中山大学管理学院金融学/金融硕士导师介绍：朱书尚

      
  个人简介

   姓名：朱书尚
  职称：教授
  系所：财务与投资系
  办公电话：020-84112729
  E-mail：zhuss@mail.sysu.edu.cn
  详细地址:广州市新港西路135号
  邮编:510275

  工作经历

   中山大学管理学院副教授（2012.2-2014.6)教授（2014.6-）
  复旦大学管理学院讲师（2003.7-2009.11）副教授（2009.12-2012.1）

  学研经历

   湘潭大学数学系数理统计专业理学学士(1993.9-1997.6)
  湘潭大学数学系应用数学专业理学硕士(1997.9-2000.6)
  中科院数学与系统科学研究院管理科学与工程专业管理学博士学位(2000.9-2003.8)
  香港中文大学访问学（2001.10-11，2003.1,2006.7-8，2008.7-8,2009.7-8.,2010.8）
  京都大学COE研究员（2005.4-2005.8）

  研究兴趣

   投资组合选择、金融风险管理

  科研项目

   主持国家自然科学基金项目“两类金融优化问题的研究——以消除理论与实践的差距为目标”（面上项目，2011.1-2013.12，批号：71071036）
  主持国家自然科学基金项目“多阶段投资组合管理中几个问题的研究”（青年项目，已完成，2005.1-2007.12批号：70401009）

  近期发表论文

   Cui, X. T., S. S. Zhu, X. L. Sun,  and D. Li, Nonlinear portfolio selection using approximate parametric Value-at-Risk, Journal of Banking and Finance, 37, 2124-2139, 2013.
  Li, Y. J., S. S. Zhu, D. H. Li and D. Li, Active allocation of systematic risk and control of risk sensitivity in portfolio optimization, European Journal of Operational Research, 228, 556-570, 2013.
  Cui, X. Y., D. Li, S. Y. Wang and S. S. Zhu, Better than dynamic mean-variance: Time inconsistency and free cash flow stream, Mathematical Finance, 22(2), 346-378, 2012.
  Zhu, S. S., X. T. Cui, X. L. Sun and D. Li, Factor-risk constrained mean-variance portfolio selection: Formulation and global optimization solution approach, Journal of Risk, 14(2), 51-89, Winter 2011/2012.
  Li, D., X. Y. Cui and S. S. Zhu, Time consistency issue in multi-objective optimization, Journal of Multi-Criteria Decision Analysis, 18, 143-149, 2011.
  黄琼、朱书尚、姚京，投资组合策略的有效性检验：基于中国市场的实证分析，管理评论，23(7), 3-10, 2011.
  Zhu, S. S., D. Li and X. L. Sun, Portfolio selection with marginal risk control, Journal of Computational Finance, 14(1), 3-28，2010.
  Zhu, S. S., G. Z. Ruan and X. X. Huang, Some fundamental issues of basic line search algorithm for linear programming problems, Optimization, 59(8), 1283-1295, 2010.
  Huang, D. S., S. S. Zhu, F. J. Fabozzi and M. Fukushima, Portfolio selection under distributional uncertainty: a relative robust CVaR approach, European Journal of Operational Research, 203,185–194, 2010.
  Zhu, S. S., M. Fukushima, Worst-case conditional Value-at-Risk with application to robust portfolio management, Operations Research, 57(5), 1155-1168, 2009.
  Zhu, S. S., D. Li and S. Y. Wang, Robust portfolio selection under downside risk measures, Quantitative Finance, 9(7), 869-885, 2009.
  Huang, D. S., S. S. Zhu, F. J. Fabozzi and M. Fukushima, Portfolio selection with uncertain exit time: a robust CVaR approach, Journal of Economic Dynamics and Control, 32, 594-623, 2008.
  Ji, X. D., S. S. Zhu, S. Y. Wang and S. Z. Zhang，A stochastic linear goal programming approach to multi-stage portfolio management based on scenario generation via linear programming, IIE Transactions, 37, 957-969, 2005.
  Zhu, S. S., D. Li and S. Y. Wang, Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation, IEEE Transactions on Automatic Control, 49(3), 447-457, 2004.
  Ruan, G. Z., S. Y. Wang, Y. Yamamoto and S. S. Zhu, Optimality conditions and geometric properties of a linear multilevel programming problem with dominated objective functions, Journal of Optimization Theory and Applications, 123(2), 409-429, 2004.
  朱书尚、李端、周迅宇、汪寿阳，论投资组合与金融优化——对理论研究和实践的分析与反思，管理科学学报，7(6), 1-12, 2004.
  Lai, K. K., S. Y. Wang, J. P. Xu, S. S. Zhu and Y. Fang, A class of interval linear programming problems and its application to portfolio selection, IEEE Transactions on Fuzzy Systems, 10(6), 698-704, 2002. Links

 

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