復(fù)旦大學(xué)管理學(xué)院財務(wù)金融系(專業(yè)學(xué)位)金融學(xué)老師：馬成虎 正文

教授
財務(wù)金融系
思源教授樓220室
25011075(TEL)
65648384(FAX)
machenghu@fudan.edu.cn
研究方向：    投資策略, 資產(chǎn)定價, 金融衍生品, 利率期限結(jié)構(gòu), 金融反問題

?教育背景：
博士, 經(jīng)濟(jì)學(xué), 加拿大多倫多大學(xué)
碩士, 數(shù)學(xué), 山東大學(xué)
學(xué)士, 數(shù)學(xué), 山東大學(xué)

?學(xué)術(shù)經(jīng)歷：
2009.06--2009.08, 訪問教授, 經(jīng)濟(jì)研究學(xué)院，日本京都大學(xué)
2004.01--2004.05, 訪問副教授, 新加坡國立大學(xué)數(shù)學(xué)系

?科研獲獎：
2001.12, Best Paper Award, The 10th Conference on the Theories and Practices of Securities and Financial Markets

?學(xué)術(shù)任職：
2011.01—, Member of Editorial Board, Journal of Risk and Financial Management
2010.03—, Organizing Committee Member, Inaugural Conference of Chinese Game Theory and Experimental Economics Association
2010.03—, Session Organizer, The 10th Society for the Advancement in Economic Theory Conference
2010.01—, Program Committee Member, The 7th Asian General Equilibrium Theory Workshop
2009.11—, 評審專家, 教育部“長江學(xué)者獎勵計劃”
2009.09—2013.08, World Class University Distinguished Professor, Ajou University
2009.05—, Scientific Committee Member, International Research Forum: What Can the Academic Community Learn from the Global Crisis?
2009.04—, 同行評議專家, 國家自然科學(xué)基金委員會管理科學(xué)一處管理科學(xué)與工程學(xué)科
2008.12—, Associate Editor, Journal of Applied Mathematics and Decision Science
2008.07—, Guest Editor, Journal of Mathematical Economics
2007.08—, Member of Editorial Board, Annals of Financial Economics
2006.09—, Member of Editorial Board, Finanmetrica

?學(xué)術(shù)會議：
2012.06—2012.06 The 12th Society for the Advancement of Economic Theory Conference, Brisbane, Australia
2012.06—2012.06 The 7th Bachelier Finance Society World Congress 2012 (BFS2012), Sydney, Australia

?代表性學(xué)術(shù)成果：
期刊論文：
1.    
Phelim P. Boyle and Chenghu Ma.  2013.  w-MPS risk aversion and the CAPM.  Theoretical Economics Letters  3(6) 306-316.
2.    
Chenghu Ma and Jiankang Zhang.  2013.  p-Weakly constrained Pareto efficiency and aggregation in incomplete markets.  Social Choice and Welfare  41(3) 605-623.
3.    
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.
4.    
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.
5.    
Chenghu Ma.  2009.  Uncertainty Aversion and A Theory of Incomplete Contract.  Game Theory and Applications  Vol.13 85-103.
6.    
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.
7.    
Wing-keung Wong, Chenghu Ma .  2008.  Preferences over Location-scale Family .  Economic Theory  Vol.37 119-146.
8.    
Chenghu Ma.  2007.  Preferences, Levy Jumps and Option Pricing .  Annals of Financial Economics  Vol.3 1-39.
9.    
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.
10.    
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.
11.    
Xiao Luo, Chenghu Ma .  2003.  " Agreeing to Disagree" Type Results: A Decision-theoretic Approach.  Journal of Mathematical Economics  Vol.39(8) 849-861 .
12.    
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.
13.    
Chenghu Ma.  2001.  A No-Trade Theorem under Knightian Uncertainty with General Preferences .  Theory and Decision  Vol.51(2-4) 173-181.
14.    
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 .
15.    
Chenghu Ma .  2000.  Uncertainty Aversion and Rationality in Games of Perfect Information .  Journal of Economic Dynamics and Control   Vol.24(3) 451-482.
16.    
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.
17.    
Chenghu Ma .  1998.  A Discrete-Time Intertemporal Asset Pricing Model: GE Approach with Recursive Utility .  Mathematical Finance  Vol.8(3)  249-275.
18.    
Chenghu Ma .  1993.  Market Equilibrium with Heterogeneous Recursive-utility-maximizing Agents.  Economic Theory  Vol.3(2)  243-266.
19.    
龔健，馬成虎.  基于隱馬爾可夫鏈的上證股指建模.  金融,  2012,  2(1):  45-49.
20.    
汪先珍，馬成虎.  中國股市價格的跳躍行為.  中國金融評論,  2009,  vol.3(4):  31-66,115-150.
學(xué)術(shù)專著：
Chenghu Ma. 2010. Advanced Asset Pricing Theory. Imperial College Press, London.
著作中的文章：
Chenghu Ma.Asset Pricing and Observational Equivalence in the Presence of Levy Jumps.In .Changing Models.,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.
教材和其他：
馬成虎．高級資產(chǎn)定價理論．北京：中國人民大學(xué)出版社，2010．
科研項目：
2013.01—2016.12, 項目負(fù)責(zé)人, 投資者偏好、衍生品交易與金融反問題研究, 國家自然科學(xué)基金面上項目
2009.01—2011.12, 項目負(fù)責(zé)人, 關(guān)于MPS-風(fēng)險規(guī)避，風(fēng)險控制和跨期動態(tài)交易策略的理論和實證研究, 國家自然科學(xué)基金面上項目
2000.11—2003.10, 項目負(fù)責(zé)人, Theory of Choice under Uncertainty and Its Applications in Economics and Finance, Economics and Social Research Council(ESRC)
1997.06—2000.05, 項目負(fù)責(zé)人, Short-selling and Market Equilibrium, Fonds pour les Chercheurs et L'Aide A la Recherche
1994.04—1997.03, 項目負(fù)責(zé)人, Equilibria in Economics with Incomplete Capital Market, Social Science and Humanity Research Council of Canada(SSHRC)
 

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