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
- Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion, submitted, (with Xue Dong He and Thaleia Zariphopoulou), 2019. [SSRN]
- 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]
- Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes (with Xun Yu Zhou), submitted, 2018. [SSRN]
- Reference Point Formation in Social Networks, Wealth Growth, and Inequality (with Youcheng Lou, Duan Li and Shouyang Wang), submitted, [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).