马成虎

教授 博士生导师 财务金融系 思源教授楼220室

电话：25011075

传真：65648384

Email：machenghu@fudan.edu.cn

研究方向：投资策略, 资产定价, 金融衍生品, 利率期限结构, 金融反问题

教师个人信息

教育背景：

教育背景：

荣誉称号：

荣誉称号：

学术经历：

学术经历：

科研获奖：

科研获奖：

2001.12,Best Paper Award,The 10th Conference on the Theories and Practices of Securities and Financial Markets
2001.12,Best Paper Award,The 10th Conference on the Theories and Practices of Securities and Financial Markets

教学获奖：

教学获奖：

期刊论文：

期刊论文：

1. Xiaoquan Liu, Yi Cao, Chenghu Ma, and Liya Shen. 2019. Wavelet-based option pricing: An empirical study. European Journal of Operational Research 272(3).1132-1142.
2. Emmanuel Haven, Andrei Khrennikov, Chenghu Ma, and Sandro Sozzo. 2018. Introduction to quantum probability theory and its economic applications. Journal of Mathematical Economics 78.127-130.
3. Chenghu Ma, Jianqiang Hu, and Yifan Xu. 2018. Margins on short sales and equilibrium price indeterminacy. Journal of Mathematical Economics 74.79-92.
4. Tiandu Wang, Chenghu Ma, and Qian Sun. 2017. The interaction between security lending market and security trading market. Pacific-Basin Finance Journal 46(Part B).309-322.
5. Lin Huang, Chenghu Ma, and Hiroyuki Nakata. 2017. w-MPS risk aversion and the shadow CAPM: Theory and empirical evidence. The European Journal of Finance 23(11).947-973.
6. Tiantian Wang and Chenghu Ma. 2017. A re-examination of expectation hypothesis with time varying term premium. Journal of Interdisciplinary Mathematics 20(1).1-12.
7. Tiantian Wang and Chenghu Ma. 2016. Combined effect of macroeconomic variables on term premiums. ЕКОНОМ?КА ТА УПРАВЛ?ННЯ (4).115-122.
8. Jian Chen and Chenghu Ma. 2016. Option pricing based on alternative jump size distributions. Frontiers of Economics in China 11(3).439-467.
9. Jian Chen and Chenghu Ma. 2016. Risk aversion, fanning preference and volatility smirk on S&P 500 index options. Applied Economics 48(35).3277–3292.
10. Phelim P. Boyle and Chenghu Ma. 2013. w-MPS risk aversion and the CAPM. Theoretical Economics Letters 3(6).306-316.
11. Chenghu Ma and Jiankang Zhang. 2013. p-Weakly constrained Pareto efficiency and aggregation in incomplete markets. Social Choice and Welfare 41(3).605-623.
12. Ma, Chenghu. 2011. w-MPS risk aversion and continuous-time MV analysis in presence of lévy jumps. Risk and Decision Analysis 2(4).221-236.
13. Chenghu Ma, Wing-Keung Wong. 2010. Stochastic Dominance and Risk Measure: A Decision-theoretic Foundation for VaR and C-VaR. European Journal of Operational Research 207(2).927-935.
14. Chenghu Ma. 2009. Uncertainty Aversion and A Theory of Incomplete Contract. Game Theory and Applications Vol.13.85-103.
15. Emmanuel Haven, Xiaoquan Liu, Chenghu Ma, Liya Shen . 2009. Revealing the Implied Risk-neutral MGF from Options: The Wavelet Method . Journal of Economic Dynamics & Control Vol.33(3).692-709.
16. Wing-keung Wong, Chenghu Ma . 2008. Preferences over Location-scale Family . Economic Theory Vol.37.119-146.
17. Chenghu Ma. 2007. Preferences, Levy Jumps and Option Pricing . Annals of Financial Economics Vol.3.1-39.
18. Chenghu Ma . 2006. Intertemporal Recursive Utility and An Equilibrium Asset Pricing Model in The Presence of Levy Jumps. Journal of Mathematical Economics Vol.42(2).131-160.
19. Chenghu Ma. 2003. Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach. Annals of Economics and Finance Vol.4(2).401-426.
20. Xiao Luo, Chenghu Ma . 2003. " Agreeing to Disagree" Type Results: A Decision-theoretic Approach. Journal of Mathematical Economics Vol.39(8).849-861 .
21. Xiao Luo, Chenghu Ma . 2001. Stable Equilibrium in Beliefs in Extensive Games with Perfect Information . Journal of Economic Dynamics and Control Vol.25(11).1801-1825.
22. Chenghu Ma. 2001. A No-Trade Theorem under Knightian Uncertainty with General Preferences . Theory and Decision Vol.51(2-4).173-181.
23. Chenghu Ma. 2000. An Existence Theorem of Intertemporal Recursive Utility in the Presence of Levy Jumps . Journal of Mathematical Economics Vol.34(4).509-526 .
24. Chenghu Ma . 2000. Uncertainty Aversion and Rationality in Games of Perfect Information . Journal of Economic Dynamics and Control Vol.24(3).451-482.
25. Chenghu Ma . 1998. Attitudes toward the Timing of Resolution of Uncertainty and the Existence of Recursive Utility. Journal of Economic Dynamics & Control Vol.23(1) .97-112.
26. Chenghu Ma . 1998. A Discrete-Time Intertemporal Asset Pricing Model: GE Approach with Recursive Utility . Mathematical Finance Vol.8(3) .249-275.
27. Chenghu Ma . 1993. Market Equilibrium with Heterogeneous Recursive-utility-maximizing Agents. Economic Theory Vol.3(2) .243-266.
28. 张二华，马成虎，吴吉林. 基于动态因果结构推断的SVAR模型识别：算法和仿真. 系统工程理论与实践, 2016, 36(6): 1442-1452.
29. 林祥亮，马成虎，范龙振. 离散累积前景理论下的投资组合选择. 系统工程学报, 2015, 30(4): 494-508.
30. 龚健，马成虎. 基于隐马尔可夫链的上证股指建模. 金融, 2012, 2(1): 45-49.
31. 汪先珍，马成虎. 中国股市价格的跳跃行为. 中国金融评论, 2009, vol.3(4): 31-66,115-150.

