石芸
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工作经历 2013年-2018年 上海大学 管理学院 讲师2019年-至今 华东师范大学 统计交叉科学研究院 研究员教育经历 2009-2013 香港中文大学 博士2006-2009 中国科学技术大学 硕士2002-2006 中国科学技术大学 本科开授课程 本科生课程:《行为金融学》《金融工程》研究生课程:《科技论文写作与LaTeX》科研项目 国家自然科学基金面上项目,“概率扭曲下的投资组合管理与资产定价研究”(71971083),2020.01-2023.12,48万元,项目主持人国家自然科学基金重点项目,“经济管理中复杂数据和复杂行为的分析方法及其应用”(71931004),2020.01-2024.12,230万元,子课题负责人国家自然科学基金青年项目,“基于目标设定与自我控制的时间不一致分析框架及其应用”(71601107),2017.01-2019.12,18万元,项目主持人上海市浦江人才计划C类,“期权交易对正股市场的影响分析及其在投资组合中的应用”(15PJC051),2015.01-2017.12,10万元,项目主持人研究领域
行为金融,金融工程""近期论文
[1] Y. Shi, X. Y. Cui, J. Yao and D. Li, 2015, Dynamic Trading with Reference Point Adaptation and Loss Aversion,Operations Research, 63(4), 789-806, SCI/SSCI.[2] Y. Shi, X. Y. Cui and D. Li, 2015, Discrete-time Behavioral Portfolio Selection under Prospect Theory, Journal of Economic Dynamics and Control, 61, 283-302, SSCI.[3] X. Y. Cui, D. Li and Y. Shi (Corresponding author), 2017, Self-coordination in Time Inconsistent Stochastic Decision Problems: A Planner-doer Game Framework, Journal of Economic Dynamics and Control, 75, 91-113, SSCI.[4] X. Y. Cui and Y. Shi (Corresponding author) and X. Lu,2017, Alleviating Time Inconsistency via a Competition Scheme,Naval Research Logistics, 64(5), SCI.[5] X. Y. Cui, D. Li, X. Li and Y. Shi (Corresponding author), 2017, Time Consistent Behavioral Portfolio Policy for Dynamic Mean-variance Formulation, Journal of the Operational Research Society, 68, 1647-1660, SCI/SSCI.[6] W. P. Wu, J. J Gao, D. Li and Y. Shi, 2018, Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise, IEEE Transactions on Automatic Control, forthcoming, SCI.[7] X. Y. Cui, J. J. Gao, Y. Shi(Corresponding author), and S.S. Zhu, 2018, Time-Consistent Strategy and Self-Coordination Strategy for Multi-period Mean-Conditional Value-at-Risk Portfolio Selection, European Journal of Operations Research, forthcoming, SCI.[8] Y. Shi, X. Li and X. Y. Cui, 2017, Better than Pre-committed Optimal Mean-Variance Policy in a Jump Diffusion Market, Mathematical Methods of Operations Research, 85, 3, 327-347, SCI.[9] L. M. Peng, X. Y. Cui and Y. Shi (Corresponding author), 2018, Time Consistent Portfolio Policy for Asset-Liability Mean-Variance Model with State-dependent Risk Aversion, Journal of the Operations Research Society of China, 6(1), 175-188. EI.运筹学会金融工程与风险管理分会 常务理事管理科学与工程学会金融和风险管理研究会 理事国家自然科学基金项目同行评议专家 相关热点