Industrial Engineering and Operations Research
Xunyu Zhou is the Liu Family Professor of Financial Engineering at Columbia University in New York. His research focuses on quantitative behavioral finance models that incorporate human emptions and psychology into financial decision making, and on intelligent wealth management solutions using optimal control and machine learning techniques.
- Postdoctoral fellow, Faculty of Management, University of Toronto, 1991-1993
- Postdoctoral fellow, Faculty of Sciences, Kobe University, 1989-1991
- Liu Family Professor of Financial Engineering, Columbia University, 2016–
- Nomura Professor of Mathematical Finance, The University of Oxford, 2007-2016
- Choh-Ming Li Professor of Financial Engineering, The Chinese University of Hong Kong, 2013-2014
- Assistant Professor/Associate Professor/Professor/Chair Professor of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong, 1993-2007
- IEEE
- SIAM
- INFORMS
- Bachelier Finance Society
- American Finance Association
- FDT Center for Intelligent Asset Management, $2M
- Archimedes Society Lecturer, Columbia University, 2017
- Fellow, SIAM, 2016
- Wolfson Research Award, The Royal Society, 2013
- Humboldt Distinguished Lecturer, Humboldt - Universitat zu Berlin, 2013
- Invited speaker, International Congress of Mathematicians, 2010
- Fellow, IEEE, 2005
- Croucher Senior Research Fellowship, Croucher Foundation, 2005
- SIAM Outstanding Paper Prize, SIAM, 2003
- Alexander von Humboldt Research Fellowship, AvH Foundation, 1993
- Monbusho Scholarship, Japanese Ministry of Education, 1989
- J. Xia and X. Zhou, ``Arrow-Debreu equilibria for rank-dependent utilities", Mathematical Finance, Vol. 26 (2016), pp. 558-588.
- Z. Xu and X. Zhou, ``Optimal stopping under probability distortion", Annals of Applied Probability, Vol. 23 (2013), pp. 251-282.
- Y. Hu, H. Jin and X. Zhou, ``Time-inconsistent stochastic linear-quadratic control", SIAM Journal on Control and Optimization, Vol. 50 (2012), pp. 1548-1572.
- X. He and X. Zhou, ``Portfolio choice under cumulative prospect theory: An analytical treatment", Management Science, Vol. 57 (2011), pp. 315-331.
- Shiryaev, Z. Xu and X. Zhou, ``Thou shalt buy and hold", Quantitative Finance, Vol. 8 (2008), pp. 765-776.
- H. Jin and X. Zhou, ``Behavioral portfolio selection in continuous time'', Mathematical Finance, Vol. 18 (2008), pp. 385-426.
- D. Yao, S. Zhang and X. Zhou, ``Tracking a financial benchmark using a few assets'', Operations Research, Vol. 54 (2006), pp. 232-246.
- H. Jin, H. Markowitz and X. Zhou, ``A note on semivariance'', Mathematical Finance, Vol. 16 (2006), pp. 53-62.
- X. Zhou and D. Li, ``Continuous-time mean-variance portfolio selection: A stochastic LQ framework'', Applied Mathematics and Optimization, Vol. 42 (2000), pp. 19-33.
- S. Chen, X. Li and X. Zhou, ``Stochastic linear quadratic regulators with indefinite control weight costs'', SIAM Journal on Control and Optimization, Vol. 36 (1998), pp. 1685-1702.