会议/研讨会论文：

会议/研讨会论文：

著作中的文章：

著作中的文章：

Chenghu Ma. Asset Pricing and Observational Equivalence in the Presence of Levy Jumps.In Changing Models. null, 2005.
Xiao Luo, Chenghu Ma . Recent Advancements in the Theory of Choice under Knightian Uncertainty and Their Applications in Economics.In The Current State of Economic Science. Vol.2, 1999.

学术专著：

学术专著：

Chenghu Ma. 2010. Advanced Asset Pricing Theory. Imperial College Press, London.

翻译著作：

翻译著作：

著作中的章节：

著作中的章节：

教材和其他：

教材和其他：

马成虎. 2016. 金融经济学原理. 清华大学出版社, 北京.
马成虎. 2010. 高级资产定价理论. 中国人民大学出版社, 北京.

科研项目：

科研项目：

2013.01 - 2016.12, 项目负责人, 投资者偏好、衍生品交易与金融反问题研究, 国家自然科学基金面上项目.
2009.01 - 2011.12, 项目负责人, 关于MPS-风险规避，风险控制和跨期动态交易策略的理论和实证研究, 国家自然科学基金面上项目.
2000.11 - 2003.10, 项目负责人, Theory of Choice under Uncertainty and Its Applications in Economics and Finance, Economics and Social Research Council(ESRC) .
1997.06 - 2000.05, 项目负责人, Short-selling and Market Equilibrium, Fonds pour les Chercheurs et L'Aide A la Recherche.
1994.04 - 1997.03, 项目负责人, Equilibria in Economics with Incomplete Capital Market, Social Science and Humanity Research Council of Canada(SSHRC).

学术任职：

学术任职：

2011.01 - 至今, Member of Editorial Board, Journal of Risk and Financial Management.
2010.03 - 至今, Organizing Committee Member, Inaugural Conference of Chinese Game Theory and Experimental Economics Association.
2010.03 - 至今, Session Organizer, The 10th Society for the Advancement in Economic Theory Conference .
2010.01 - 至今, Program Committee Member, The 7th Asian General Equilibrium Theory Workshop.
2009.11 - 至今, 评审专家, 教育部“长江学者奖励计划”.
2009.09 - 2013.08, World Class University Distinguished Professor, Ajou University.
2009.05 - 至今, Scientific Committee Member, International Research Forum: What Can the Academic Community Learn from the Global Crisis?.
2009.04 - 至今, 同行评议专家, 国家自然科学基金委员会管理科学一处管理科学与工程学科.
2008.12 - 至今, Associate Editor, Journal of Applied Mathematics and Decision Science.
2008.07 - 至今, Guest Editor, Journal of Mathematical Economics.
2007.08 - 至今, Member of Editorial Board, Annals of Financial Economics.
2006.09 - 至今, Member of Editorial Board, Finanmetrica.

社会兼职：

社会兼职：

学术会议：

学术会议：

2012.06, The 12th Society for the Advancement of Economic Theory Conference, null, Brisbane, Australia.
2012.06, The 7th Bachelier Finance Society World Congress 2012 (BFS2012), Aggregation and Constrained Optimal Risk Sharing Rule in Incomplete Market, Sydney, Australia.

工作论文：

工作论文：

案例：

案例：

社会活动：

社会活动：