Summary

Professor Shushang Zhu  was born in Xiangxi, Hunan Province, P. R. China. He received his  bachelor's and master's degrees in mathematics from Xiangtan University  in 1997 and 2000 respectively, and his Ph. D from Institute of Systems  Science, Chinese Academy of Sciences in 2003. From 2003 to 2011, he  worked in the School of Management of Fudan University. In 2012, he  joined Sun Yat-Sen Business School of Sun Yat-sen University. His  current research interests include portfolio optimization, financial  contagion, systemic risk and operations research, et al. He has  published over 50 technical papers in these areas.

Research Areas

Financial Engineering and Risk Management (Portfolio Selection, Financial Contagion, Systemic Risk), Operations Research

Educational Background

09/2000-07/2003     Institute of Systems Science
                                 Chinese Academy of Sciences
                                 Major: Management Science and Engineering
                                 Received a Doctor Degree in Management Science, August 2003
09/1997-07/2000     Xiangtan University
                                 Major: Applied Mathematics
                                 Received a Master Degree in Science, June 2000
09/1993-07/1997     Xiangtan University
                                 Major: Mathematical Statistics
                                 Received a Bachelor Degree in Science, June 1997

Professional Experiences

Professor, Sun Yat-Sen Business School, Sun Yat-Sen University, 14/06-present

Associate Professor, Sun Yat-Sen Business School, Sun Yat-Sen University,12/01-14/06

Associate Professor, School of Management, Fudan University, 09/12-12/01

Assistant Professor, School of Management, Fudan University, 03/07-09/11

Visiting Scholar, 13/07-13/08, 10/08，09/07-09/08,08/07-08/08，06/07-06/08,03/01, 01/10-01/11

COE Research Fellow, Kyoto University, 05/04 - 05/08

 Publications（selected）

1. Hu, Z. L., W. J. Sun, S. S. Zhu, Chance constrained programs with Gaussian mixture models, IISE Transactions, 2022, online. https://doi.org/10.1080/24725854.2021.2001608

2. Ma, J. L., S. S. Zhu（通讯）, Y. Wu, Joint effect of liability network and portfolio overlapping on financial systemic risk: contagion and rescue, Quantitative Finance, 21(5), 753–770, 2021.

3. Zhu, S. S., W. Zhu, X. Pei, X. T. Cui, Hedging crash risk in optimal portfolio selection, Journal of Banking and Finance, 119, 105905, 2020.

4. Kang, Z. L., X.  Li, Z. F. Li , S. S. Zhu, Data-driven robust mean-CVaR portfolio  selection under distribution ambiguity, Quantitative Finance, 19(1):  105-121, 2019.
5. Cui, X. Y., J. J. Gao, Y. Shi,  S. S. Zhu,  Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection, European Journal of  Operational Research, 276, 781-789, 2019.
6. Cui, X. T., X. L. Sun, S.  S. Zhu, R J. Jiang and D. Li, Portfolio optimization with nonparametric Value-at-Risk: a block coordinate descent method, INFORMS Journal on Computing, 30(3), 454-471, 2018.
7. Zhu, W., C. H. Zhang, Q. Liu and  S. S. Zhu, Incorporating convexity in bond portfolio immunization using multi-factor model: a semi-definite programming approach, Journal of the  Operations Research Society of China, 6 (1), 3-23, 2018. Special Issue on New Challenges in Financial Optimization and Risk Management.
8. Cui, X. T., S. S. Zhu, D. Li and J. Sun, Mean–variance portfolio optimization with parameter sensitivity control, Optimization Methods & Software, 31, 755-774, 2016.
9. Zhu, S. S., X. D. Ji and D. Li,  Robust set-valued scenario approach for handling modeling risk in  portfolio optimization, Journal of Computational Finance, 19, 11-40,  2015.
10. Zhu S. S., M. J. Fan and D. Li, Portfolio management with robustness in both prediction and decision: A mixture model based learning approach, Journal of Economic Dynamics and Control, 48, 1-25, 2014.
11. Cui, X. T., S. S. Zhu, X. L. Sun and D. Li, Nonlinear  portfolio selection using approximate parametric Value-at-Risk, Journal  of Banking and Finance, 37, 2124-2139, 2013.
12. Li, Y. J., S. S. Zhu,  D. H. Li and D. Li, Active allocation of systematic risk and control of  risk sensitivity in portfolio optimization, European Journal of  Operational Research, 228, 556-570, 2013.
13. Cui, X. Y., D. Li, S. Y.  Wang and S. S. Zhu, Better than dynamic mean-variance: Time  inconsistency and free cash flow stream, Mathematical Finance, 22(2),  346-378, 2012.
14. Zhu, S. S., X. T. Cui, X. L. Sun and D. Li, Factor-risk constrained mean-variance portfolio selection: Formulation and global optimization solution approach, Journal of Risk, 14(2), 51-89, 2011.
15. Zhu, S. S., D. Li and X. L. Sun, Portfolio selection with marginal risk control, Journal of Computational Finance, 14(1), 3-28，2010.
16. Zhu, S. S., M. Fukushima, Worst-case conditional Value-at-Risk with application to robust portfolio management, Operations Research, 57(5), 1155-1168, 2009.
17. Zhu, S. S., D. Li and S. Y. Wang, Robust portfolio selection under downside risk measures, Quantitative Finance, 9(7), 869-885, 2009.
18. Huang, D. S., S. S.  Zhu, F. J. Fabozzi and M. Fukushima, Portfolio selection with uncertain exit time: a robust CVaR approach, Journal of Economic Dynamics and Control, 32, 594-623, 2008.
19. Ji, X. D., S. S. Zhu, S. Y. Wang and  S. Z. Zhang, A stochastic linear goal programming approach to  multi-stage portfolio management based on scenario generation via linear  programming, IIE Transactions, 37, 957-969, 2005.
20. Zhu, S. S., D. Li and S. Y. Wang, Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation, IEEE Transactions on Automatic Control, 49(3), 447-457, 2004.

Current Research

Combining Backward-Looking and Forward-Looking Methods in Investment Decision

Measurement and Rescue of Financial Systemic Risk

Teaching

Investment (Undergraduate, Postgraduate)

Probability (Undergraduate)

Management of Investment Bank (Undergraduate)

Optimization: Theory and Applications (Undergraduate)

Econometrics (Undergraduate)