个人简介
工作经历
2015.1-至今浙江大学管理学院会计与财务管理副教授
2012.2-2014.12浙江大学管理学院会计与财务管理讲师
学习经历:
2009.9-2011.9滑铁卢大学组合优化系投资组合优化联合培养博士
2007.9-2011.12华南理工大学工商管理学院管理决策与系统理论博士
2005.9-2007.6华南理工大学数学科学学院数理统计及经济信息管理硕士
2001.9-2005.6华南理工大学应用数学系应用数学与应用软件本科
教学与课程
本科生课程:计量经济学、财务管理
研究生课程:中级计量经济学(全英文)、高级研究方法论、会计英语
科研
国家自然科学基金面上项目:基于高频数据的金融资产价格过程模型设定检验与协同波动率估计,2017.01-2020.12
国家自然科学基金青年项目:奈特不确定性下动态投资组合选择模型与算法研究,2014.01-2016.12
奖励荣誉
2013.03:第六届高等学校科学研究优秀成果奖(人文社会科学)
近期论文
查看导师新发文章
(温馨提示:请注意重名现象,建议点开原文通过作者单位确认)
Arbitrage with fractional Gaussian processes.Physica A,2017,471:620–628.(with Weilin Xiao)
Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model.Physica A,2016,458:219–238.(with Weilin Xiao)
Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets.Communications in Statistics-Simulation and Computation.2015,44(8):2117-2136.(with Weilin Xiao and Weiguo Zhang)
Parameter identification for the discretely observed geometric fractional Brownian motion.Journal of Statistical Computation and Simulation,2015,85(2):269-283.(with Weilin Xiao and Weiguo Zhang)
Loss-aversion with kinked linear utility functions.Computational Economics,2014,44(1):45-65.(with Michael J.Best,Robert R.Grauer,and Jaroslava Hlouskova)
Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes.Mathematical Problems in Engineering,2014,1-12.
The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate.Physica A,2014,394(15),320-337.(with Xiaoyan Chen,Weilin Xiao,and Weiguo Zhang)
Multi-period portfolio optimization under possibility measures.Economic Modelling,2013,35,401-408.(with Weilin Xiao and Weiguo Zhang)
Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm.Physica A,2012,391(24):6418–6431.(with Weilin Xiao,Weiguo Zhang,and Xiaoli Zhang)
Degeneracy resolution for bilinear utility functions.Journal of Optimization Theory and Applications,2011,150(3):615-634.(With Michael J.Best)
Portfolio adjusting optimization with added assets and transaction costs based on credibility measures.Insurance:Mathematics and Economics,2011,49(3):353-360.(with Weiguo Zhang and Yunxia Chen)
Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm.Computational Economics,2010,36(3):191-200.(With Weiguo Zhang,Weijun Xu and Weilin Xiao)
Portfolio selection under possibilistic mean-variance utility and a SMO algorithm.European Journal of Operational Research 2009,197(2):693-700.(With Weiguo Zhang and Weilin Xiao)