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Xuedong He’s CV, March 31, 2015
Xuedong He
Assistant Professor (Tenure-track)
Department of Industrial Engineering and Operations Research
School of Engineering and Applied Sciences
Columbia University; and
Center for Financial Engineering
Columbia University
500 West 120th Street
New York, NY 10027
Phone: +1 212-854-2936
Fax: +1 212-854-8103
Email: [email protected]
Degrees
2009
2005
DPhil, Mathematical Finance,
BSc, Mathematics and Applied Mathematics,
University of Oxford
Peking University
Research Interest
Behavioral Finance, Portfolio Selection, Asset Pricing, Risk Management
Professional Activities
• Associate Editor of Operations Research (2014–present)
• Reviewer of Management Science, Operations Research, Mathematical Finance,
Finance and Stochastics, Mathematics of Operations Research, SIAM Journal on Financial Mathematics, SIAM Journal on Control and Optimization,
Stochastic Processes and their Applications, Journal of Economic Dynamics
and Control, Journal of Banking and Finance, Theory and Decision, Economics Letters, IIE Transactions, IEEE Transactions on Automatic Control, IEEE
Transactions on Signal Processing, etc.
• Grant reviewer for Hong Kong Research Grants Council (RGC) Grants (2010–
present)
• Conference Organizers: Invited cluster chair at INFORMS 2013 Annual Meeting; Invited session chair at INFORMS 2012, 2014 Annual Meeting; Minisymposium Organizer at SIAM Financial Mathematics and Engineering Conference
2014
• Members: Bachelier Finance Society, INFORMS, SIAM, American Finance Association, and Econometrica
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Xuedong He’s CV, March 31, 2015
Experiences
September 2009–present: Assistant Professor (Tenure-track), Department of Industrial Engineering and Operations Research, Columbia University
August 17–August 25, 2014: Visiting Scholar, Department of Mathematics and Risk
Management Institute, National University of Singapore
July 28–August 16, 2013: Visiting Scholar, Department of Mathematics, National
University of Singapore
June 14–July 1, 2013: Visiting Scholar, Business School, China Eastern Normal
University
December 27, 2012–January 17, 2013: Visiting Scholar, Department of Mathematics,
National University of Singapore
January 1, 2012–January 14, 2012: Visiting Scholar, Department of System Engineering and Engineering Management, Chinese University of Hong Kong
October 18–October 22, 2010: Visiting Scholar, Department of Statistics, London
School of Economics and Political Science
August 1–August 31, 2010: Visiting Scholar, Department of Applied Mathematics,
Hong Kong Polytechnic University
May 17–May 31, 2010: Visiting Scholar, Department of Mathematics, Oxford
November 15–December 14, 2008: Visiting Researcher, School of Management, Yale
April 2008–July 2009: Associate Member, Oxford-Man Institute of Quantitative
Finance, Oxford
January 2008–August 2009: PhD Candidate, Mathematical Institute and Nomura
Centre for Mathematical Finance, University of Oxford
August 2005–December 2007: PhD Candidate, System Engineering and Engineering
Management, Chinese University of Hong Kong
Teaching
Instructor
“Credit Risk and Credit Derivatives”, Columbia University
“Behavioral Finance”, Columbia University
“Portfolio Selection in Continuous Time”, Columbia University
“Introduction to Financial Engineering”, Columbia University
“Data Analysis for Financial Engineering”, Columbia University
Tutor
“Mathematical Models of Financial Derivatives”, University of Oxford
“Fundamentals in Financial Engineering”, “Engineering Economics”, “Investment Science”, The Chinese University of Hong Kong
Teaching Assistant
“Stochastic Control and Dynamic Asset Allocation”, University of Oxford
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Xuedong He’s CV, March 31, 2015
PhD Advising
Di Xiao, IEOR, Columbia University, third year
Linan Yang, IEOR, Columbia University, fourth year
Jing Guo, IEOR, Columbia University, fourth year
Publications
1. (with X. Y. Zhou):
Portfolio Choice under Cumulative Prospect Theory: An Analytical Treatment,
Management Science, Volume 57, Issue 2, pages 315–331, February 2011.
2. (with X. Y. Zhou):
Portfolio Choice via Quantiles, Mathematical Finance, Volume 21, Issue 2, pages
203–231, April 2011.
3. (with R. Cont and R. Deguest):
Loss-based Risk Measures, Statistics and Risk Modeling, Volume 30, Issue 2,
pages 133-167, 2013.
4. (with X. Y. Zhou):
Myopic Loss Aversion, Reference Point, and Money Illusion, Quantitative Finance, Volume 14, Issue 9, pages 1541–1554, 2014.
5. (with C. Bernard, J. A. Yan, and X. Y. Zhou):
Optimal Insurance Design under Rank Dependent Expected Utility, Mathematical Finance, Volume 25, Issue 1, pages 154–186, 2015.
6. (with X. Y. Zhou):
Hope, Fear and Aspirations, forthcoming in Mathematical Finance, 2013.
7. (with H. Q. Jin and X. Y. Zhou):
Dynamic Portfolio Choice when Risk is Measured by Weighted VaR, forthcoming in Mathematics of Operations Research, 2014.
8. (with S. G. Kou):
Profit Sharing in Hedge Funds, under review in Mathematical Finance, 2014.
9. (with D. Xiao):
A Processing-Consistent Non-Bayesian Inference Model, under review in Quarterly Journal of Economics, 2015.
10. (with R. Kouwenberg and X. Y. Zhou):
Rank Dependent Utility and Risk Taking in Complete Markets, under review
in Management Science, 2015.
