个人简介

澳门新葡平台网址8883网站“百人计划”引进学者，教授，博士生导师

个人学术观点：众多学术研究存在的意义在于绿叶陪衬，平凡的研究主要起到了烘托学术研究氛围，为真正有意义的研究提供土壤的作用。但做研究一定要做至少自己认为有意义的研究，即使它们最终属于平凡的研究。

招生方向

• 专职科研岗特聘研究人员/博士后（系统性风险、投资决策、人工智能在金融中的应用等方向）
• 博士研究生（金融风险、金融传染、投资决策等方向）

教育背景

• 2000/9-2003/7，中国科学院，管理科学与工程，获管理学博士学位
• 1997/9-2000/6，湘潭大学，应用数学，获理学硕士学位
• 1993/9-1997/6，湘潭大学，数理统计，获理学学士学位

职业经历

• 2014/7-至今，澳门新葡平台网址8883网站，澳门新葡平台网址8883网站，教授
• 2012/1-2014/6，澳门新葡平台网址8883网站，澳门新葡平台网址8883网站，副教授
• 2003/7-2012/1，复旦大学，澳门新葡平台网址8883网站，讲师、副教授
• 2013/7-2013/8，2010/8，2009/7-2009/8，2008/7-2008/8，2006/7-2006/8，2003/1，2001/10-2001/11，香港中文大学，访问学者
• 2005/4-2005/8，京都大学，COE研究员

教授课程

• 投资学
• 概率论
• 投资银行管理
• 计量经济学
• 最优化理论与方法

科研服务

学术组织兼职：

• 2019/9-现在，中国运筹学会 金融工程与金融风险管理分会 常务理事 副理事长
• 2010/4-2019/8，中国运筹学会 金融工程与金融风险管理分会 常务理事 秘书长
• 2010/12-现在，中国系统工程学会 金融系统工程专业委员会 委员
• 2017/8-现在，中国优选法统筹法与经济数学研究会 经济数学与管理数学分会 常务理事
• 2019/8-现在，中国优选法统筹法与经济数学研究会 量化金融与保险分会 常务理事
客座编委：
• Yang, X. G. and S. S. Zhu, (Guest editors) Special Issue on New Challenges in Financial Optimization and Risk Management of Journal of the Operations Research Society of China, vol.6(1), 2018.
• Sun, X. L., S. S. Zhu, Z. F. Li and Weber, G.-W. Weber (Guest editors), Special Issue on Optimization and Dynamics in Finance of Dynamics of Continuous, Discrete and Impulsive Systems (Series B), vol.17(1b), 2010.
论文评审：
• 管理科学学报、系统工程学报、应用数学学报、系统工程理论与实践、系统科学与数学、Management Science, Operations Research, Journal of Economic Dynamics and Control,  Journal of Banking and Finance, Journal of Risk, Journal of Computational Finance, European Journal of Operations Research, IIE Transactions, China Finance Review International 等期刊审稿人。
主持科研项目：
• 国家自然科学基金面上项目，71471180，Forward-Looking与Backward-Looking相结合的投资组合管理，2015/1-2018/12，主持。
• 国家自然科学基金面上项目，71071036，两类金融优化问题的研究——以消除理论与实践的差距为目标， 2011/1-2013/12，主持。
• 国家自然科学基金青年项目，70401009，多阶段投资组合管理中几个问题的研究，2005/1-2007/12，13万，主持。

研究成果

已发表代表性论文（按时间倒序排列）：

• Hu, Z. L., W. J. Sun, S. S. Zhu (通讯), Chance constrained programs with Gaussian mixture models, IISE Transactions, 2022, online.

• 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.

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

• 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.
• 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.
•  Cui, X. T., X. L. Sun, S. S. Zhu（通讯）, 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.
• Zhu, W., C. H. Zhang, Q. Liu and S. S. Zhu（通讯）, Incorporating convexity in bond portfolio immunization using multi-factor model: a semidefinite 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.
• Cui, X. T., S. S. Zhu（通讯）, D. Li and J. Sun, Mean–variance portfolio optimization with parameter sensitivity control,Optimization Methods & Software, 31, 755-774, 2016.
• 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.
• 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.
• Cui, X. T., S. S. Zhu（通讯）, X. L. Sun and D. Li, Nonlinear portfolio selection using approximate parametric Value-at-Risk, Journal of Banking and Finance, 37, 2124-2139, 2013.
• 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.
• 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.
• 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.
• Zhu, S. S., D. Li and X. L. Sun, Portfolio selection with marginal risk control, Journal of Computational Finance, 14(1), 3-28，2010.
• Zhu, S. S., M. Fukushima, Worst-case conditional Value-at-Risk with application to robust portfolio management, Operations Research, 57(5), 1155-1168, 2009.
• Zhu, S. S., D. Li and S. Y. Wang, Robust portfolio selection under downside risk measures, Quantitative Finance, 9(7), 869-885, 2009.
• 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.
• 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.
• 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.