张惜丽 - 浙江大学

个人简介

2015.1-至今浙江大学管理学院会计与财务管理副教授，博士生导师，硕士生导师 2012.2-2014.12 浙江大学管理学院会计与财务管理讲师，硕士生导师 2017.9-2018.8 滑铁卢大学计算科学系计算科学访问学者 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

研究领域

· 金融计量 · 资产定价

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）

Can mutual fund investors benefit from volatility managing? Evidence from China. Pacific-Basin Finance Journal, 2024, 83: 102228. (with Yiran Zheng, Donald Lien and Xiaojian Yu) Multivariate Regime Switching Model Estimation and Asset Allocation. Computational Economics, 2023, 61: 165-196. (with Kai Zheng and Weidong Xu) Arbitrage in the Hermite Binomial Market. Fractal and Fractional, 2022, 12(6): 702. (with Xuwen Cheng and Yiran Zheng) The dispersion of beta estimates and the investors' heterogeneous Beliefs:Evidence from the stock market in China. International Review of Economics & Finance, 2022,79:540-550.(with Jiawei Hong, Xiaojian Yu and Weilin Xiao) Pricing equity warrants in Merton jump-diffusion model with credit risk. Physica A, 2020, 557: 124883. (with Qing Zhou ) Least squares estimation for the drift parameters in the sub-fractional Vasicek processes. Journal of Statistical Planning and Inference, 2018, 197: 141–155. (with Weilin Xiao and Ying Zuo) 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）