講師

张丽宏

PhD (Probability and Mathematical Statistics), MSc, BSc, Professor, Department of Finance, Tsinghua University

專業領域

Actuarial Science
Finance
Insurance

簡介

Dr. Zhang Lihong is a Professor in the Department of Finance at Tsinghua University's School of Economics and Management. She earned her PhD in Probability and Mathematical Statistics from the Institute of Applied Mathematics, Chinese Academy of Sciences, and holds Master's and Bachelor's degrees from Nankai University. Her career at Tsinghua University began in 2001 as an Assistant Professor, becoming an Associate Professor in 2003, and a full Professor in 2013. Prior to Tsinghua, she was a Postdoctoral Researcher at Peking University. Her research interests include asset pricing, risk theory and management, and portfolio management.

詳情

Education

  • 中国科学院应用数学所，概率论与数理统计，博士
  • 南开大学，概率论与数理统计，硕士
  • 南开大学，概率论与数理统计，学士

Professional Experience

  • 2013年12月--至今，清华大学经管学院教授
  • 2003年12月--2013年11月，清华大学经管学院副教授
  • 2001年11月--2003年11月，清华大学经管学院助理教授
  • 2000年1月--2001年11月，北京大学数学学院博士后

Teaching

  • 高级资本市场理论
  • 金融经济学导论
  • 应用随机过程

Research Areas

  • 资产定价
  • 风险理论与风险管理
  • 投资组合管理

Academic Publications

  • Zhang, X. and Zhang, L., "HOW DOES THE INTERNET AFFECT THE FINANCIAL MARKET? AN EQUILIBRIUM MODEL OF INTERNET-FACILITATED FEEDBACK TRADING", March 2015 MIS Quarterly 39(1):17-37
  • Zhang, L. and Zhao, L. (2013) "Quantifying the Impact of Partial Information on Sharpe Ratio Optimization" Probability in Engineering and Informational Sciences, Volume 27 / Issue 03 / July 2013, pp 375-402
  • Wang, Y., Zhang, L. and Yin, K., (2012) "Behavioral patterns of Chinese stock funds: Evidence from closed growth stock funds", Tsinghua Science and Technology Vol. 52, 260-264 (in Chinese)
  • Sun, L., Zhang, L. (2011) "Optimal Consumption and Investment under Irrational Beliefs", Journal of Industrial and Management Optimization, Vol 7, 139-156
  • Gao, J., Song, F. and Zhang, L. (2011), "Who wants to be informed---More risk aversion or less risk aversion", Tsinghua Science and Technology Vol. 16, 69-73
  • Chen, B., Zhang, L. and Zhao, L (2010), "On the Robustness of Longevity Risk Pricing", Insurance: Mathematics and Economics 47, 358-373
  • Wang, Z., Xia, J. and Zhang, L.H., (2007) "Optimal Investment for An Insurer: the Martingale Approach", Insurance: Mathematics and Economics 40(2), 322-334
  • Gao, F., Song, F. and Zhang, L.H., (2007) "Coherent Risk Measure, Equilibrium and Equilibrium pricing", Insurance: Mathematics and Economics 40, 85-94
  • Ng, KW, Yang, H. and Zhang, L.H., (2006) "Upper Bounds for Ruin Probability under Compound Filtered Poisson Models", International Journal of Statistics and System Vol.1 No. 2, 191-201
  • Yang, J., Cheng, S. and Zhang, L.H., (2006) "Bivariate Copula Decomposition in Terms of Comontonicity, Countermonotocity and Independence". Insurance: Mathematics and Economics 39, 267-284
  • Yang Hailiang. & Zhang L.H. (2006) "Ruin Problems for a Discrete Time Risk Model with Random Interest Rate", Mathematical Methods of Operations Research Vol 63, No. 2, 287-299
  • Zhang L.H., (2005) "Upper Bounds for Ruin Probability with Stochastic Investment Return", Tsinghua Science and Technology, Vol. 10, No. 2, 254-258
  • Zhang L.H., (2005) "Ruin Probability in Linear Time Series Model", Tsinghua Science and Technology, Vol. 10, No. 2, 259-264
  • Yang H. & Zhang, L.H., (2005) "Optimal Investment for Insurer with Jump-Diffusion Risk Process", Insurance: Mathematics and Economics 37(3), 615-634
  • Ng KW, Yang H. & Zhang L.H., (2004) "Ruin Probability under Compound Poisson Models with Random Discount Factor", Probability in Engineering and Informational Sciences, 18, 2004, 55-70
  • Yang H. & Zhang L.H., (2003) "Martingale Method for Ruin Probability in an Autoregressive Model with Constant Interest Rate", Probability in Engineering and Informational Sciences, 17, 2003, 183-198
  • Yang H. & Zhang L.H., (2001) "The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force", North American Actuarial Journal 5(3): 92-103
  • Yang H. & Zhang L.H, (2001) "On the Distribution of Surplus Immediately after Ruin under Interest Force", Insurance: Mathematics & Economics, Vol. 29, Issue 2, 247-255
  • Yang H. & Zhang L.H., (2001) "On the Distribution of Surplus Immediately before Ruin under Interest Force", Statistics & Probability Letters, Vol.55, Issue 3, 329-338
  • Yang, H. and Zhang, L. (2000) Ruin Theory with Interest Income, Statistics and Finance: An Interface, p355-369, Edited by Chan, Li and Tong, Imperial College Press, London