Chair Professor |School of Business, Department of Finance

Personal Profile

Research

Financial Markets and Investment, Financial Engineering and Risk Management, Financial Economics, Insurance and Actuarial Science


Publications Read More

Books

1. T.T. Fan and Z. F. Li, Portfolio Risk Management –Factor Model and its Application (in Chinese), Sun Yat-sen University Press, 2011

2. Z. F. Li and S. Y. Wang, Portfolio Optimization and No-Arbitrage (in Chinese), Chinese Science Press, 2001.

3. Z. X. Li, Z. F. Li and S. Y. Wang, Funds Regulation Modernization Based on Risk (in Chinese), Tsinghua University Press, 2002.

International Journal Articles:

  1. Z. F. Li, Q. Zhou, M. Chen, *Q. Liu, The Impact of COVID-19 on Industry-Related Characteristics and Risk Contagion, Finance Research Letters, 2021, 39, 101931 (SSCI)
  2. L. H. Bian, *Z. F. Li, H. X. Yao, Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate, Journal of Industrial and Management Optimization, 2021, 17 (3), 1383-1410. (SSCI)
  3. P. Wang , *Z. F. Li, J. Y. Sun, Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity, Optimization, 2021, 70 (1), 191-224. (SCI)
  4. T. Tian, J. W. Zhang, L. Y. Hu, Y. K. Jiang, C. Y. Duan, Z. F. Li, *X. Q. Wang, *H. P. Zhang, Risk factors associated with mortality of COVID-19 in 3125 counties of the United States, Infectious Diseases of Poverty, 2021, 10 (3), 1-8. (SCI)
  5. Z. L. Kang, X. Y. Li and *Z. F. Li, Mean-cvar portfolio selection model with ambiguity in distribution and attitude, Journal of Industrial and Management Optimization, 2020, 16 (6), 3065-3081. (SSCI)
  6. Y. S. Sun, H. Y. Gong, *Q. W. Guo, P. Schonfeld, Z. F. Li, Regulating a Public Transit Monopoly under Asymmetric Cost Information, Transportation Research Part B, 2020, 139, 496-522. (SCI)
  7. W. Chen, *Z. F. Li, J. C. Guo, Domain Adaptation Learning based on Structural Similarity Weighted Mean Discrepancy for Credit Risk Classification, IEEE Intelligent Systems, 2020, 35(3), 41-51. (SCI/SSCI)
  8. Y. W. Li, *Z. F. Li, S. Y. Wang, Z. Q. Xu, Dividend optimization for jump-diffusion model with solvency constraints, Operations Research Letters, 2020, 48, 170-175. (SCI/SSCI)
  9. T. H. Zhi, Z. F. Li, Z. Q. Jiang, *L. J. Wei, D. Sornette, Is there a housing bubble in China? Emerging Markets Review, 39, 2019, 20-132. (SSCI)
  10. Z. L. Kang, X. Li, *Z. F. Li, S. S. Zhu, Data-Driven Robust Mean-CVaR Portfolio Selection under Distribution Ambiguity, Quantitative Finance, 19 (1), 2019, 105-121. (SCI/SSCI)
  11. Q. W. Guo, S. M. Chen, Schonfeld, *Z. F. Li,, How time-inconsistent preferences affect investment timing for rail transit, Transportation Research Part B, 118, 2018, 172-192. (SCI)
  12. L. H. Bian, *Z. F. Li, H. X. Yao, Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause, Insurance: Mathematics and Economics, 81, 2018, 78-94. (SCI/SSCI)
  13. P. Wang, *Z. F. Li, Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility, Insurance: Mathematics and Economics, 80, 2018, 67-83. (SCI/SSCI)
  14. B. J. Deng, *Z. F. Li, Y. Li, Foreign institutional ownership and liquidity commonality around the world, Journal of Corporate Finance, 2018, 51, 20-49.
  15. Z. L. Kang, *Z. F. Li, An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution, Mathematical Methods of Operations Research, 87(2), 2018, 169–195. (SCI)
  16. X. Deng, J. Song, J. F. Zhao, Z. F. Li, The Fuzzy Tri-Objectivemean-Semivariance-Entropy Portfolio Model with Layer-By-Layer Tolerance Evaluation method Paper, Journal of Intelligent & Fuzzy Systems, 2018, 35(2): 2391-2401.(SCI)
  17. X. Deng, J. F. Zhao, Z. F. Li, Sensitivity Analysis of the Fuzzy Mean-Entropy Portfolio Model with Transaction Costs Based on Credibility Theory, International Journal of Fuzzy Systems, 20 (1), 2018, 209-218. (SCI)
  18. S. M. Chen, *Z. F. Li, Y. Zeng, Optimal dividend strategy with time-inconsistent preferences and ruin penalty, SIAM Journal on Financial Mathematics, 9 (1), 2018, 274-314. (SCI/SSCI)
