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

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

  • X. Wang and J. Xia (2021): "Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets," SIAM Journal on Financial Mathematics 12, 1054-1111.
  • H. Jin, J. Xia, and X. Y. Zhou (2019): "Arrow-Debreu Equilibria for Rank-Dependent Utilities with Heterogeneous Probability Weighting," Mathematical Finance 29, 898-927.
  • J. Xia and X. Y. Zhou (2016): "Arrow-Debreu Equilibria for Rank-Dependent Utilities," Mathematical Finance 26, 558-588.
  • J. Xia (2011): "Risk Aversion and Portfolio Selection in a Continuous-Time Model," SIAM Journal on Control and Optimization 49, 1916-1937.