Moris Simon Strub

Assistant Professor |School of Business

Moris Strub joined the SUSTech Business School in October 2019. His main research directions are in the areas of Portfolio Selection, Behavioral Finance and Economics, Mathematical Finance, Risk Management, and Robo-Advising. Moris particularly enjoys applying mathematics to solve real-world problems which require insights from various fields. He has obtained a BSc in Mathematics and MSc in Applied Mathematics from ETH Zurich, both with distinction, and a PhD in Financial Engineering from the Chinese University of Hong Kong. Before joining SUSTech, he was a Postdoctoral Fellow at the Chinese University of Hong Kong and a Staff Associate at Columbia University.

Personal Profile

Work Experience:

2018-2019: Postdoctoral Fellow at the Chinese University of Hong Kong

2017: Staff Associate at Columbia University

2014-2018: Teaching Assistant at the Chinese University of Hong Kong

2014: Intern at Oliver Wyman

2012-2013: Teaching Assistant at ETH Zurich

 

Educational Background:

2014-2018: PhD in Financial Engineering at the Chinese University of Hong Kong

2012-2014: MSc in Applied Mathematics with distinction from ETH Zurich

2008-2013: BSc in Mathematics with distinction from ETH Zurich

 

For more information, please see https://sites.google.com/view/morisstrub/home.

 

Research

Portfolio Selection

Behavioral Finance and Economics

Mathematical Finance

Risk Management

Robo Advising


Publications Read More

Publications

• Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment (with Duan Li), Operations Research, forthcoming, 2019.

• Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR (with Duan Li, Xiangyu Cui and Jianjun Gao), Journal of Economic Dynamics and Control, 108, Article 103751, 1-21, 2019.

Preprints

• Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (with Xue Dong He and Thaleia Zariphopoulou), preprint available at [SSRN:3364750].

• Endogenization of the Reference Point Reduces the Effect of Loss Aversion for Portfolio Optimization (with Xue Dong He), preprint available at [SSRN:3318295].

• An Enhanced Mean-Variance Framework for Robo-Advising Applications (with Duan Li and Xiangyu Cui), preprint available at [SSRN:3302111].

• Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes (with Xun Yu Zhou), preprint available at [SSRN:3276638].

• Reference Point Formation in Social Networks, Wealth Growth, and Inequality (with Youcheng Lou, Duan Li and Shouyang Wang), preprint available at [SSRN:3013124]

Lab members Read More

Join us

Name of College: School of Business

 

Masters and Doctorate Degree Programs

Business Intelligence and Big Data Management(affiliated to the Math Department’s Masters and Doctorate Programs)

 

Faculty

The school currently has 11 faculty members in the department of Information Systems and Management Engineering (ISME) (Finance department has its own introduction)

1 Distinguished Professor honored by the Ministry of Education of China

1 National Distinguished Expert

3 Shenzhen Peacock Talents

1 National High-level Talents

10 Overseas Returned Professors

More than 30% of faculty are international faculty members with overseas citizenship.

100% have overseas PhD or overseas full-time working experience

9 Graduated from Top 50 Universities of the world (based on QS/Times ranking)

 

 

Introduction:

Founded in October 2018, the School of Business of the Southern University of Science and Technology is an elite business school with a strategic vision and a strong emphasis on innovation, open-mindedness, international impact, and interdisciplinary research. The School of Business offers master’s & doctoral programs “Business Intelligence and Big Data Management” as well as non-degree programs at the executive level.

All of the faculty members of the School of Business have international backgrounds with frontier business research. 9 out of 11 faculty members graduated from the top 50 universities of the world based on QS/Times ranking. In the past two years, faculty members have published more than 20 journal articles in top-tier business journals, including UTD journals, such as Management Science, Production and Operations Management, Operations Research, Journal of Management Information System, and JAIS.

The School of Business aims to cultivate interdisciplinary talents with technical and analytical skills to meet the demand of the digital economy and Internet industry in the Great Bay Area, especially in Shenzhen. The School of Business works closely with leading companies to provide plenty of opportunities for students to enhance practical skills. Besides, the School of Business collaborates with top international business schools such as HEC-Paris to envision students with global perspectives and study experience.

 

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Contact Us

Contact Address

501-5(D) Taizhou Building

Office Phone

Email

strub@sustech.edu.cn

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