Working Paper
4. Jia Guangyan, Xia Jianming, Xu Yuhong, Zhang Na, Arrow-Pratt Theory for Variational Preferences: A Continuous-Time Model, 1-32, Preprint.
3. How to Coordinate Heterogeneous Farmers of Agricultural Marketing Cooperatives?
2. Xu Yuhong, Yang Shuzhen, Extended Dynamic Programming Principle and Applications to Time-Inconsistent Control, 1-32, Preprint.
1. Huang Weihuan, Ma Chenghu, Xu Yuhong, Trading Behavior of Large and Small Investors in the Presence of Large Investor Premium. 1-33, Preprint.
Publication
18. Dynamic clustering analysis of US banks amidst the Fed's rate hikes, forthcoming.
17. Lu Zhichao, Xu Yuhong, Zhang Yue, Zhao Xinyao, Is it difficult to predict the price movements of high-volatility assets. 1-8. Finance Research Letter, 85(2025) 107980.
(众所周知，高波动率资产价格难以精准预测。本研究发现高波动率资产的方向并不难预测，甚至更容易预测。因为大的波动发生之前往往有蛛丝马迹。本文以比特币和WTI原油期货为例展示了结果)
16. Xu Yuhong, Zhao Xinyao, How does node centrality in a financial complex network affects asset price prediction? North American Journal of Economics and Finance, 73 (2024) 102163.
（在一个复杂网络中，我们常以为比较重要的资产容易被预测，用它们来预测其他资产价格可能效果好。本文意外的发现这个两个观点都是错误的。相反的，中心性低的资产容易被预测，它们的预测能力也较强。文章从信息论的观点解释了以上现象）
15. Lu Zhichao, Pang Peiyuan, Xu Yuhong, Zhang Wenxin, Portfolio Selection with Contrarian Strategy, Methodology and Computing in Applied Probability, 26 (2024).
14. Xu Yuhong, Optimal growth under model uncertainty, North American Journal of Economics and Finance60 (2022): 101634.
13. Dai, Min and Jin, Hanqing and Kou, Steven and Xu, Yuhong, Robo-Advising: A Dynamic Mean-Variance Approach,Digital Finance,3, 81–97 (2021).
12. Pei Ziting, Wang Xishun, Xu Yuhong, Yue Xingye, A Worst-Case Risk Measure by G-VaR,Acta Mathematicae Applicatae Sinica (English Series), 37, 421–440 (2021).
(本文首次给出了彭实戈院士提出的风险度量G-VaR的显式计算表达式。使得不确定环境中的风险度量计算更加容易实现)
11. Dai Min, H Jin, Kou Steven, Yuhong Xu, A dynamic mean-variance analysis for log returns, Management Science, 67(2), 1093–1108, (2021).
（本文首次提出基于对数收益率的均值方差模型，得到了相对风险厌恶的最优投资策略。建立了均值方差模型和经济学中的绝对/相对风险厌恶期望效用理论的一一对应关系。发表在管理科学顶刊MS, UTD24期刊之一）
10.Jia Guangyan, Xu Yuhong, A note on g-concave function, Acta Mathematica Scientia. (2019), 39B(5): 1–8.
9. Lam C, Xu Yuhong, Yin, G, Dynamic portfolio selection without cash, Quantitative Finance,19(2),(2019), 313-326.
8.Xu, Yuhong. Robust Valuation, Arbitrage Ambiguity and Profit& Loss Analysis. Journal of the Operations Research Society of China 6.1 (2018): 59-83.
7. Xu Yuhong, Multidimensional dynamic risk measure via conditional g-expectation, Mathematical Finance,
26(3), (2016) , 638–673.
（本文给出了多维动态非线性风险度量的数学刻画。以单独作者发表在金融数学国际顶刊MF。在此期刊单作发表论文的国内学者仅有两位）
6.Xu Yuhong, An existence theorem for multidimensional BSDEs with mixed reflection, Comptes Rendus Mathematique, 354(11) (2016), 1101-1108.
5. C. Jimenez, M. Quincampoix, Y. H. Xu, Differential games with incomplete information on a continuum of initial positions and without Isaacs condition,Dynamic Games and Applications，March 2016, Volume 6, Issue 1, pp 82–96
4. Buckdahn, M. Quincampoix, C. Rainer, Yuhong Xu, Differential games with asymmetric information and without Isaacs condition, 1-21, International Journal of Game Theory，November 2016, Volume 45, Issue 4, pp 795–816
3. Xu Yuhong, Stochastic maximum principle for optimal control with multiple priors, Systems & Control Letters, 64, (2014), 114–118.
2. Xu Yuhong,Multidimensional backward stochastic differential equations with Left-Lipschitz coefficients, J.Math.Sci.Univ. Tok., 20 (1) (2013), 115-126.
1. Xu Yuhong, Probabilistic solutions for a class of path-dependent HJB equations, Stochastic Analysis and Applications, 31(3) (2013), 440-459.