91porn

工作经历

教育背景

2014.8-2017.9 澳大利亚 University of Wollongong 数学与统计学院 金融数学 博士学位

2012.9-2014.8 复旦大学 数学科学学院 运筹学与控制论专业 研究生学历

2008.9-2012.8 吉林大学 数学学院 数学与应用数学专业 学士学位

主讲课程

2025学年 春季学期 《数据资产评估与计价》 MBA课程

2022学年-2025学年《计算金融》 91porn 91porn 本科生课程

2021学年-2025学年《金融衍生品定价及投资管理》  91porn  91porn 研究生课程

2023学年-2025学年《金融仿真计算》  91porn 91porn 研究生课程

2020学年-2025学年《高级微观经济学》 91porn 91porn 留学生课程

2022学年-2024学年《经济类专业英语》 91porn 91porn 研究生课程

研究领域

动态投资组合、金融工程、金融市场建模、随机最优控制在经济与金融中的应用

主要论文

工作论文：

20. Chi Chung Siu*, Guiyuan Ma, and Yawen Zheng (2025). Optimal consumption-portfolio rules with informational and trading frictions.

19. Dantong Chu*, Guiyuan Ma, Chi Chung Siu, and Sheung Chi Phillip Yam (2025). Robust portfolio choice with with stochastic factors and market frictions, Automatica, Accepted (SCI,EI检索期刊).

18. Dong Yan, Xin-Jie Huang, Guiyuan Ma, Xin-Jiang He *, (2025). Pricing American options with exogenous and endogenous transaction costs, Computers and Mathematics with Applications, Accepted (SCI,EI检索期刊).

发表论文：

17. Jinhui Han, Xiaolong Li, Guiyuan Ma* and Adrian Patrick Kennedy (2023). Strategic trading with information acquisition and long-memory stochastic liquidity, European Journal of Operational Research 308(1): 480-495 (IF:6.4, SCI检索期刊, ABS  四星).

16  Guiyuan Ma, Chi Chung Siu*,  Sheung Chi Phillip Yam and Zeyu Zhou (2023). Dynamic trading with Markov liquidity switching, Automatica, 155, 111156. (IF:6.4, SCI,EI检索期刊).

15. Tingjin Yan, Jinhui Han, Guiyuan Ma and Chi Chung Siu* (2023). Dynamic asset-liability management with frictions, Insurance: Mathematics and Economics，111, 57-83 (IF:1.9, SCI,SSCI检索期刊, ABS  三星 ).

14. Alain Bensoussan, Guiyuan Ma，Chi Chung Siu and Sheung Chi Phillip Yam* (2022). Dynamic mean-variance problem with frictions, Finance and Stochastics   26, 267–300 . (IF:2.095, SSCI, SCI双检索期刊, ABS 三星).

13. Jinhui Han, Guiyuan Ma* and Sheung Chi Phillip Yam (2022). Relative performance evaluation for dynamic contracts in a large competitive market, European Journal of Operational Research，302(2): 768-780 (IF:6.4, SCI检索期刊, ABS  四星 ).

12. Guiyuan Ma*, Chi Chung Siu and Song-Ping Zhu (2022). Portfolio choice with return predictability and small trading frictions, Economic Modelling  111, 105823. (IF:4.7, SSCI 检索期刊, ABS 二星 ) .

11. Guiyuan Ma*, Song-Ping Zhu and Ivan Guo (2022). Valuation of general contingent claims with short selling bans: an equal-risk pricing framework, International Journal of Theoretical and Applied Finance  25(04n05), 2250022. (IF:1.096,  ESCI 检索期刊， ABS 二星 ) .

10. Guiyuan Ma* and Song-Ping Zhu (2022). Revisiting the Merton Problem: from HARA to CARA Utility, Computational Economics. 59:651-686 (IF:2.0, SSCI, SCI双检索期刊, ABS 一星).

9. Ben-Zhang Yang, Xiaoping Lu*, Guiyuan Ma and Song-Ping Zhu (2020). Robust portfolio optimization with multi-factor stochastic volatility , Journal of Optimization Theory and Applications 186:264–298 . (IF:2.249, SCI检索期刊, ABS  三星 ).

