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¡@ Home > People > Academic Staff sitemaphome
Zhou, Xunyu
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Professor of Systems Engineering & Engineering Management, FIEEE

BSc, PhD (Fudan University)

Fellow IEEE

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Office: Room 511C, William M.W. Mong Engineering Building
Phone: (852) 3943-8320
E-mail: xyzhou@se.cuhk.edu.hk
Homepage: http://www.se.cuhk.edu.hk/~xyzhou

Xunyu Zhou got his BSc in pure mathematics in 1984 and his PhD in operations research and control theory in 1989, both from Fudan University. He did his postdoctoral research at Kobe University (Science Faculty) and the University of Toronto (Business School) from 1989 to 1993, and joined the Chinese University of Hong Kong (Engineering School) in 1993 where he is now a Professor of Systems Engineering and Engineering Management. His research interests are in stochastic control and financial engineering.

He has been the PI of 10 RGC Earmarked Grants, Co-PI of 3 RGC Earmarked Grants, 1 NSFC/RGC Grant, and 1 Industrial Grant. He has published more than 100 journal papers, 1 research monograph, and 2 edited books. He is a Fellow of IEEE and a Croucher Senior Fellow. Selected honors include SIAM Outstanding Paper Prize, INFORMS Meritorious Service Award, and Alexander von Humboldt Research Fellowship. He is or was on the editorial board of Operations Research (1999- ), Mathematical Finance (2001- ), Quantitative Finance (2010- ), SIAM Journal on Control and Optimization (2009- ), SIAM Journal on Financial Mathematics (2009- ), and IEEE Transactions on Automatic Control (1999-2003).

Xunyu Zhou is a 45-minute invited speaker at the 2010 International Congress of Mathematicians held in India, and pleneary speaker of numerous conferences including the 7th World Congress of the Bachelier Finance Society.

Research Interests

  Mathematical Finance/Financial Engineering
  Stochastic Analysis
  Stochastic Optimal Control

Selected Publications

H. Jin and X. Zhou, "Greed, leverage, and potential losses: A prospect theory perspective", to appear in Mathematical Finance.

X. He and X. Zhou, "Portfolio choice under cumulative prospect theory: An analytical treatment", Management Science, Vol. 57 (2011), pp. 315-331.

X. He and X. Zhou, "Portfolio choice via quantiles", Mathematical Finance, Vol. 21 (2011), pp. 203-231.

H. Pham, V. Vath and X. Zhou, "Optimal switching over multiple regimes", SIAM Journal on Control and Optimization, Vol. 48 (2009), pp. 2217-2253.

A. 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.

J. Xia and X. Zhou, "Stock loans", Mathematical Finance, Vol. 17 (2007), pp. 307-317.

X. Li and X. Zhou, "Continuous-time mean--variance efficiency: The 80% rule", Annals of Applied Probability, Vol. 16 (2006), pp. 1751-1763.

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.

Y. Hu and X. Zhou, "Constrained stochastic LQ control with random coefficients, and application to mean--variance portfolio selection", SIAM Journal on Control and Optimization, Vol. 44 (2005), pp. 444-466.

T. Choulli, M. Taksar and X. Zhou, "Interplay between dividend rate and business constraints for a financial corporation", Annals of Applied Probability, Vol. 14 (2004), pp. 1810-1837.

D. Yao, S. Zhang and X. Zhou, "Stochastic LQ control via primal-- dual semidefinite programming", SIAM Review, Vol. 46 (2004), pp. 87-111.

J. Yong and X. Zhou, "Stochastic Controls: Hamiltonian Systems and HJB Equations," Springer, New York, 1999.

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¡@ Email: dept@se.cuhk.edu.hk Tel: +852 3943-8313 Fax: +852 2603-5505
Address: Room 609, William M. W. Mong Engineering Building, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong

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