Home Faculty Zhongfei Li
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Zhongfei Li

Chair Professor

lizf6@sustech.edu.cn

Research Areas

Financial Markets and Investment Financial Engineering and Risk Management Financial Economics Insurance and Actuarial Science

Books

  1. T.T. Fan and Z. F. Li Portfolio Risk Management –Factor Model and its Application (in Chinese) Sun Yat-sen University Press 2011
  2. Z. F. Li and S. Y. Wang Portfolio Optimization and No-Arbitrage (in Chinese) Chinese Science Press 2001.
  3. Z. X. Li Z. F. Li and S. Y. Wang Funds Regulation Modernization Based on Risk (in Chinese) Tsinghua University Press 2002.

International Journal Articles:

  1. S. M. Chen and Z. F. Li (corresponding author) (2010) Optimal Investment-Reinsurance Policy For An Insurance Company With VaR Constraint Insurance Mathematics and Economics 47 144-153. (SCI SSCI)
  2. Y. Zeng and Z. F. Li (corresponding author) and Jingjun Liu (2010) Optimal Strategies Of Benchmark and Mean-Variance Portfolio Selection Problems for Insurers Journal of Industrial and Management Optimization 6(3) 483-496. (SCI SSCI)
  3. Z. F. Li J. Yao and D. Li (2010) Behavior Patterns of Investment Strategies under Roy's Safety-First Principle The Quarterly Review of Economics and Finance 50(2) 167-179. (SSCI)
  4.  Z. F. Li (corresponding author) and S. X. Xie (2010) Mean-Variance Portfolio Optimization under Stochastic Income and Uncertain Exit Time Dynamics of Continuous Discrete and Impulsive Systems B: Applications and Algorithms 17 131-147.
  5. J. H. Jia and Z. F. Li -Conjugate Maps and -Conjugate Duality in Vector Optimization with Set-Valued Maps Optimization 57(5) 2008 621-633
  6. Y. H. Xu Z. F. Li and K. S. Tan Optimal Investment With Noise Trading Risk Journal of Systems Science and Complexity 21 2008 519-526.
  7. L. Yi，D. Li and Z. F. Li Multi-Period Portfolio Selection for Asset-Liability Management with Uncertain Investment Horizon Journal of Industrial and Management Optimization 4(3) 2008 535-552.
  8. S. X. Xie Z. F. Li and S. Y. Wang Continuous-Time Portfolio Selection with Liability: Mean-Variance Model and Stochastic LQ Approach Insurance: Mathematics and Economics 42 2008 943-953.
  9. Z. F. Li K. S. Tan and H. L Yang Multiperiod Optimal Investment- Consumption Strategies with Mortality Risk and Environment Uncertainty North American Actuarial Journal 12 (1) 2008 1-18.
  10. Z. F. Li H. L. Yan and X. T. Deng Optimal Dynamic Portfolio Selection with Earnings-at-Risk Journal of Optimization Theory and Applications 132 (1) 2007 459-473.
  11. Z. F. Li K. W. Ng and X. T. Deng Continuous-Time Optimal Portfolio Selection Using Mean-CaR Models accepted for publication in Nonlinear Dynamics and Systems Theory 7(1) 2007 83-97.
  12. M. C. Cai X. T. Deng and Z. F. Li Computation of Arbitrage In Frictional Bond Market Theoretical Computer Science 363 (3) October 31 2006 pp. 248-256.
  13. J. Yao Z. F. Li and K. W. Ng Model Risk in VaR Estimation: An Empirical Study International Journal of Information Technology and Decision Making 5(3) 2006 503-513.
  14. Z. F. Li Kai W. Ng K. S. Tan and H. L. Yang Best CRP investment strategies for Dynamic Portfolio Selection International Journal of Theoretical and Applied Finance 9(6) 2006 951-966.
