朱书尚

朱书尚的个人简介

朱书尚，男，博士，中山大学管理学院教授、博士生导师。

研究领域

金融工程与风险管理（投资决策优化、系统性风险管理、金融传染、投资者行为等方向）

人物经历

教育背景

2000/9-2003/7，中国科学院，管理科学与工程，获管理学博士学位

1997/9-2000/6，湘潭大学，应用数学，获理学硕士学位

1993/9-1997/6，湘潭大学，数理统计，获理学学士学位

职业经历

2014/7-至今，中山大学，管理学院，教授

2012/1-2014/6，中山大学，管理学院，副教授

2003/7-2012/1，复旦大学，管理学院，讲师、副教授

2013/7-2013/8，2010/8，2009/7-2009/8，2008/7-2008/8，2006/7-2006/8，2003/1，2001/10-2001/11，香港中文大学，访问学者

2005/4-2005/8，京都大学，COE研究员

教授课程

投资学

概率论

投资银行管理

计量经济学

最优化理论与方法

兼任职务

学术组织兼职：

2010/4-现在，中国运筹学会金融工程与金融风险管理分会 常务理事 秘书长

2010/12-现在，中国系统工程学会金融系统工程专业委员会 理事

2017/8-现在，中国优选法统筹法与经济数学研究会经济数学与管理数学分会 常务理事

客座编委：

Yang, X. G. and S. S. Zhu, (Guest editors) Special Issue on New Challenges in Financial Optimization and Risk Management of Journal of the Operations Research Society of China, vol.6(1), 2018.

Sun, X. L., S. S. Zhu, Z. F. Li and Weber, G.-W. Weber (Guest editors), Special Issue on Optimization and Dynamics in Finance of Dynamics of Continuous, Discrete and Impulsive Systems (Series B), vol.17(1b), 2010.

论文评审：

管理科学学报、系统工程学报、应用数学学报、系统工程理论与实践、系统科学与数学、Management Science, Operations Research, Journal of Economic Dynamics and Control, Journal of Banking and Finance, Journal of Risk, Journal of Computational Finance, European Journal of Operations Research, IIE Transactions, China Finance Review International 等期刊审稿人。

学术成果

科研项目

国家自然科学基金面上项目，71471180，Forward-Looking与Backward-Looking相结合的投资组合管理，2015/1-2018/12，主持。

国家自然科学基金面上项目，71071036，两类金融优化问题的研究――以消除理论与实践的差距为目标， 2011/1-2013/12，主持。

国家自然科学基金青年项目，70401009，多阶段投资组合管理中几个问题的研究，2005/1-2007/12，13万，主持。

发表论文

Kang, Z. L., X. Li, Z. F. Li , S. S. Zhu, Data-driven robust mean-CVaR portfolio selection under distribution ambiguity, Quantitative Finance, 19(1): 105~121, 2019.

Cui, X. Y., J. J. Gao, Y. Shi, S. S. Zhu, Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection, European Journal of Operational Research, 276, 781-789, 2019.

Cui, X. T., X. L. Sun, S. S. Zhu（通讯）, R J. Jiang and D. Li, Portfolio optimization with nonparametric Value-at-Risk: a block coordinate descent method, INFORMS Journal on Computing, 30(3), 454-471, 2018.

Zhu, W., C. H. Zhang, Q. Liu and S. S. Zhu（通讯）, Incorporating convexity in bond portfolio immunization using multi-factor model: a semidefinite programming approach, Journal of the Operations Research Society of China, 6 (1), 3-23, 2018. Special Issue on New Challenges in Financial Optimization and Risk Management.

Cui, X. T., S. S. Zhu（通讯）, D. Li and J. Sun, Meanu2013variance portfolio optimization with parameter sensitivity control, Optimization Methods & Software, 31, 755-774, 2016.

Zhu, S. S., X. D. Ji and D. Li, Robust set-valued scenario approach for handling modeling risk in portfolio optimization, Journal of Computational Finance, 19, 11-40, 2015.

Zhu, S. S., M. J. Fan and D. Li, Portfolio management with robustness in both prediction and decision: A mixture model based learning approach, Journal of Economic Dynamics and Control, 48, 2014, 1-25.

Cui, X. T., S. S. Zhu（通讯）, 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, 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., 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.