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.
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
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
Behavioral Finance and Economics
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]
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).