  19. X. P., Wu, X. Li, Z. F. Li, A Mean-Field Formulation for Multi-Period Asset-Liability Mean-Variance Portfolio Selection with Probability Constraints, Journal of Industrial and Management Optimization, 14(1), 2018, 249-265. (SCI/SSCI)
  20. W. W. Zhang, *Z. F. Li, K. Fu, F. Wang, Effect of the Return Policy in a Continuous-Time Newsvendor Problem, Asia-Pacific Journal of Operational Research, 34 (6), 2017, 1750031-1–1750031-28 (SCI/SSCI)
  21. Y. S. Sun, *Q. W. Guo, P. Schonfeld, Z. F. Li, Evolution of Public Transit Modes in a Commuter Corridor, Transportation Research Part C, 75, 2017, 84-102. (SCI)
  22. Q. W. Guo, Y. S. Sun, Z. C. Li, Z. F. Li*, An integrated optimization model for road capacity and cordon pricing scheme designs, Research in Transportation Economics, 62, 2017, 68-79.
  23. Z. Chen, *Z. F. Li, Y. Zeng, J. Y. Sun, Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk, Insurance: Mathematics and Economics, 75, 2017, 137-150. (SCI, SSCI)
  24. L. Zhang, *Z. F. Li, Y. H. Xu, Y. W. Li, Multi-period mean variance portfolio selection under incomplete information, Applied Stochastic Models in Business and Industry, 32(6), 2016, 753-774. (SSCI)
  25. Y. S. Sun, *Q. W. Guo, P. Schonfeld, Z. F. Li, Implications of the cost of public funds in public transit subsidization and regulation, Transportation Research Part A, 91, 2016, 236-250. (SCI)
  26. Q. Q. Cui, *C.-H. Chiu, X. Dai, *Z. F. Li, Store brand introduction in a two-echelon logistics system with a risk-averse retailer, Transportation Research Part E, 90, 2016, 69-89. (SCI)  
  27. H. X. Yao, *Z. F. Li, *D. Li, Multi-period portfolio selection with stochastic interest rate and uncontrollable liability, European Journal of Operational Research, 252 (3), 2016, 837-851. (SCI)
  28. H. X. Yao, *Z. F. Li, X. Y., Li, The premium of dynamic trading in a discrete-time setting, Quantitative Finance, 16(8), 2016, 1237-1257.
  29. J. Y. Sun, *Z. F. Li, Y. Zeng, Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model, Insurance: Mathematics and Economics, 67, 2016, 158-172. (SCI)
  30. C. X. A, *Z. F. Li, F. Wang, Optimal investment strategy under time-inconsistent preferences and high-water mark contract, Operations Research Letters, 44, 2016, 212-218. (SCI)
  31. Y. W. Li, *Z. F. Li, Y. Zeng, Equilibrium dividend strategy with non-exponential discounting in a dual model, Journal of Optimization Theory and Applications, 168(2), 2016, 699-722. (SCI)
  32. H. X. Yao, *Z. F. Li, Y. Z. Lai, Dynamic mean-variance asset allocation with stochastic interest rates and inflation rates, Journal of Industrial & Management Optimization, 12(1), 2016, 187-209. (SSCI)
  33. Y. Z. Lai, *Z. F. Li, Y. Zeng, Control variate methods and applications to Asian and basket options pricing under jump-diffusion models, IMA Journal of Management Mathematics, 26, 2015, 11-37. (SCI, SSCI)
  34. C. X. A, *Z. F. Li, Optimal investment and excess-of-loss reinsurance with delay under the Heston’s SV model, Insurance: Mathematics and Economics, 61, 2015, 181-196. (SCI, SSCI)
  35. Y. F. Li, *Z. F. Li, Asymmetric procyclicality of Chinese banking and the countercyclical buffer of Basel III, Discrete Dynamics in Nature and Society, 2015, Vol. 2015, 1-9. (SCI)
  36. B. Yi, *F. Viens, B. Law, Z. F. Li, Dynamic portfolio selection with mispricing and model ambiguity, Annals of Finance, 11(1), 2015, 37-75.
  37. B. Yi, F. Viens, *Z. F Li, Y. Zeng, Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria, Scandinavian Actuarial Journal, 2015(8), 2015, 725-751.
  38. S. M. Chen, Z. F. Li, *Y. Zeng, Optimal dividend strategies with time-inconsistent preferences, Journal of Economic Dynamics & Control, 46, 2014,150-172. (SSCI)
  39. Y. H. Huang, F. Li, *X. P. Guo, Constrained optimality for finite horizon semi-Markov decision processes in Polish spaces, Operations Research Letters, 42(2), 2014, 123-129. (SCI, EI)