  15. Z. F. Li K. W. Ng K. S. Tan and H. L. Yang A closed form solution to a Dynamic Portfolio Optimization Problem Dynamics of Continuous Discrete and Impulsive Systems B: Applications and Algorithms 12 (4) 2005 517-526.
  16. Z. F. Li and K. W. Ng Looking for Arbitrage or Term Structures in Frictional Markets Lecture Notes in Computer Science 3828 2005 612-621.
  17. M. C. Cai X. T. Deng and Z. F. Li Computation of Arbitrage in Financial Market with Various Types of Frictions Lecture Notes in Computer Science 3521，2005，270-280.
  18. X. T. Deng Z. F. Li S. Y. Wang and H. L. Yang Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions Annals of Operations Research 133 2005 265-276.
  19. X. T. Deng Z. F. Li and S. Y. Wang A Minimax Portfolio Selection Strategy with Equilibrium European Journal of Operational Research 166 2005 278-292.
  20. X. T. Deng Z. F. Li and S. Y. Wang Computational Complexity of Arbitrage in Frictional Security Market International Journal of Foundations of Computers Science 13(5) 2002 681-684.
  21. X. T Deng Z. F. Li and S. Y Wang. On computation of arbitrage for markets with friction Lecture Notes in Computer Science，Vol. 1858 2000 309-319.
  22. Z. F. Li Z. X. Li S. Y. Wang and X. T. Deng Optimal Portfolio Selection of Assets with Transaction Costs and No Short Sales International Journal of Systems Science 32(5) 2001 599-607.
  23. Z. F. Li S. Y. Wang and X. T. Deng A Linear Programming Algorithm for Optimal Portfolio Selection with Transaction Costs International Journal of Systems Science 31(1) 2000 107-117.
  24. Z. F. Li and S. Y. Wang A Minimax Inequality for Vector-Valued Mapping Appl. Math. Lett. 12(5) 1999 31-35.
  25. S. Y. Wang Z. F. Li and B. D. Craven Global Efficiency in Multiobjective Programming Optimization 45 1999 369-385.
  26. Z. F. Li Benson Proper Efficiency in Vector Optimization of Set-Valued Maps J. Optim. Theory Appl. 98(3) 1998 623-649.
  27. Z. F. Li and S. Y. Wang A Type of Minimax Inequality for Vector-Valued Mappings J. Math. Anal. Appl. 227 1998 68-80.
  28. Z. F. Li and S. Y. Wang Connectedness of Super Efficient Sets in Vector Optimization of Set-Valued Maps Mathematical Methods of Operations Research 48 1998 207-217.
  29.  Z. F. Li and S. Y. Wang -Approximate Solutions in Multiobjective Optimization Optimization 44(2) 1998 161-174.
  30. Z. F. Li and G. Y. Chen Lagrangian Multipliers Saddle Points and Duality in Vector Optimization of Set-Valued Maps J. Math. Anal. Appl. 215 1997 297-316.
  31. L. Coladas Z. F. Li and S. Y. Wang Two Types of Duality in Multiobjective Fractional Programming Bull. Austral. Math. Soc. 54 1996 99-114.
  32. S. Y. Wang and Z. F. Li Pareto Equilibrium in Multicriteria meta-games Top 3(2) 1995 247-263.
  33. Z. F. Li and S. Y. Wang Lagrangian Multipliers and Saddle Points in Multiobjective Programming J. Optim. Theory Appl. 83(1) 1994 64-81.
  34. L. Coladas Z. F. Li and S. Y. Wang Optimality Conditions for Multiobjective and Non-smooth Minimization in Abstract Spaces Bull. Austral. Math. Soc. 50(2) 1994 205-218.
  35. S. Y. Wang and Z. F. Li Scalarization and Lagrange Duality in Multiobjective Optimization Optimization 26 1992 315-324.

