Moris Simon Strub

Assistant Professor |School of Business, Division of Information Systems & Management Engineering

Moris Strub joined the College of Business of SUSTech in October 2019 as an assistant professor and doctoral supervisor. His main research area includes Mathematical Finance, Portfolio Selection, Behavioral Finance and Economics, Risk Management, and Robo- Advising. Moris has obtained a B.S. in Mathematics and M.S. in Applied Mathematics from ETH Zurich, both with distinction, and a Ph.D. in Financial Engineering (Systems Engineering and Engineering Management) 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


Teaching

Econometrics

Stochastic Decision Analytics

Judgment and Decision Making


Publications Read More

Preprints

    • Portfolio Selection with Exploration of New Investment Opportunities (with Didier Sornette). [SSRN]

    • How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection (with Xue Dong He). [SSRN]

    • Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising (with Xiangyu Cui, Duan Li and Xiao Qiao). [SSRN]

Publications

    • Reference Point Formation in Social Networks, Wealth Growth, and Inequality (with Youcheng Lou, Duan Li and Shouyang Wang), Journal of Economic Dynamics and Control, available online, 2021. [DOI,SSRN]

    • Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (with Xue Dong He and Thaleia Zariphopoulou), Mathematical Finance, Volume 31, Issue 2, Pages 683-721, 2021. [DOI,SSRN]

    • Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes (with Xun Yu Zhou), Finance and Stochastics, Volume 25, Pages 331–358, 2021. [DOI,SSRN]

    • A Note on Monotone Mean-Variance Preferences for Continuous Processes (with Duan Li), Operations Research Letters, Volume 48, Issue 4, Pages 397-400, 2020. [DOI,SSRN]

    • Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment (with Duan Li), Operations Research, Volume 68, Issue 1, Pages 199-213, 2020. [DOI,SSRN]

    • 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, Volume 108, Article 103751, 2019. [DOI,SSRN]

Lab members Read More

Join us

Moris Strub research group invites outstanding candidates to apply for Ph.D. Program or Postdoc Position at SUSTech.

Ph.D. Program:

  •  Collaborative Ph.D. Program with University overseas
  •  SUSTech Full-Time Program

Postdoc Position:

Position: Postdoctoral Fellow position in Mathematical Finance/Financial Engineering/Behavioral Finance and Economics

Department: Department of Information System and Management Engineering, SUSTech

Responsibility:

The Postdoctoral Fellow will work in a highly ambitious and internationally oriented research environment committed to excellence in research. It is expected that the postdoctoral fellow will conduct research projects in Mathematical Finance, Financial Engineering, or Behavioral Finance and Economics, actively participate in the activities of the group, and assist in the mentoring of postgraduate students and research assistants.

Post requirements

  •      Candidates must hold or be about to obtain a Ph.D. degree in Mathematical Finance, Financial Engineering, Operations Research, Finance, Quantitative Economics, or related fields
  •      Research interests and experience in one or more of the following areas: Portfolio Selection, Risk Management, Behavioral Finance and Economics, Robo-Advising, Mathematical Finance
  •      Fluent in written and spoken English, with a high academic level and scientific research ability
  •    Under the age of 35 and no more than three years from the date of obtaining a doctorate

Benefits and rewards

  •      The term of the appointment is two years and includes paid annual leave.
  •      The successful candidate will receive an annual reimbursement package of more than RMB 335’000 p.a., consisting a Guangdong Provincial subsidy of 150,000 yuan (before tax) and Shenzhen Municipal living subsidy of 60,000 yuan (after-tax), a basic salary of RMB 8’677 p.m., a housing subsidy of RMB 2’800 p.m., meal-, high temperature-, and festival expenses of about RMB 10’000 p.a., and shall participate in ‘Five insurances and one fund’ social security plan according to the relevant regulations of Shenzhen.

Other compensation policies:

  •      Excellent candidates can apply for the `Principal’s Excellent Postdoctoral Program’ which would result in an annual salary package of RMB  510’000 (Including subsidies from Guangdong Province and Shenzhen).
  •      The research group provides a good working environment and opportunities for cooperation and exchanges at home and abroad. Post-doctoral fellows enjoy a total of 25’000 academic exchange grants for two years during their stay.
  •      Postdoctoral fellows can enjoy the corresponding bonus of the departments and research groups according to their scientific research achievements.
  •      The research group provides sufficient support for scientific research. During the employment period, you can apply for the National Natural Science Foundation of China, the China Postdoctoral Science Foundation, and the Shenzhen Basic Research Project as the project leader.
  •      Those who graduated recently can apply for the `Postdoctoral Innovative Talent Support Program’, with funding of RMB 600,000.
  •      Postdoctoral fellows who choose to stay in Shenzhen to engage in scientific research work and have signed a labor (employment) contract with enterprises and institutions in this city for more than 3 years can apply for Shenzhen Postdoctoral Research Fund in Shenzhen. The Shenzhen Municipal Government grants each person an annual research grant of 100,000 yuan for a total of 3 years.
  •      Postdoctoral fellows who comply with the relevant policies of "Shenzhen Newly Introduced Talents' Housing and Living Subsidies" can apply for a one-off housing and living subsidy of RMB 30,000 (tax exemption) after settled in Shenzhen.
  •      Eligible candidates can apply for the ‘Peacock Talents Program’ which provides an allowance of RMB 1.6 million (divided into 5 years and exempted from tax. Subject to the latest talent declaration policies in Shenzhen)
  •      For outstanding postdocs, we will actively recommend and assist them to apply for the assistant professor position at SUSTech.

Application procedures

If you are interested in this position, please send a cover letter, an academic CV, names and contact details of two references, and up to three representative papers (published or working papers) to strub@sustech.edu.cn, cc yangj36@mail.sustech.edu.cn

The position remains open until filled.

 

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Contact Us

Contact Address

Rm514, Taizhou Building

Office Phone

Email

strub@sustech.edu.cn

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