  40. H. X. Yao, *Z. F. Li and S. M. Chen, Continuous-time mean-variance portfolio selection with only risky assets, Economic Modelling, 36, 2014, 244-251. (SSCI)
  41. Y. W. Li, *Z. F. Li, Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion, Insurance: Mathematics and Economics, 53, 2013, 86-97. (SCI, SSCI)
  42. H. X. Yao, *Z. F. Li, Y. Z. Lai, Mean-CVaR portfolio selection: a nonparametric estimation framework, Computers & Operations Research, 40, 2013, 1014-1022. (SCI, SSCI, EI)
  43. Y. Zeng, *Z. F. Li, Y. Z. Lai, Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps, Insurance: Mathematics and Economics, 52(3), 2013, 498-507. (SCI, SSCI)
  44. Y. H. Huang, X. P. Guo, *Z. F. Li, Minimum risk probability for finite horizon semi-Markov decision processes, Journal of Mathematical Analysis and Applications, 402, 2013, 378-391. (SCI)
  45. Y. Zeng, *Z. F. Li, H. L. Wu, Optimal portfolio selection in a Le’vy market with uncontrolled cash flow and only risky assets, International Journal of Control, 86(3), 2013, 426-437. (SCI, SSCI, EI).
  46. A. L. Gu, X. P. Guo, *Z. F. Li, Y. Zeng, Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model, Insurance: Mathematics and Economics, 51, 2012, 674-684. (SCI, SSCI)
  47. Z. F. Li*Y. Zeng, Y. Z. Lai, Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model, Insurance: Mathematics and Economics, 51, 2012, 191-203. (SCI, SSCI)
  48. Y. Zeng, *Z. F. Li, Optimal reinsurance-investment strategies for insurers under mean-CaR criteria, Journal of Industrial and Management Optimization, 8(3), 2012, 673-690. (SCI, SSCI)
  49. C. J. Li, *Z. F. Li, Multi-period portfolio optimization for asset–liability management with bankrupt control, Applied Mathematics and Computation, 218, 2012, 11196–11208. (SCI, SSCI, EI)
  50. L. Zhang, *Z. F. Li, Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated, Mathematical Problems in Engineering, 2012, Vol. 2012, 1-17. (SCI, SSCI, EI)
  51. H. L. Wu, *Z. F. Li, Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow, Insurance: Mathematics and Economics, 50, 2012, 371-384. (SCI, SSCI)
  52. Y. Zeng and *Z. F. Li, Optimal time-consistent investment and reinsurance policies for mean-variance insurers, Insurance: Mathematics and Economics, 49, 2011, 145-154. (SCI, SSCI)
  53. Y. Zeng, *Z. F. Li, Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market, Journal of Systems Science and Complexity, 24(2), 2011, 317-327. (SCI, EI)
  54. H. L. Wu, *Z. F. Li, Multi-period mean-variance portfolio selection with markov regime switching and uncertain time horizon, Journal of Systems Science and Complexity, 24 (1), 2011, 140-155. (SCI, EI)
  55. S. M. Chen, *Z. F. Li, Optimal investment-reinsurance policy for an insurance company with VaR constraint, Insurance: Mathematics and Economics, 47, 2010, 144-153. (SCI, SSCI)
  56. Y. Zeng, *Z. F. Li and J. J. Liu, Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers, Journal of Industrial and Management Optimization, 6(3), 2010, 483-496. (SCI, SSCI)
  57. Z. F. Li, *J. Yao, D. Li, Behavior patterns of investment strategies under Roy’s safety-first principle, The Quarterly Review of Economics and Finance, 50(2), 2010, 167-179.
  58. *Z. F. Li, S. X. Xie, Mean-variance portfolio optimization under stochastic income and uncertain exit time, Dynamics of Continuous, Discrete and Impulsive Systems B: Applications and Algorithms, 17, 2010, 131-147.
  59. Y. H. Xu, *Z. F. Li, K. S. Tan, Optimal Investment With Noise Trading Risk, Journal of Systems Science and Complexity, 21, 2008, 519-526. (SCI, EI)
  60. L. Yi, D. Li, Z. F. Li, Multi-Period Portfolio Selection for Asset-Liability Management with Uncertain Investment Horizon, Journal of Industrial and Management Optimization, 4(3), 2008, 535-552. (SCI, SSCI)
  61. S. X. Xie, *Z. F. Li, S. Y. Wang, Continuous-Time Portfolio Selection with Liability: Mean-Variance Model and Stochastic LQ Approach, Insurance: Mathematics and Economics, 42, 2008, 943—953. (SCI, SSCI)