National Journal Articles

  1. J. Y. Gao and and Z. F. Li Robust Portfolio Selection Frontier and CAPM under model uncertainty (in Chinese) Chinese Journal of Management Science 18(12) 2010 1-16.
  2. Z. J. Yuan Z. F. Li A dynamic mean-variance model of portfolio selection under parameter Uncertainty (in Chinese) Journal of Management Science in China　13(12) 2010 1-9.
  3. S. M. Chen and Z. F. Li The Optimal Policy for Insurance Company with Real Investment (in Chinese) Journal of Systems Science and Mathematical Science 30(10) 2010 1293-1303.
  4. Y. F. Li and Z. F. Li International Comparison on Communication Strategies and Effectiveness for Central Bank Studies of International Finance (in Chinese) 8 2010 13-20.
  5. J. Yao Z. F. Li An Analysis of Financial Risk Measurement in Managing Risk (in Chinese) Application of Statistic and Management 29(4) 2010 736-742.
  6. H. X. Yao Z. F. Li and Q. H. Ma The Maximal Linearly Independent Group of Assets and The Two Fund Separation Theorem (in Chinese) Mathematics in Practice and Theory 40(17) 14-19.
  7. Z. J. Yuan Z. F. Li Dynamic Portfolio Selection Under Parameter Uncertainty and Utility Maximization (in Chinese) Chinese Journal of Management Science 18(5) 2010 1-6.
  8. S. M. Chen and Z. F. Li The optimal policy for insurance company with technology investment (in Chinese) Control Theory & Applications 27(7) 2010 861-866.
  9. Y. Zeng and Z. F. Li Optimal Investment Strategy for Insurers under Linear Constraint (in Chinese) Operations Research Transaction 14(2) 2010 106-118.
  10. K. M. Li and Z. F. Li Optimal Derivative Investment Strategies with Stochastic Volatility under Dynamic VaR Constraints (in Chinese) Journal of Sun Yat-Sen University (Social Science Edition) 50(3) 2010 184-192.
  11. Yan Zeng and Z. F. Li Optimal Propotional Reinsurance Policy Based on Regulations (in Chinese) Journal of Systems Science and Mathematical Sciences 29(11) 2009 1496-1506.
  12. J. Y. Gao and and Z. F. Li Robust Portfolio Selection and Asset Pricing under Model Uncertainty (in Chinese) Journal of Systems Engineering 24(5) 2009 46-552.
  13. J. Yao Z. J. Yuan Z. F. Li and D. Li Beta Coefficient based on Value-at-Risk: Estimation Methods and Empirical Analysis (in Chinese) Systems Engineering Theory and Practice 29(7) 2009 27-34.
  14. H. Y. Yao Z. F. Li Portfolio Model and Its Explicit expressions of Portfolio Efficient Frontier with Minimum Investment Proportion Constraint(in Chinese) Or Transactions 13(2)2009119-128
  15. Z. J. Yuan Z. F. Li Mean Variance Portfolio Selection Based on The Bayesian approach Modern Management Science 5 2009 20-21
  16. H. X. Yao and Z. F. Li Portfolio selection with different borrowing-lending rates: Utility maximization model based on mean and VAR(in Chinese)，Systems Engineering-Theory & Practice，29(1)，2009 22-28
  17. Z. F. Li and J. F. Cong Necessary Conditions of the Optimal Multi-Period Proportional Reinsurance Strategy (in Chinese) Journal of Systems Science and Mathematical Sciences 28(11) 2008 1354-1362.
  18. Y. H. Xu and Z. F. Li Dynamic Portfolio Selection Based on Serially Correlated Return Dynamic Mean–Variance Formulation (in Chinese) Systems Engineering Theory and Practice 28(8) 2008 123-131.
  19. H. X. Yao J. X. Yi and Z. F. Li Research on Strategy proofness for Social Welfare Functions (in Chinese) Journal of Systems & Management 2008，17(2)，146-150.
  20. H. X. Yao and Z. F. Li A Portfolio Model and its expression of Portfolio Efficient Frontier with Maximum Drawdown Constraint (in Chinese) Chinese Journal of Management Science 16(3) 2008 23-30.
