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复旦大学

个人简历

2004年1月-2004年5月 新加坡国立大学数学系访问副教授
2009年6月-2009年8月 日本京都大学经济研究学院访问教授

研究领域

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

山东大学数学学士
山东大学数学硕士
加拿大多伦多大学经济学博士

学术兼职

2006年9月- Member of Editorial Board,Finanmetrica
2007年8月- Member of Editorial Board,Annals of Financial Economics
2008年7月- Guest Editor,Journal of Mathematical Economics
2008年12月- Associate Editor,Journal of Applied Mathematics and Decision Science
2009年4月- 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
2009年5月- Scientific Committee Member,International Research Forum:What Can the Academic Community Learn from the Global Crisis?
2009年9月-2013年8月 World ClassUniversityDistinguishedProfessor,AjouUniversity
2009年11月- 评审专家,教育部“长江学者奖励计划”
2010年1月- Program Committee Member,The 7th Asian General Equilibrium Theory Workshop
2010年3月- Organizing Committee Member,Inaugural Conference of Chinese Game Theory and Experimental Economics Association
2010年3月- Session Organizer,The 10th Society for the Advancement in Economic Theory Conference
2011年1月- Member of Editorial Board,Journal of Risk and Financial Management

社会荣誉

2001年12月 Best Paper Award, The 10th Conference on the Theories and Practices of Securities and Financial Markets

研究成果

期刊论文:
[1] PhelimP.Boyle and Chenghu Ma.2013.w-MPS riskaversion and the CAPM.The oretical Economics Letters3(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 levy 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 ApplicationsVol.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 TheoryVol.37.119-146.
[8] Chenghu Ma.2007.Preferences,Levy Jumps and Option Pricing.Annals of Financial EconomicsVol.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 EconomicsVol.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 Equilibriumin 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 EconomicsVol.34(4).509-526.
[15] Chenghu Ma.2000.Uncertainty Aversion and Rationality in Games of Perfect Information.Journal of Economic Dynamics and ControlVol.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 & ControlVol.23(1).97-112.
[17] Chenghu Ma.1998.A Discrete-Time Intertemporal Asset Pricing Model:GE Approach with Recursive Utility.Mathematical FinanceVol.8(3).249-275.
[18] Chenghu Ma.1993.Market Equilibrium with Heterogeneous Recursive-utility-maximizing Agents.Economic TheoryVol.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年,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年,vol.3(4):31-66,115-150.
着作中的文章:
[1] Chenghu Ma.Asset Pricing and Observational Equivalence in the Presence of Levy Jumps.Innull.Changing Models.null,2005.
[2] Xiao Luo,Chenghu Ma.Recent Advancements in the Theory of Choice under Knightian Uncertainty and Their Applications in Economics.Innull.The Current State of Economic Science.Vol.2,1999.
学术专着:
Chenghu Ma.2010.Advanced Asset Pricing Theory.Imperial College Press,London.

联系方式

machenghu@fudan.edu.cn