复旦大学管理学院财务金融系(专业学位)金融学老师介绍：马成虎

教授
财务金融系
思源教授楼220室
25011075(TEL)
65648384(FAX)
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

►教育背景：
博士, 经济学, 加拿大多伦多大学
硕士, 数学, 山东大学
学士, 数学, 山东大学

►学术经历：
2009.06--2009.08, 访问教授, 经济研究学院，日本京都大学
2004.01--2004.05, 访问副教授, 新加坡国立大学数学系

►科研获奖：
2001.12, Best Paper Award, The 10th Conference on the Theories and Practices of Securities and Financial Markets

►学术任职：
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—, 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—, Scientific Committee Member, International Research Forum: What Can the Academic Community Learn from the Global Crisis?
2009.04—, 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—, 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

►学术会议：
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

►代表性学术成果：
期刊论文：
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.    
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.
20.    
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.
学术专著：
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：
马成虎．高级资产定价理论．北京：中国人民大学出版社，2010．
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)