the Equivalence of Pure and Randomized Hypothesis Testing

Finance Stochastics, Vol. 17, No. 4, 2013
Number of pages: 34 Posted: 27 Mar 2013 Last Revised: 27 Jan 2015
Tim Leung, Qingshuo Song and Jie Yang
University of Washington - Department of Applied Math, City University of Hong Kong (CityUHK) and University of Illinois at Chicago
Downloads 86 (350,076)

Abstract:

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portfolio optimization, quantile hedging, stochastic benchmark, hypothesis testing, Neyman-Pearson lemma

2.

Outperforming the Market Portfolio with a Given Probability

The Annals of Applied Probability (2012), Vol. 22, No. 4, 1465-1494
Number of pages: 30 Posted: 01 Feb 2014
Erhan Bayraktar, Yu-Jui Huang and Qingshuo Song
University of Michigan at Ann Arbor - Department of Mathematics, University of Colorado at Boulder - Department of Applied Mathematics and City University of Hong Kong (CityUHK)
Downloads 77 (373,763)

Abstract:

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strict local martingale deflators, optimal arbitrage, quantile hedging, viscosity solutions, nonuniqueness of solutions of nonlinear PDEs

3.

Generalized Hypothesis Testing and Maximizing the Success Probability in Financial Markets

Number of pages: 8 Posted: 12 Jul 2013
Tim Leung, Qingshuo Song and Jie Yang
University of Washington - Department of Applied Math, City University of Hong Kong (CityUHK) and University of Illinois at Chicago
Downloads 63 (416,417)
Citation 1

Abstract:

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hypothesis testing

4.

Inverse Gaussian Quadrature and Finite Normal-Mixture Approximation of the Generalized Hyperbolic Distribution

Journal of Computational and Applied Mathematics, 388:113302, 2021
Number of pages: 19 Posted: 25 Oct 2018 Last Revised: 15 Dec 2020
Jaehyuk Choi, Yeda Du and Qingshuo Song
Peking University - HSBC School of Business, Peking University HSBC Business School and City University of Hong Kong (CityUHK)
Downloads 27 (574,894)

Abstract:

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Generalized Hyperbolic Distribution, Inverse Gaussian Distribution, Normal Variance-Mean Mixture, Numerical Quadrature