Xingbo Xu

Goldman Sachs, Associate
Alumni
PhD in Industrial Engineering & Operations Research

Before joining IEOR, Xingbo received his B.S. and M.S. in mathematics from Zhejiang University and Purdue University, respectively.

Research Interests:
- Robustness of portfolio optimization
- Portfolio rebalancing error
- Rare event simulation, Stochastic analysis, Dynamic control, Model risk Risk Management and Statistical Arbitrage

Publications: 
 1. Importance Sampling for Tail Risk in Discretely Rebalanced Portfolio, P. Glasserman and X. Xu, Proceedings of the Winter Simulation Conference 2010.
2. Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices, P. Glasserman and X. Xu, Stochastic Systems, Vol 1, 1-37, 2011.
3. Robust Portfolio Control with Stochastic Factor Dynamics, P. Glasserman and X. Xu, revised and resubmitted to Operations Research.
4. Robust Risk Measurement and Model Risk, P. Glasserman and X. Xu, submitted to Quantitative Finance.

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