师资

Moris Strub
助理教授
strub@sustech.edu.cn

个人简介:

Moris Strub于2019年10月加入南方科技大学商学院。他的主要研究方向是投资组合选择、行为金融学和经济学、金融数学、风险管理和智能投顾。Moris特别乐于使用数学作为解决问题的工具,这些问题需要来自各个领域的真知灼见。他曾于苏黎世联邦理工学院取得数学理学士学位及应用数学理学硕士学位,并于香港中文大学取得金融工程博士学位。在加入南方科技大学之前,他曾在香港中文大学担任博士后研究员,并在哥伦比亚大学担任助理研究员。

工作经历:

2018-2019: 香港中文大学 博士后
2017: 哥伦比亚大学 研究员
2014-2018: 香港中文大学 助教
2014: 奥纬咨询 实习生
2012-2013: 苏黎世联邦理工学院 助教

教育背景:

2014-2018: 香港中文大学金融工程博士
2012-2014: 苏黎世联邦理工学院应用数学理学硕士
2008-2013: 苏黎世联邦理工学院数学理学学士

研究领域:

投资组合选择

行为金融学和经济学

金融数学

风险管理

智能投顾

学术成果:

Preprints

  • 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]

Publications

  • 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]

Theses

  • 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).
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