Hao Xing
Associate Professor, Finance
Selected Research Presentations
Xing, h. Bank run from a mean-field game perspective, NYU Tandon, 2026
Xing, h. Process intangibles and agency conflicts, Finance seminar, Bentley University, 2025
Xing, h. Consumption habit and optimal contract, Minisymposia in SIAM Conference on Financial Mathematics and Engineering, 2025
Xing, h. Optimal contract, delegated investment, and information acquisition, Byrne Conference on Stochastic Analysis in Finance and Insurance, University of Michigan, 2025
Xing, H. Process intangibles and agency conflicts, Frontier Topics in Macro-Finance, University of Chicago, 2025
Xing, H. Executive Compensation and Pollution: Theory and Evidence, Risk and Stochastics seminar at London School of Economics, 2024
Xing, H. Robust Inattentive Discrete Choice, Economics Seminar at Bielefeld University, 2024
Xing, H. Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice, 12th Bachelier Congress, 2024
Xing, H. Optimal contract, habit formation, and capital structure, BIRS workshop : New Trends and Challenges in Stochastic Differential Games, 2024
Xing, H. Robustness and Dynamic Sentiment, Finance seminar at UMass Amherst, 2024
Xing, H. Why is Cash U-Shaped in Firm Size?, Bachelier Finance Society One World Seminars, 2023
Xing, h. The dark side of circuit breaker, Recent Advances on Quantitative Finance, 2023
Xing, H. Process intangibles and agency conflicts, Summer Institute of Finance, 2023
Xing, h. Optimal dynamic contracts and pollution, 11th General AMAMEF conference, 2023
Xing, h. Monitoring and pay for long-run performance, Applications of Stochastic Control to Finance and Economics, 2023
Publications
Hansen, L., Miao, J., Xing, H. (In Press). “Robust Inattentive Discrete Choice”, Proceedings of the National Academy of Sciences of the United States of America, 122 (6)
Balter, A., Maenhout, P., Xing, H. (In Press). “Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice”, Journal of Finance
Kakhbod, A., Reppen, A., Umar, T., Xing, H. (In Press). “Does the level of cash always increase with firm size? Theory and evidence from small firms”, Review of Finance
Vedolin, A., Xing, H., Maenhout, P. (In Press). “Robustness and Dynamic Sentiment”, Journal of Financial Economics
Miao, J., Xing, H. (In Press). “Dynamic discrete choice under rational inattention”, Economic Theory, 77 597-692
Chen, H., Petukhov, A., Wang, J., Xing, H. (In Press). “The Dark Side of Circuit Breakers”, The Journal of Finance, 79 (2), 1405-1455
Kardaras, C., Xing, H., Zitkovic, G. (In Press). “Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality”, Stochastic Analysis, Filtering, and Stochastic Optimization: A Commemorative Volume to Honor Mark H. A. Davis’s Contributions
Huang, Y., Ju, N., Xing, H. (2022). “Performance evaluation, managerial hedging and contract termination”, Management Science
Escauriaza, L., Schwarz, D., Xing, H. (2021). “Radner equilibrium and systems of quadratic BSDEs with discontinuous generators”, Annals of Applied Probability
Li, L., Xing, H. (2019). “Capital allocation under Fundamental Review of Trading Book”, Risk
Matoussi, A., Xing, H. (2018). “Convex duality for Epstein-Zin stochastic differential utility”, Mathematical Finance
Cvitanic, J., Xing, H. (2018). “Equilibrium asset pricing under optimal contracts”, Journal of Economic Theory, 173 142-180
Xing, H., Zitkovic, G. (2018). “A class of globally solvable Markovian quadratic BSDE systems and applications”, Annals of Probability, 46 (1), 491-550
Cvitanic, J., Xing, H. (2018). “Asset pricing under optimal contracts”, Journal of Economic Theory, 173 142-180
Cosso, A., Pham, H., Xing, H. (2017). “BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data”, Annales de l’Institut Henri Poincaré (B) Probabilités et Statistiques, 53 (4), 1528-1547
Robertson, S., Xing, H. (2017). “Long-Term Optimal Investment in Matrix Valued Factor Models”, SIAM Journal on Financial Mathematics, 8 (1), 400-434
Xing, H. (2017). “Consumption investment optimization with Epstein-Zin Utility in incomplete markets”, Finance and Stochastics, 21 (1), 227-262
Xing, H. (2017). “Stability of the exponential utility maximization problem with respect to preferences”, Mathematical Finance, 27 38-67
Guasoni, P., Muhle-Karbe, J., Xing, H. (2017). “Robust portfolios and weak incentives in long-run investments”, Mathematical Finance, 27 (1), 3-37
Xing, H. (2017). “STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES”, Mathematical Finance, 27 (1), 38-67
Robertson, S., Xing, H. (2015). “Large Time Behavior of Solutions to Semi-Linear Equations with Quadratic Growth in the Gradient”, SIAM Journal on Control and Optimization, 53 (1), 185-212
Li, C., Xing, H. (2015). “Asymptotic Glosten–Milgrom Equilibrium”, SIAM Journal on Financial Mathematics, 6 (1), 242-280
Guasoni, P., Kardaras, C., Robertson, S., Xing, H. (2014). “Abstract, classic, and explicit turnpikes”, Finance and Stochastics, 18 (1), 75-114
Cetin, U., Xing, H. (2013). “Point process bridges and weak convergence of insider trading models”, Electronic Journal of Probability, 18 (none)
Jena, R., Kim, K., Xing, H. (2012). “Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions”, Stochastic Processes and their Applications, 122 (8), 2961-2993
Xing, H. (2012). “On backward stochastic differential equations and strict local martingales”, Stochastic Processes and their Applications, 122 (6), 2265-2291
Bayraktar, E., Kardaras, C., Xing, H. (2012). “Strict local martingale deflators and valuing American call-type options”, Finance and Stochastics, 16 (2), 275-291
Bayraktar, E., Kardaras, C., Xing, H. (2012). “Valuation Equations for Stochastic Volatility Models”, SIAM Journal on Financial Mathematics, 3 (1), 351-373
Bayraktar, E., Xing, H. (2012). “Regularity of the Optimal Stopping Problem for Jump Diffusions”, SIAM Journal on Control and Optimization, 50 (3), 1337-1357
Bayraktar, E., Xing, H. (2011). “Pricing Asian Options for Jump Diffusion”, Mathematical Finance, 21 (1), 117-143
Bayraktar, E., Xing, H. (2010). “On the uniqueness of classical solutions of Cauchy problems”, Proceedings of the American Mathematical Society, 138 (6), 2061-2064
Bayraktar, E., Xing, H. (2009). “Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions”, Mathematical Methods of Operations Research, 70 (3), 505-525
Bayraktar, E., Xing, H. (2009). “Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions”, SIAM Journal on Mathematical Analysis, 41 (2), 825-860