Moris Strub
Assistant Professor

Moris Strub joined the SUSTech Business School in October 2019. His main research directions are in the areas of Portfolio Selection, Behavioral Finance and Economics, Mathematical Finance, Risk Management, and Robo-Advising. Moris particularly enjoys applying mathematics to solve real-world problems which require insights from various fields. He has obtained a BSc in Mathematics and MSc in Applied Mathematics from ETH Zurich, both with distinction, and a PhD in Financial Engineering from the Chinese University of Hong Kong. Before joining SUSTech, he was a Postdoctoral Fellow at the Chinese University of Hong Kong and a Staff Associate at Columbia University.

Working Experience:

2018-2019: Postdoctoral Fellow at the Chinese University of Hong Kong

2017: Staff Associate at Columbia University

2014-2018: Teaching Assistant at the Chinese University of Hong Kong

2014: Intern at Oliver Wyman

2012-2013: Teaching Assistant at ETH Zurich

Educational Background:

2014-2018: PhD in Financial Engineering at the Chinese University of Hong Kong

2012-2014: MSc in Applied Mathematics with distinction from ETH Zurich

2008-2013: BSc in Mathematics with distinction from ETH Zurich


Research Interest:

Portfolio Selection

Behavioral Finance and Economics

Mathematical Finance

Risk Management

Robo Advising


Journal Papers:


  • Endogenization of the Reference Point Reduces the Effect of Loss Aversion for Portfolio Optimization (with Xue Dong He), [SSRN]

  • An Enhanced Mean-Variance Framework for Robo-Advising Applications (with Duan Li and Xiangyu Cui), submitted, [SSRN]


  • Reference Point Formation in Social Networks, Wealth Growth, and Inequality (with Youcheng Lou, Duan Li and Shouyang Wang), Journal of Economic Dynamics and Control, available online, 2021. [DOI,SSRN]

  • Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (with Xue Dong He and Thaleia Zariphopoulou), Mathematical Finance, available online. [DOI,SSRN]

  • Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes (with Xun Yu Zhou), Finance and Stochastics, available online. [DOI,SSRN]

  • A Note on Monotone Mean-Variance Preferences for Continuous Processes (with Duan Li), Operations Research Letters, Volume 48, Issue 4, Pages 397-400, 2020. [DOI,SSRN]

  • Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment (with Duan Li), Operations Research, Volume 68, Issue 1, Pages 199-213, 2020. [DOI,SSRN]

  • Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR (with Duan Li, Xiangyu Cui and Jianjun Gao), Journal of Economic Dynamics and Control, Volume 108, Pages 1-21, 2019. [DOI,SSRN]


  • Advances in Portfolio Selection: Reference Points, Conditional Value-at-Risk, Mean-Variance Induced Utility Functions and Predictable Forward Processes, (2018).

  • On Relations Between (NUPBR), Sigma-Martingale Densities, Utility Maximization and the Numéraire Portfolio, (2014).