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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)

研究领域

金融计量 资产定价

近期论文

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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)

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