  62. Z. F. Li, K. S. Tan, H. L. Yang, Multi-period Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty, North American Actuarial Journal, 12 (1), 2008, 1-18.
  63. Z. F. Li, H. L. Yang, X. T. Deng, Optimal Dynamic Portfolio Selection with Earnings-at-Risk, Journal of Optimization Theory and Applications, 132 (1), 2007, 459-473. (SSCI, SCI)  
  64. M. C. Cai, X. T. Deng, Z. F. Li, Computation of Arbitrage In Frictional Bond Market, Theoretical Computer Science, 363 (3), 2006, 248-256. (SCI)
  65. J. Yao, Z. F. Li, K. W. Ng, Model Risk in VaR Estimation: An Empirical Study, International Journal of Information Technology and Decision Making, 5(3), 2006, 503-512.
  66. Z. F. Li, Kai W. Ng, K. S. Tan, H. L. Yang, Best CRP Investment Strategies for Dynamic Portfolio Selection, International Journal of Theoretical and Applied Finance, 9(6), 2006, 951-966.
  67. Z. F. Li, K. W. Ng, K. S. Tan, H. L. Yang, A Closed Form Solution to a Dynamic Portfolio Optimization Problem, Dynamics of Continuous, Discrete and Impulsive Systems B: Applications and Algorithms, 12 (4), 2005, 517-526. (SCI)
  68. Z. F. Li, K. W. Ng, Looking for Arbitrage or Term Structures in Frictional Markets, Lecture Notes in Computer Science, 3828, 2005, 612-621. (SCI) (ISTP)
  69. M. C. Cai, X. T. Deng, Z. F. Li, Computation of Arbitrage in Financial Market with Various Types of Frictions, Lecture Notes in Computer Science, 3521, 2005, 270-280. (SCI) (EI) (ISTP)
  70. X. T. Deng, Z. F. Li, S. Y. Wang, H. L. Yang, Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions, Annals of Operations Research, 133, 2005, 265-276. (SCI) (ISTP)
  71. X. T. Deng, Z. F. Li, S. Y. Wang, A Minimax Portfolio Selection Strategy with Equilibrium, European Journal of Operational Research, 166, 2005, 278-292. (SSCI) (SCI) (EI) (ISTP)
  72. X. T. Deng, Z. F. Li, S. Y Wang. On Computation of Arbitrage for Markets with Friction, Lecture Notes in Computer Science, Vol. 1858, 2000, 309-319. (SCI) (ISTP)
  73. Z. F. Li, Z. X. Li, S. Y. Wang, X. T. Deng, Optimal Portfolio Selection of Assets with Transaction Costs and No Short Sales, International Journal of Systems Science, 32(5), 2001, 599-607. (SCI) (EI)
  74. Z. F. Li, S. Y. Wang, X. T. Deng, A Linear Programming Algorithm for Optimal Portfolio Selection with Transaction Costs, International Journal of Systems Science, 31(1), 2000, 107-117. (SCI) (EI)
  75. Z. F. Li, S. Y. Wang, A Minimax Inequality for Vector-Valued Mapping, Appl. Math. Lett., 12(5), 1999, 31-35. (SCI)
  76. S. Y. Wang, Z. F. Li, B. D. Craven, Global Efficiency in Multi-objective Programming, Optimization, 45, 1999, 369-385.
  77. Z. F. Li, Benson Proper Efficiency in Vector Optimization of Set-Valued Maps, J. Optim. Theory Appl., 98(3), 1998, 623-649. (SCI)
  78. Z. F. Li, S. Y. Wang, A Type of Minimax Inequality for Vector-Valued Mappings, J. Math. Anal. Appl., 227, 1998, 68-80. (SCI)
  79. Z. F. Li, S. Y. Wang, Connectedness of Supper Efficient Sets in Vector Optimization of Set-Valued Maps, Mathematical Methods of Operations Research, 48, 1998, 207-217. (SCI) (EI)
  80. Z. F. Li, S. Y. Wang, -Approximate Solutions in Multi-objective Optimization, Optimization, 44(2), 1998, 161-174.
  81. Z. F. Li, G. Y. Chen, Lagrangian Multipliers, Saddle Points, and Duality in Vector Optimization of Set-Valued Maps, J. Math. Anal. Appl., 215, 1997, 297-316. (SCI)
  82. L. Coladas, Z. F. Li, S. Y. Wang, Two Types of Duality in Multi-objective Fractional Programming, Bull. Austral. Math. Soc., 54, 1996, 99-114.
  83. S. Y. Wang, Z. F. Li, Pareto Equilibria in Multicriteria Metagames, Top, 3(2), 1995, 247-263.
  84. Z. F. Li, S. Y. Wang, Lagrangian Multipliers and Saddle Points in Multi-objective Programming, J. Optim. Theory Appl., 83(1), 1994, 64-81. (SCI)
  85. S. Y. Wang, Z. F. Li, Scalarization and Lagrange Duality in Multi-objective Optimization, Optimization, 26, 1992, 315-324.         

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