未来金融创新工程中心

以前沿研究和创新工程,探索数字时代金融发展的新范式。

徐靖

简介:中国人民大学财政金融学院副教授。2010年毕业于北京大学数学科学学院,获理学学士学位;2015年在新加坡国立大学获得数理金融博士学位。曾在新加坡国立大学风险管理研究院任职研究员,2016年起回国在中国人民大学任教。徐靖副教授主要研究领域涵盖资产组合选择、共同基金与金融衍生品等,曾主持国家自然科学基金青年项目,并在 Management Science、Journal of Financial Markets、Journal of Economic Dynamics and Control 等国内外期刊发表十余篇论文。现为 China Finance Review International 青年编委,并担任多种国际学术期刊的匿名审稿人。

科研成果:

(1)论文

[1] Wang, Yanjie, and Jing XU,Investing under Ambiguity and Relative Performance Concerns,Journal of Financial Markets,accepted (2024).

[2] Hong LIU,Shuaijie QIAN,and Jing XU,Optimal Trading with Speed-Dependent Transaction Cost Rates: A Flexible Framework,Operations Research,accepted (2024).

[3] Jing XU,Peiquan YANG,Continuous Exercise of Executive Stock Options with Heterogeneous Characteristics,Journal of the Operational Research Society,accepted (2024).

[4] Min DAI,Shuaijie QIAN,Ling QIN,and Jing XU,Life-time Portfolio and Consumption Choice with Defined Contribution Plans,Finance and Stochastics,accepted (2023).

[5] Jing XU,Peiquan YANG,Pairs Trading with Costly Short-Selling,Journal of Economic Dynamics and Control,168 (2024):104941.

[6] Linjun FENG,Ya LI,and Jing XU,Picking a Thorny Rose: Optimal Trading with Spread-Based Return Predictability,European Financial Management,30 (2024):2343–2375.

[7] Min DAI,Yipeng JIANG,Hong LIU,and Jing XU,A Rational Theory for Disposition Effects,Review of Economic Dynamics,47 (2023):131–157.

[8] Jing XU,Competition and Equilibrium Effort Choice,Journal of Economic Dynamics and Control,137 (2022):104331.

[9] Yingshan CHEN,Min DAI,Luis GONCALVES-PINTO,Jing XU,and Cheng YAN,Incomplete Information and the Liquidity Premium Puzzle,Management Science,67 (2021):5703–5729.

[10] Jing XU,A Comment on: “Real Options for Endangered Species” (Conrad, 2018),Ecological Economics,189 (2021):107175.

[11] Jing XU,Lose Oneself in Comparison: An Investment and Consumption Game between Two Agents,Operations Research Letters,49 (2021):350–356.

[12] Yaoting LEI,Ya LI,and Jing XU,Two Birds, One Stone: Joint-Timing of Returns and Capital Gains Taxes,Management Science,66 (2020):823–843.

[13] Min DAI,Luis GONCALVES-PINTO,and Jing XU,How Does Illiquidity Affect Delegated Portfolio Choice?,Journal of Financial and Quantitative Analysis,54 (2019):539–585.

[14] Luis GONCALVES-PINTO,Juan SOTES-PALADINO,and Jing XU,The Invisible Hand of Internal Markets in Mutual Fund Families,Journal of Banking and Finance,89 (2018):105–124.

[15] Yingshan CHEN,Min DAI,Jing XU,and Mingyu XU,Superhedging under Ratio Constraint,Journal of Economic Dynamics and Control,58 (2015):250–264.

[16] Yaoting LEI,Jing XU,Costly Arbitrage through Pairs Trading,Journal of Economic Dynamics and Control,56 (2015):1–19.

(2)项目

[1] 2019–2021:国家自然科学基金青年项目“收益可预测性、资本利得税与资产组合选择问题研究”,项目负责人(已结项)。

(3)其他

[1] China Finance Review International 青年编委(2022年至今)。

[2] 担任 Management Science、Operations Research 等十余种国际学术期刊的匿名审稿人。

[3] 讲授课程包括本科生金融工程的数值方法、结构化金融产品(已暂停),以及研究生连续时间金融学(分上下学期)。

[4] 主要研究方向为考虑阻滞因素的金融市场资产配置与消费策略、共同基金、金融衍生品等。