Professor Jianming Xia
Institute of Applied Mathematics
Academy of Mathematics and Systems Science
Chinese Academy of Sciences
Beijing 100190, China

Email: xia[*at*]amss.ac.cn 
Tel: +86-10-82541899
http://www.amt.ac.cn/member/xiajianming/index.html

Research Areas

Mathematical Finance and Mathematical Economics. More precisely,
  • Decision Theory under Uncertainty
  • Portfolio Selection and Asset Pricing
  • Risk Measurement and Control

Education

PhD (2000) East China Normal University
MSc (1997) East China Normal University
BSc (1994) East China Normal University

Professional Experiences

  • 03/2011 - present: Professor, Academy of Mathematics and Systems Science, Chinese Academy of Sciences
  • 03/2005 - 02/2011: Associated Professor, Academy of Mathematics and Systems Science, Chinese Academy of Sciences
  • 04/2002 - 02/2005: Assistant Professor, Academy of Mathematics and Systems Science, Chinese Academy of Sciences
  • 05/2000 - 03/2002: Postdoc, Academy of Mathematics and Systems Science, Chinese Academy of Sciences

Selected Publications

  • Xia, J. and X. Y. Zhou (2014): "Arrow-Debreu Equilibria for Rank-Dependent Utilities," Mathematical Finance, forthcoming.
  • Xia, J. (2011): "Risk aversion and portfolio selection in a continuous-time model," SIAM Journal on Control and Optimization 49 (5), 1916-1937.
  • Xia, J. and X. Y. Zhou (2007): "Stock loans," Mathematical Finance 17 (2), 307-317.
  • Wang, Z., J. Xia and L. Zhang (2007): "Optimal Investment for an insurer: the martingale approach," Insurance: Mathematics and Economics 40 (2), 322-334.
  • Xia, J. and J.-A. Yan (2006): "Markowitz’s portfolio optimization in an incomplete market," Mathematical Finance 16 (1), 203-216.
  • Xia, J. (2005): "Mean-variance portfolio choice: quadratic partial hedging," Mathematical Finance 15 (3), 533-538.
  • Xia, J. (2004): "Multi-agent investment in incomplete markets," Finance and Stochastics 8 (2), 241-259.
  • Xia, J. (2003): "Dividing gains between a client and her agent," Finance and Stochastics 7 (2), 219-230.
  • Xia, J. and J.-A. Yan (2003): "A new look at some basic concepts in arbitrage pricing theory," Science in China (Ser. A) 46 (6), 764-774.