上海财经大学 > 教师主页 > 教师
姓  名:崔翔宇
职  称:副教授
研究方向:行为金融,数量金融,风险管理,动态投资组合
教授课程:风险管理,数量金融,金融衍生产品,保险精算
E - mail:cui.xiangyu@mail.shufe.edu.cn;电话:021-65904311
研究项目
序号 项目名称 项目编号 项目来源 起止时间 项目经费
1 信用及投资风险管理的理论方法与实证研究 12PJC051 上海市浦江人才计划 2012.10-2014.9 30万元
2 均值风险动态投资组合模型中时间一致性问题的理论和实证研究 71201094 国家自然科学基金青年项目 2013.1-2015.12 22万元
3 基于期权信息的预测与投资组合选择研究 71671106  国家自然科学基金面上项目 2017.1-2020.12 49.3万元
研究领域

行为金融:主要关注金融市场投资者非理性行为的成因,及其在其个体决策和宏观市场中的影响。

数量金融:主要关注衍生产品定价的特点,及其交易对股票市场的影响。

风险管理:主要关注包含衍生产品的投资组合和风险管理。

教育经历
2006年-2010年
香港中文大学,系统工程与工程管理系,博士;导师:李端教授

2003年-2006年
中国科学技术大学,统计与金融系,经济学硕士;导师:张曙光教授
1999年-2003年
中国科学技术大学,统计与金融系,经济学学士
工作经历

2017.7-至今,上海财经大学,统计与管理学院,副教授(with tenure)

 

2015.7-2017.7,上海财经大学,统计与管理学院,副教授(without tenure)

 

2011.7-2015.7,上海财经大学,统计与管理学院,助理教授

 

2010.7-2011.7,香港中文大学,系统工程与工程管理系,博士后研究员

研究成果

JOURNAL PUBLICATIONS

1. Dynamic Trading with Reference Point Adaptation and Loss Aversion (with Yun Shi, Jing Yao and Duan Li) Operations Research, 63(4), 2015, 789-806.

 

2. Mean-variance policy for discrete-time cone constrained markets: Time consistency in efficiency and minimum-variance signed supermartingale measure (with Duan Li and Xun Li), Mathematical Finance, 27(2), 2017, 471-504.

 

3. Better Than Dynamic Mean-Variance: Time Inconsistency and Free Cash Flow Stream (with Duan Li, Shouyang Wang and Shushang Zhu) Mathematical Finance, 22, 2012, 345-378.

 

4. Self-coordination in time inconsistent stochastic decision problems: A planner-doer game framework (with Duan Li and Yun Shi), Journal of Economic Dynamics & Control, 75, 2017, 91-113. 

 

5. Alleviating Time Inconsistent Behaviors via a Competition Scheme (with Yun Shi and Lu Xu), Naval Research Logistics, 2017, forthcoming.

 

6. A Mean-Field Formulation for Optimal Multi-Period Asset-Liability Mean-Variance Portfolio Selection with an Uncertain Exit Time (with Xu Li, Xianping Wu and Lan Yi), Journal of the Operational Research Society, 2017, forthcoming.

 

7. Time consistent behavioral portfolio policy for dynamic mean-variance formulation (with Duan Li, Xun Li and Yun Shi) Journal of the Operational Research Society, 2017, forthcoming.

 

8. Better Than Pre-Committed Optimal Mean-Variance Policy in a Jump Diffusion Market (with Xun Li and Yun Shi), Mathematical Methods of Operations Research, 85(3), 2017, 327-347.

 

9. Dynamic mean-VaR portfolio selection in continuous time (with Jianjun Gao, Duan Li and Ke Zhou), Quantitative Finance, 2017, forthcoming.

 

10. Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion (with Lu Xu and Yan Zeng) Optimization Letters, 10, 2016, 1681-1691.

 

11. Discrete-time Behavioral Portfolio Selection under Cumulative Propsect Theory (with Yun Shi and Duan Li) Journal of Economic Dynamics & Control, 61, 2015, 283-302.

 

12. Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach (with Jianjun Gao, Duan Li and Shouyang Wang) Automatica, (regular paper) 54, 2015, 91-99.

