Name: Cui Xiangyu
Title: Professor
Research Direction: Behavioral Finance, Risk Management, Dynamic Portfolio, Financial Econometrics
Courses taught: Financial Risk Management, Operations Research, Computation and Optimization, Optimization Methods and Their Applications
E - mail: cui.xiangyu@mail.shufe.edu.cn; Phone: 021-65904311
Research Project
Serial Number | Project Name | Project Source | Start and End Time | Project Funding |
1 | Research on Financial Services Based on Multimodal Information and Behavioral Analysis | National Natural Science Foundation Key Project | 2026.1-2030.12 | 1.4 million yuan |
2 | Research on Portfolio Selection and Asset Pricing in Complex Data Environments | National Natural Science Foundation General Project | 2022.1-2025.12 | 480,000 yuan |
3 | Research on Prediction and Portfolio Selection Based on Options Information | National Natural Science Foundation General Project | 2017.1-2020.12 | 493,000 yuan |
4 | Theoretical and Empirical Research on Time Consistency Issues in the Mean-Variance Dynamic Portfolio Model | National Natural Science Foundation Youth Project | 2013.1-2015.12 | 220,000 yuan |
5 | Research on Financial Forecasting and Decision-Making Systems in Complex Data Environments | Youth Innovation Team of Shanghai University of Finance and Economics | 2020.1-2025.3 | 500,000 yuan |
6 | Theoretical Methods and Empirical Research on Credit and Investment Risk Management | Shanghai Pujiang Talent Plan | 2012.10-2014.9 | 300,000 yuan |
Research Field
Behavioral Finance: Primarily focuses on the causes of irrational behavior of investors in financial markets and its impact on individual decision-making and the macro market.
Quantitative Finance: Mainly focuses on the characteristics of derivative product pricing and its impact on the stock market.
Risk Management: Focus primarily on portfolios containing derivative products and risk management.
Educational Background
2006-2010
The Chinese University of Hong Kong, Department of Systems Engineering and Engineering Management, PhD; Advisor: Professor Li Duan
2003 - 2006
University of Science and Technology of China, Department of Statistics and Finance, Master's in Economics; Advisor: Professor Zhang Shuguang
1999-2003
University of Science and Technology of China, Department of Statistics and Finance, Bachelor of Economics
Work Experience
2025.7-Present, Shanghai University of Finance and Economics, Dishui Lake Advanced Institute of Finance, Dual-Appointed Professor
2025.7-Present, Shanghai University of Finance and Economics, School of Statistics and Data Science, Professor (with tenure)
2023.7-2025.7, Shanghai University of Finance and Economics, Dishui Lake Advanced Financial Institute, Dual-Appointed Associate Professor
2017.7-2025.7, Shanghai University of Finance and Economics, School of Statistics and Management, Associate Professor (with tenure)
2015.7-2017.7, Shanghai University of Finance and Economics, School of Statistics and Management, Associate Professor (without tenure)
2011.7-2015.7, Shanghai University of Finance and Economics, School of Statistics and Management, Assistant Professor
2010.7-2011.7, The Chinese University of Hong Kong, Department of Systems Engineering and Engineering Management, Postdoctoral Researcher
SELECTED JOURNAL PUBLICATIONS
1. Decision Making Under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers. (with Rujun Jiang, Yun Shi, Rufeng Xiao and Yifan Yan) INFORMS Journal on Computing 37(4), 2024, 856-873. UTD24
2. Beta and Coskewness Pricing: Perspective from Probability Weighting. (with Xunyu Zhou and Yun Shi) Operations Research, 71(2), 2023, 776-790. UTD24
3. Work More Tomorrow: Resolving Present Bias in Project Management. (with Yun Shi and Nicholas G. Hall) Operations Research, 71(1), 2023, 314-340. UTD24
4. Dynamic Trading with Reference Point Adaptation and Loss Aversion. (with Duan Li, Yun Shi, and Jing Yao)Operations Research, 63(4), 2015, 789-806. UTD24
5. Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise. (with Jianjun Gao, Lingjie Kong and Yun Shi) IEEE Transactions on Automatic Control 69(12), 2024, 8798-8803.
6. Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection (with Xun Li and Duan Li) IEEE Transactions on Automatic Control, (regular paper) 59, 2014, 1833-1844.
7. Volatility analysis with realized GARCH-Itô models. (with Xinyu Song, Donggyu Kim, Huiling Yuan, Zhiping Lu, Yong Zhou and Yazhen Wang) Journal of Econometrics, 222(1), 2021, 393-410.
8. Mean-variance policy for discrete-time cone constrained markets: Time consistency in efficiency and minimum-variance signed supermartingale measure (with Duan Li and Xun Li), Mathematical Finance, 27(2), 2017, 471-504.
9. Better Than Dynamic Mean-Variance: Time Inconsistency and Free Cash Flow Stream (with Duan Li, Shouyang Wang and Shushang Zhu) Mathematical Finance, 22, 2012, 345-378.
Rewards, Honors
In 2020, "Financial Risk Management" was awarded the Shanghai Municipal First-class Undergraduate Online and Offline Blended Course.
2019, Shanghai Outstanding Young Talents
In 2016, "Optimal multi-period mean-variance policy under no-shorting constraint" won the Excellent Paper Award of the 23rd Zhongzhen Research Fund.
In 2015, "Dynamic Trading with Reference Point Adaptation and Loss Aversion" received the Excellent Paper Award of the 22nd Zhongzhen Research Fund.
2015, Shanghai University of Finance and Economics, First Young Teacher Teaching Competition, Second Prize in Economics and Management Group; Third Prize in the Final.
In 2012, Shanghai Pujiang Talent
Social Work
Director of the Management Science and Engineering Society, Secretary-General of the Financial Measurement and Risk Management Division. Member of the 93 Committee of Shanghai University of Finance and Economics. Reviewer for international journals such as *Operations Research*, *Mathematical Finance*, *Journal of Economic Dynamics & Control*, *European Journal of Operational Research*, and *Journal of the Operational Research Society*. Reviewer for Chinese journals such as *Journal of Applied Mathematics*, *Mathematical Statistics and Management*, and *Applied Probability and Statistics*.
