教授简介 研究领域 学术成果
常任教职副教授、博士生导师、滴水湖高级金融学院双聘教授。上海市青年拔尖人才，上海市浦江人才。管理科学与工程学会金融与风险管理分会常务理事、秘书长，中国管理现代化研究会管理与决策科学专业委员会理事，中国运筹学会金融工程与金融风险管理分会理事，中国优选法统筹法与经济数学研究会量化金融与保险分会理事。
主要研究领域为决策者行为特征对金融和管理的影响，复杂环境下的金融预测和决策，以及金融衍生产品的信息提取和应用，始终坚持数学、统计学与金融和管理科学的交叉研究。
在管理科学与工程领域顶级期刊Operations Research发表论文3篇，在计量经济学顶级期刊Journal of Econometrics发表论文1篇，在Mathematical Finance等国内外著名学术期刊发表论文40余篇。主持完成国家自然科学基金面上项目2项，青年项目1项。指导MBA学生获得校级优秀MBA论文奖。上海财经大学首届青年教师教学竞赛初赛二等奖，决赛三等奖。始终坚守一线教学，注重将学术前沿和创新创业精神培养融入教育教学。为本科生、硕士生和博士生讲授《运筹学》《金融风险管理》《金融衍生产品》《优化方法及其应用》等多门课程，主讲1门课程入选上海市一流线上线下混合本科课程。
行为金融、数量金融、金融计量、风险管理、项目管理
研究项目：
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
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
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
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.
