姓　　名：崔翔宇
职　　称：副教授
研究方向：行为金融，数量金融，风险管理，动态投资组合
教授课程：风险管理，数量金融，金融衍生产品，保险精算
E - mail：cui.xiangyu@mail.shufe.edu.cn；电话：


研究项目
序号 项目名称 项目编号 项目来源 起止时间 项目经费
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 30万元
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 ** 国家自然科学基金青年项目 2013.1-2015.12 22万元
3 基于期权信息的预测与投资组合选择研究 ** 国家自然科学基金面上项目 2017.1-2020.12 49.3万元

研究领域
行为金融：主要关注金融市场投资者非理性行为的成因，及其在其个体决策和宏观市场中的影响。
数量金融：主要关注衍生产品定价的特点，及其交易对股票市场的影响。
风险管理：主要关注包含衍生产品的投资组合和风险管理。


教育经历
2006年-2010年
香港中文大学，系统工程与工程管理系，博士；导师：李端教授
?2003年-2006年
中国科学技术大学，统计与金融系，经济学硕士；导师：张曙光教授
1999年-2003年
中国科学技术大学，统计与金融系，经济学学士

工作经历
2017.7-至今，上海财经大学，统计与管理学院，副教授(with tenure)
2015.7-2017.7，上海财经大学，统计与管理学院，副教授(without tenure)
2011.7-2015.7，上海财经大学，统计与管理学院，助理教授
2010.7-2011.7，香港中文大学，系统工程与工程管理系，博士后研究员

研究成果
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.


奖励，荣誉
上海财经大学首届青年教师教学竞赛经济学、管理学组二等奖；决赛三等奖。
《Dynamic Trading with Reference Point Adaptation and Loss Aversion》获得第二十二届中振科研基金优秀论文奖。
《Optimal multi-period mean-variance policy under no-shorting constraint》获得第二十三届中振科研基金优秀论文奖。

社会工作
担任《Operations Research》，《Mathematical Finance》，《Journal of Economic Dynamics & Control》，《Mathematical Methods of Operations Research》，《European Journal of Operational Research》，《Journal of the Operational Research Society》等国际期刊的审稿人。担任《应用数学学报》，《数理统计与管理》，《应用概率统计》等中文期刊的审稿人。


学术报告（2008年以来）
Resolving time inconsistency through a competition scheme. Presentation at SIAM Conference on Financial Mathematics & Engineering (FM16), Austin, USA, Nov. 17-19, 2016.
Resolving time inconsistency through a competition scheme. Presentation at Guangzhou 2016 Symposium on Financial Engineering and Risk Management (FERM 2016), Guangzhou, China, Jun. 12-13, 2016.
Competition and Time Inconsistency. Presentation at the Third Asian Quantitative Finance Conference (AQFC), Hong Kong, July 6-8, 2015.
Multiperiod Mean-CVaR Portfolio Selection. Presentation at The third international conference on Modelling, Computation and Optimization in Information Systems and Management Sciences MCO 2015, Metz, France, May 11-13, 2015.
Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation。第七届全国金融数学与金融工程学科建设与学术研讨会，2014年7月，甘肃兰州
Time inconsistency, self-control and internal harmony: A planner-doer game framework。第十二届金融系统工程与风险管理国际年会，2014年8月，山西太原
Overcoming Time Inconsistency in Efficiency by Relaxing Self-Financing Restriction. Presentation at INFORMS 2013, Minneapolis America, October 4-9, 2013.
Optimal Multiperiod Mean-Variance Policy under No-shorting Constraint. Presentation at 7th World Congress of The Bachelier Finance Society, Sydney Australia, June 19-22, 2012.
Better than Dynamic Mean-Variance Policy in Market with all Risky Assets. Presentation at 6th World Congress of The Bachelier Finance Society, Toronto, Canada, June 22-26, 2010.
An Investment Strategy That Dominates the Dynamic Mean- Variance Policy. Presentation at SIAM Conference on Financial Mathematics & Engineering in New Jersey, USA, November 21-22, 2008.