Moris Strub joined the SUSTech Business School in October 2019. His main research directions are in the areas of Portfolio Selection Behavioral Finance and Economics Mathematical Finance Risk Management and Robo-Advising. Moris particularly enjoys applying mathematics to solve real-world problems which require insights from various fields. He has obtained a BSc in Mathematics and MSc in Applied Mathematics from ETH Zurich both with distinction and a PhD in Financial Engineering 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.

Working 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

Research Interest：

• Portfolio Selection
• Behavioral Finance and Economics
• Mathematical Finance
• Risk Management
• Robo Advising

Journal Papers:

Preprints

1. Endogenization of the Reference Point Reduces the Effect of Loss Aversion for Portfolio Optimization (with Xue Dong He) [SSRN]
2. An Enhanced Mean-Variance Framework for Robo-Advising Applications (with Duan Li and Xiangyu Cui) submitted [SSRN]

Publications

1. 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. [DOISSRN]
2. Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (with Xue Dong He and Thaleia Zariphopoulou) Mathematical Finance available online. [DOISSRN]
3. Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes (with Xun Yu Zhou) Finance and Stochastics available online. [DOISSRN]
4. A Note on Monotone Mean-Variance Preferences for Continuous Processes (with Duan Li) Operations Research Letters Volume 48 Issue 4 Pages 397-400 2020. [DOISSRN]
5. 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. [DOISSRN]
6. 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 Pages 1-21 2019. [DOISSRN]

Theses

1. Advances in Portfolio Selection: Reference Points Conditional Value-at-Risk Mean-Variance Induced Utility Functions and Predictable Forward Processes (2018).
2. On Relations Between (NUPBR) Sigma-Martingale Densities Utility Maximization and the Numéraire Portfolio (2014).