Hao Xing

Boston University - Questrom School of Business

595 Commonwealth Avenue

Boston, MA MA 02215

United States

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 39,808

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1,474

SSRN CITATIONS
Rank 21,953

SSRN RANKINGS

Top 21,953

in Total Papers Citations

12

CROSSREF CITATIONS

34

Scholarly Papers (16)

1.

Asset Pricing under Optimal Contracts

Number of pages: 43 Posted: 09 Feb 2017 Last Revised: 17 Oct 2017
Jaksa Cvitanic and Hao Xing
California Institute of Technology - Division of the Humanities and Social Sciences and Boston University - Questrom School of Business
Downloads 344 (109,178)
Citation 2

Abstract:

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Asset-Management, Equilibrium Asset Pricing, Optimal Contracts, Principal-Agent Problem

2.

Consumption Investment Optimization with Epstein-Zin Utility in Incomplete Markets

Number of pages: 30 Posted: 20 Jan 2015 Last Revised: 13 Nov 2015
Hao Xing
Boston University - Questrom School of Business
Downloads 184 (203,299)
Citation 5

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Portfolio optimization, Epstein-Zin utility, Backward stochastic differential equation

Convex Duality for Epstein-Zin Stochastic Differential Utility

Number of pages: 25 Posted: 15 Jan 2016 Last Revised: 02 Nov 2016
Anis Matoussi and Hao Xing
Ecole Polytechnique, Paris and Boston University - Questrom School of Business
Downloads 165 (223,581)
Citation 2

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Consumption investment optimization, Convex duality, Stochastic differential utility, Backward stochastic differential equation

Convex Duality for Epstein–Zin Stochastic Differential Utility

Mathematical Finance, Vol. 28, Issue 4, pp. 991-1019, 2018
Number of pages: 29 Posted: 17 Sep 2018
Anis Matoussi and Hao Xing
Ecole Polytechnique, Paris and Boston University - Questrom School of Business
Downloads 0
Citation 2
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backward stochastic differential equation, consumption investment optimization, convex duality, stochastic differential utility

4.

Performance Evaluation, Managerial Hedging, and Contract Termination

Number of pages: 66 Posted: 04 Dec 2017 Last Revised: 26 Apr 2021
Yu Huang, Nengjiu Ju and Hao Xing
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Boston University - Questrom School of Business
Downloads 149 (243,242)
Citation 1

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Moral Hazard, Managerial Hedging, Optimal Contracting, Performance Evaluation

5.

Optimal Dynamic Contracts with Environmental, Social and Governance Criteria

Number of pages: 50 Posted: 28 Jul 2020
Jerome Detemple and Hao Xing
Boston University Questrom School of Business and Boston University - Questrom School of Business
Downloads 142 (255,652)

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Principal-agent problem, hidden actions, externality, optimal contracts, environment, social responsibility, ESG capital, ESG investments, agency friction

6.

Abstract, Classic, and Explicit Turnpikes

Boston U. School of Management Research Paper No. 2011-5
Number of pages: 34 Posted: 18 Mar 2011 Last Revised: 09 Feb 2012
Dublin City University - School of Mathematical Sciences, Questrom School of Business, Boston University, Boston University - Questrom School of Business and Carnegie Mellon University
Downloads 108 (309,254)
Citation 4

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Portfolio Choice, Incomplete Markets, Long-Run, Utility Functions, Turnpikes

7.

Robustness and Dynamic Sentiment

Number of pages: 52 Posted: 09 Mar 2021 Last Revised: 02 Jun 2021
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 107 (311,251)

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robust control, subjective beliefs, pessimism, optimism, Cressie-Read

8.

Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality

Number of pages: 35 Posted: 28 May 2015
London School of Economics & Political Science (LSE), Boston University - Questrom School of Business and University of Texas at Austin
Downloads 90 (348,199)
Citation 17

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backward stochastic differential equations, general equilibrium, incomplete markets, Radner equilibrium, systems of BSDE

Robust Portfolios and Weak Incentives in Long Run Investments

Boston U. School of Management Research Paper No. 2013-5
Number of pages: 35 Posted: 11 Jun 2013 Last Revised: 08 Oct 2013
Dublin City University - School of Mathematical Sciences, Imperial College London - Department of Mathematics and Boston University - Questrom School of Business
Downloads 90 (351,084)

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long run, portfolio choice, incentives, executive compensation

Robust Portfolios and Weak Incentives in Long‐Run Investments

Mathematical Finance, Vol. 27, Issue 1, pp. 3-37, 2017
Number of pages: 35 Posted: 15 Jan 2017
Dublin City University - School of Mathematical Sciences, University of Michigan at Ann Arbor and Boston University - Questrom School of Business
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long run, portfolio choice, incentives, executive compensation

10.

Asymptotic Glosten Milgrom Equilibrium

Number of pages: 35 Posted: 19 Oct 2013 Last Revised: 24 Apr 2014
Cheng Li and Hao Xing
London School of Economics & Political Science (LSE) and Boston University - Questrom School of Business
Downloads 45 (495,113)
Citation 2

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Glosten Milgrom model, Kyle model, nonexistence, occupation time, weak convergence

11.

Valuation Equations for Stochastic Volatility Models

SIAM J. Finan. Math., 3(1), 351–373, 2012.
Number of pages: 25 Posted: 28 May 2016
University of Michigan at Ann Arbor - Department of Mathematics, London School of Economics & Political Science (LSE) and Boston University - Questrom School of Business
Downloads 25 (601,230)

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stochastic volatility models, valuation equations, Feynman–Kac theorem, strict local martingales, necessary and sufficient conditions for uniqueness

12.

Strict Local Martingale Deflators and Valuing American Call-Type Options

Finance Stochastics, Vol. 16, No. 2, 2012
Number of pages: 17 Posted: 28 May 2016
University of Michigan at Ann Arbor - Department of Mathematics, London School of Economics & Political Science (LSE) and Boston University - Questrom School of Business
Downloads 18 (649,764)

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Strict local martingales, Deflators, American call options

Generalized Robustness and Dynamic Pessimism

NBER Working Paper No. w26970
Number of pages: 43 Posted: 20 Apr 2020 Last Revised: 11 Sep 2021
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 5 (781,085)
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Generalized Robustness and Dynamic Pessimism

CEPR Discussion Paper No. DP14592
Number of pages: 45 Posted: 08 May 2020
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
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Cressie Read, Pessimism, Robust control, Subjective beliefs

14.

Pricing Asian Options for Jump Diffusion

Mathematical Finance, Vol. 21, Issue 1, pp. 117-143, 2010
Number of pages: 27 Posted: 01 Jan 2011
Erhan Bayraktar and Hao Xing
University of Michigan at Ann Arbor - Department of Mathematics and Boston University - Questrom School of Business
Downloads 2 (774,925)
Citation 2
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pricing Asian options, jump diffusions, an iterative numerical scheme, classical solutions of integro partial differential equations

15.

Stability of the Exponential Utility Maximization Problem with Respect to Preferences

Mathematical Finance, Vol. 27, Issue 1, pp. 38-67, 2017
Number of pages: 30 Posted: 15 Jan 2017
Hao Xing
Boston University - Questrom School of Business
Downloads 0 (803,409)
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utility maximization, exponential utility, stability, semimartingales, utility‐based prices

16.

Long-Term and Blow-Up Behaviors of Exponential Moments in Multi-Dimensional Affine Diffusions

Stochastic Processes and their Applications, vol. 122, 2961-2993
Posted: 30 Dec 2013
Rudra Jena, Kyoung-Kuk Kim and Hao Xing
Independent, Korea Advanced Institute of Science and Technology and Boston University - Questrom School of Business

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Affine diffusions; Exponential moments; Riccati differential equations; Implied volatility