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Xuedong He’s CV, March 31, 2015
11. (with S. Hu, J. Obl´oj, and X. Y. Zhou):
Optimal Exit Time from Casino Gambling: Why A Lucky Coin and A Good
Memory Matter, under review in Management Science, 2015.
12. Dynamic Pricing Problems with Heavy-Tailed Willingness-to-Pay, working paper, 2013.
13. (with J. Guo):
Equilibrium Asset Pricing with Rational and Irrational Investors, working paper, 2015.
14. (with M. Dai and L. Yang):
Realization Utility with Reference Point Adaptation, working paper, 2015.
15. (with S. Hu, J. Obl´oj, and X. Y. Zhou):
Stopping Strategies of Behavioral Gamblers in Infinite Horizon, working paper,
2015.
Invited Short Courses
• “Quantile Approach to Behavioural Portfolio Selection and Asset Pricing”, the
Seventh European Summer School in Financial Mathematics, Oxford, September 2014
• ”Behavioral Finance”, Workshop/Short Courses on Quantitative Behavioral Finance, Shanghai, June 2013
Invited Seminar and Conference Presentations
• “Rank Dependent Utility and Risk Taking in Complete Markets”, SIAM Conference on Financial Mathematics and Engineering, Chicago, November 2014
• “Rank Dependent Utility and Risk Taking in Complete Markets”, INFORMS
Annual Meeting, San Francisco, November 2014
• “A Processing Consistent Non-Bayesian Inference Model”, NUS Risk Management Institute, Singapore, August 2014
• “A Processing Consistent Non-Bayesian Inference Model”, IFORS 2014 conference, Barcelona, July 2014
• “Dynamic Portfolio Choice when Risk is Measured by Weighted VaR”, IMSFPS 2014 workshop, Sydney, July 2014
• “A Processing Consistent Non-Bayesian Inference Model”, IMS-FPS 2014 workshop, Sydney, July 2014
• “A Processing Consistent Non-Bayesian Inference Model”, the second Asian
Quantitative Finance Conference, Weihai, June 2014
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Xuedong He’s CV, March 31, 2015
• “Profit Sharing in Hedge Funds”, Department of Risk Management and Insurance, Georgia State University, Atlanta, November 2013
• “Profit Sharing in Hedge Funds”, Second Texas Quantitative Finance Festival,
Austin, October 2013
• “Dynamic Portfolio Choice when Risk is Measured by Weighted VaR”, INFORMS Annual Meeting, Minneapolis, October 2013
• “Hope, Fear and Aspirations”,13th SAET Conference, Paris, July 2013
• “Hope, Fear and Aspirations”, Youth Mathematican Forum, Beijing, June 2013
• “A 10-30 Rule: An Investigation of Hedge Fund Performance Fees via Behavioral Finance”, Conference on Risk Pricing and Related Topics in Financial
Engineering, Shanghai, June 2013
• “Loss-based Risk Measures”, International Workshop on Quantitative Finance,
Daejeon, Korea, March, 2013
• “Loss-based Risk Measures”, First Asian Quantitative Finance Conference, Singapore, January 2013
• “Loss-based Risk Measures”, INFORMS Annual Meeting, Phoenix, October
2012
• “Hope, Fear and Aspirations”, INFORMS Annual Meeting, Phoenix, October
2012
• “Myopic Loss Aversion, Reference Point, and Money Illusion”, SIAM Annual
Meeting, Minneapolis, July 2012
• “Loss-based Risk Measures”, Chinese Academy of Sciences, Beijing, June 2012
• “Myopic Loss Aversion, Reference Point, and Money Illusion”, INFORMS International Beijing, Beijing, June 2012
• “A 10-30 Rule: An Investigation of Hedge Fund Performance Fees via Behavioral Finance”, INFORMS International Beijing, Beijing, June 2012
• “Loss-based Risk Measures”, Tongji University, Shanghai, June 2012
• “Loss-based Risk Measures”, Young Researchers Workshop on Finance 2012,
Tokyo, March 2012
• “Myopic Loss Aversion, Reference Point, and Money Illusion”, Shanghai Jiao
Tong University, December 2011
• “Loss-based Risk Measures”, Columbia-CUNY Joint Risk Seminar, Columbia,
November 2011
• “A 10-30 Rule: An Investigation of Hedge Fund Performance Fees via Behavioral Finance”, IEOR-DRO Summer Seminar Series, Columbia, July 2011
• “Hope, Fear, and Aspiration”, SIAM Conference on Control and Its Applications, Baltimore, July 2011
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Xuedong He’s CV, March 31, 2015
• “Portfolio Selection with Law-invariant Coherent Risk Measures”, 8th ICSA
International Conference, Guangzhou, December 2010
• “Portfolio Selection with Law-invariant Coherent Risk Measures”, London School
of Economics and Political Science, October 2010
• “Portfolio Selection with Law-invariant Coherent Risk Measures”, The Chinese
University of Hong Kong, August 2010
• “Hope, Fear, and Aspiration”, Tongji University, July 2010
• “Portfolio Selection with Law-invariant Coherent Risk Measures”, ColumbiaOxford Risk Summit, Columbia, June 2010
• “Hope, Fear, and Aspiration”, Columbia Probability Seminar, Columbia, February 2010
• “Hope, Fear, and Aspiration”, The Chinese University of Hong Kong, August
2009
• “SP/A Portfolio Choice Model in Continuous Time”, Mathematical Finance
Internal Seminar, University of Oxford, February 2009
• “Portfolio Choice via Quantiles”, School of Management, Yale, December 2008
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