8. Guiyuan Ma*, Chi Chung Siu, Song-Ping Zhu and Robert J. Elliott (2020). Optimal portfolio execution problem under stochastic price impact , Automatica 112, 108739. (IF:6.4, SCI,EI检索期刊).

7. Guiyuan Ma*, Chi Chung Siu and Song-Ping Zhu (2020). Optimal investment and consumption with return predictability and execution costs, Economic Modelling 88:408-419. (IF:4.7, SSCI 检索期刊, ABS 二星 ) .

6. Guiyuan Ma*, Song-Ping Zhu and Boda Kang (2020). A numerical solution of optimal portfolio selection problem with general utility functions, Computational Economics 55:957-981. (IF:2.0, SSCI, SCI双检索期刊, ABS 一星).

5. Guiyuan Ma*, Chi Chung Siu and Song-Ping Zhu (2019). Dynamic portfolio selection with return predictability and transaction costs, European Journal of Operational Research 278(03): 976-988. (IF:6.4, SCI检索期刊, ABS  四星 ).

4. Guiyuan Ma* and Song-Ping Zhu (2019). Optimal investment and consumption under a continuous-timecointegration model with exponential utility, Quantitative Finance 19(07): 1135-1149. (IF:2.222, SCI, SSCI双检索期刊, ABS  三星).

3. Guiyuan Ma*, Song-Ping Zhu and Wenting Chen (2019). Pricing European call options under a hard-to-borrow stock model, Applied Mathematics and Computation 357: 243-257. (IF:4.397, SCI检索期刊).

2. Guiyuan Ma* and Song-Ping Zhu (2018). Pricing American call options under a hard-to-borrow stock model, European Journal of Applied Mathematics 29(03): 494-514. (IF:1.413 , SCI检索期刊).

1. Song-Ping Zhu* and Guiyuan Ma (2018). An analytical solution for the HJB equation arising from the Merton Problem. International Journal of Financial Engineering. 5(01) 1850008. (IF: 1.429 JCR 经济分区: 137/219 ESCI 检索期刊, ABS 二星)

科研项目

1. 国家自然科学基金青年科学基金项目 “考虑执行成本与信息成本下的动态最优投资问题研究” (72101199)，2022.-01至2024-12，结题，主持

2. 国家社会科学基金 一般项目“基于人工智能数据生成技术的国际大宗商品价格波动风险防控研究”(23BJY203)，2023-09 至 2026-06，在研，参与

3. 中国建设银行研究院 委托课题“金融支持科技自立自强战略研究” (SKH2021224) 参与 结题，2021.07-2023.07

4. 中国建设银行研究院 委托课题“数字金融支持制造业高质量发展战略研究”参与，结题，2024.02-2024.12

5. 中央高校基本科研业务费 自由探索和自主创新项目“资产管理中的动态委托代理问题研究——基于随机最优控制方法和相对绩效评价”(SK2021019)主持  结题 (结项被评为“优秀”) ，2021.01-2022.12

主要兼职

国际期刊审稿服务：

European Journal of Operational Research、Insurance Mathematics and Economics、Automatica、International Review of Economics and Finance、Economic Modelling、Quantitative Finance、China Economics Review、Applied Economics、Computatinal Economics、Asia-Pacific Financial Markets、Journal of Industrial and Management Optimization、Quantitative Finance and Economics、Financial Innovation、Probability in the Engineering and Informational Sciences、Advances in Difference Euqaiton、Differential Equation and Dynamical Systems、Numerical Algebra, Control and Optimization、The ANZIAM Journal、《当代经济科学》

获奖情况

2023-2024学年 优秀本科生毕业论文指导老师         91porn

2022-2023学年 荣获91porn “优秀班主任”荣誉称号 91porn

2020学年 91porn 校友剑冰青年拔尖人才奖励基金 91porn

其它

91porn 金融科技系 副主任

注册金融风险管理师（FRM）