 

13. Classical Mean-Variance Model Revisited: Pseudo Efficiency (with Duan Li and Jiaan Yan) Journal of the Operational Research Society, 66, 2015, 1646-1655.

 

14. Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection (with Xun Li and Duan Li) IEEE Transactions on Automatic Control,  (regular paper) 59, 2014, 1833-1844.

 

15. Optimal multiperiod mean-variance policy under no-shorting constraints (with Jianjun Gao, Xun Li and Duan Li) European Journal of Operational Research, 234, 2014, 459-468.

 

16. A Mean-Field Formulation for Optimal Multi-Period Mean-Variance Portfolio Selection with an Uncertain Exit Time (with Lan Yi, Xianping Wu and Xun Li) Operations Research Letters, 42, 2014, 489-494.

 

17. Time Consistency Issue in Multiobjective Optimization (with Duan Li and Shushang Zhu) Journal of Multi-Criteria Decision Analysis, 18, 2011, 143-149.

 

INVITED CONTRIBUTIONS

1. Time Inconsistency and Self-Control Optimization Problems: Progress and Challenges (with Yun Shi), in Optimization and Control for Systems in the Big-Data Era, International Series in Operations Research & Management Science 252, edited by T. M. Choi et al., Springer International Publishing AG, 2017,33-42.

 

2. Continuous-time Mean-Variance Portfolio Selection with Finite Transactions (with Jianjun Gao and Duan Li) in Stochastic Analysis and Applications to Finance: Essays in Honour of Jia-an Yan, edited by Tusheng Zhang and Xunyu Zhou, World Scientific Publishing Co. Pte. Ltd., Singapore, 2012, 77-98.

奖励,荣誉

上海财经大学首届青年教师教学竞赛经济学、管理学组二等奖;决赛三等奖。

 

《Dynamic Trading with Reference Point Adaptation and Loss Aversion》获得第二十二届中振科研基金优秀论文奖。

 

《Optimal multi-period mean-variance policy under no-shorting constraint》获得第二十三届中振科研基金优秀论文奖。

 

社会工作

担任《Operations Research》,《Mathematical Finance》,《Journal of Economic Dynamics & Control》,《Mathematical Methods  of Operations Research》,《European Journal of Operational Research》,《Journal of the Operational Research Society》等国际期刊的审稿人。担任《应用数学学报》,《数理统计与管理》,《应用概率统计》等中文期刊的审稿人。

 

学术报告(2008年以来)

Resolving time inconsistency through a competition scheme. Presentation at SIAM Conference on Financial Mathematics & Engineering (FM16), Austin, USA, Nov. 17-19, 2016.

 

Resolving time inconsistency through a competition scheme. Presentation at Guangzhou 2016 Symposium on Financial Engineering and Risk Management (FERM 2016), Guangzhou, China, Jun. 12-13, 2016.

 

Competition and Time Inconsistency. Presentation at the Third Asian Quantitative Finance Conference (AQFC), Hong Kong, July 6-8, 2015.

 

Multiperiod Mean-CVaR Portfolio Selection. Presentation at The third international conference on Modelling, Computation and Optimization in Information Systems and Management Sciences MCO 2015, Metz, France, May 11-13, 2015.

 

Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation。第七届全国金融数学与金融工程学科建设与学术研讨会,2014年7月,甘肃兰州 

 

Time inconsistency, self-control and internal harmony: A planner-doer game framework。第十二届金融系统工程与风险管理国际年会,2014年8月,山西太原

 

Overcoming Time Inconsistency in Efficiency by Relaxing Self-Financing Restriction. Presentation at INFORMS 2013, Minneapolis America, October 4-9, 2013.

 

Optimal Multiperiod Mean-Variance Policy under No-shorting Constraint. Presentation at 7th World Congress of The Bachelier Finance Society, Sydney Australia, June 19-22, 2012.

 

Better than Dynamic Mean-Variance Policy in Market with all Risky Assets. Presentation at 6th World Congress of The Bachelier Finance Society, Toronto, Canada, June 22-26, 2010.

 

An Investment Strategy That Dominates the Dynamic Mean- Variance Policy. Presentation at SIAM Conference on Financial Mathematics & Engineering in New Jersey, USA, November 21-22, 2008.