Ying Hu

Université de Rennes 1

11 Rue Jean Macé

Rennes, Rennes 35042

France

SCHOLARLY PAPERS

4

DOWNLOADS

127

SSRN CITATIONS
Rank 37,713

SSRN RANKINGS

Top 37,713

in Total Papers Citations

14

CROSSREF CITATIONS

6

Scholarly Papers (4)

1.

Time-Inconsistent Stochastic Linear–Quadratic Control: Characterization and Uniqueness of Equilibrium

Number of pages: 27 Posted: 05 Apr 2015 Last Revised: 05 May 2015
Ying Hu, Hanqing Jin and Xun Yu Zhou
Université de Rennes 1, Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 70 (390,273)
Citation 11

Abstract:

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time-inconsistency, stochastic linear-quadratic control, uniqueness of equilibrium control, forward-backward stochastic differential equation, mean-variance portfolio selection

2.

An Ergodic BSDE Approach to Forward Entropic Risk Measures: Representation and Large-Maturity Behavior

Number of pages: 34 Posted: 02 Dec 2016 Last Revised: 28 Jan 2021
University of Illinois at Urbana-Champaign - Department of Mathematics, Université de Rennes 1, University of Warwick - Department of Statistics and University of Texas at Austin - Red McCombs School of Business
Downloads 31 (546,397)
Citation 2

Abstract:

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3.

Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time

Number of pages: 44 Posted: 01 Jul 2020
Ying Hu, Hanqing Jin and Xun Yu Zhou
Université de Rennes 1, Mathematical Institute and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 13 (664,426)
Citation 2

Abstract:

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Rank-dependent utility, probability weighting, portfolio selection, continuous time, time inconsistency, intra-personal equilibrium strategy, market price of risk

4.

Representation Theorems for Quadratic F-Consistent Nonlinear Expectations

Stochastic Processes and their Applications, 118 (2008) 1518–1551
Number of pages: 39 Posted: 09 Jul 2016 Last Revised: 10 Jul 2016
Ying Hu, Jin Ma, Shige Peng and Song Yao
Université de Rennes 1, Purdue University - Department of Mathematics, Shandong University and University of Pittsburgh
Downloads 13 (664,426)
Citation 1

Abstract:

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