  21. H. X. Yao J. X. Yi and Z. F. Li The Efficient Frontier Feature of Risky Assets with Singular Variance- covariance Matrix (in Chinese) Application of Statistic and Management 2008，27(1)，111-117.
  22. S. X. Xie and Z. F. Li Continuous-Time Optimal Portfolio Selection with Iiability (in Chinese) Journal of Systems Science and Mathematical Sciences 27(6) 2007 801-810.
  23. H. X. Yao J. X. Yi and Z. F. Li The Equivalent Conditions of Dictatorship for Social Welfare Functions (in Chinese) Mathematics in Practice and Theory 37(11) 2007 157-162.
  24. T.T. Fan and Z. F. Li A Ruin Model in the Loan Portfolio (in Chinese) Forecasting 26(1) 2007 44-48.
  25. Z. F. Li An Analysis of the China Aviation Oil (Singapore) Incident based on Risk Management (in Chinese) Systems Engineering Theory and Practice 27(1) 2007 23-32. (EI)
  26. X. Q. He and Z. F. Li Long-Term Memory in Stock Returns of Shanghai Stock Exchange: Evidence from V/S Statistic (in Chinese) Systems Engineering Theory and Practice 2006 26(12) 47-54.
  27. J. Yao and Z. F. Li Asset Allocation and CAPM Based on Relative Value-at-Risk (in Chinese) Quantitative & Technical Economics 22(12) 2005 133-142.
  28. J. Yao and Z. F. Li Model Risk in The VaR Estimation—Testing Approach and Empirical Study Management Review 17(10) 2005，3-7.
  29. Z. F. Li and G. J. Chen Some Discussions on Telser’s Safety-First Model for Portfolio Selection (in Chinese) Systems Engineering Theory and Practice 25(3) 2005 8-14.
  30. H. X. Yao J. X. Yi and Z. F. Li The Efficient Frontier Features of Risky Assets with Singular Variance-Covariance Matrix (in Chinese) Quantitative & Technical Economics 22(1) 2005 107-113.
  31. Z. F. Li and M. Lin Comparative Analysis of CRRA LA and DA utility models (in Chinese) Management Review 16(11) 2004 10-15.
  32. H. X. Yao J. X. Yi and Z. F. Li The Equivalent forms on Arrow Impossibility Theorem (in Chinese) Operations Research and Management Science 13(5) 2004 59-61.
  33. Z. F. Li and S. Y. Wang Optimal Consumption-Portfolio Selection in Frictional Markets (in Chinese) Journal of Systems Science and Mathematical Science 24(3) 2004 406-416.
  34. Z. F. Li and J. Yao Optimal Dynamic Portfolio Selection under Safety-First Criterion Journal of Systems Science and Mathematical Science 24(1) 2004 41-45. (EI)
  35. Z. F. Li and J. Yao Integrated Empirical Analysis of Chinese Stock Market Management Review 16(1) 2004 27-30.
  36. J. Yao and Z. F. Li The Asset Allocation Model based on VaR (in Chinese) Chinese Journal of Management Science 12(1) 2004 8-14.
  37. Z. F. Li and S. Y. Wang EaR Risk Management and Dynamic Investment Decision (in Chinese) Quantitative & Technical Economics 2003(1) 45-51.
  38. Z. F. Li S. Y. Wang and X. T Deng No-Arbitrage Analysis for the Term Structure of Interest Rates in Markets with Frictions (in Chinese) Journal of Systems Science and Mathematical Science 22(3) 2002 285-295.
  39. S. Y. Wang Z. F. Li and X. T Deng Characterizations of Strong No-Arbitrage in Markets with Frictions (in Chinese) Systems Engineering Theory and Practice 22(10) 2002 60-65.
  40. Z. F. Li S. Y. Wang and H. L. Yang Weak No-Arbitrage in Financial Markets with Frictions (in Chinese) Chinese Journal of Management Science 10(3) 2002 1-5.
  41. Z. F. Li S. Y. Wang and L. Coladas Super Efficiency in Vector Optimization of Set-Valued Maps Progress in Natural Science 8(6) 1998 660-671.
  42. Z. F. Li Benson Proper Efficiency in Vector Optimization of Set-Valued Mappings (in Chinese) Acta Mathematicae Applicatae Sinica 21(1) 1998 123-134.
  43. Z. F. Li and S. Y. Wang Global Efficiency in Multiobjective Programming (in Chinese) Journal of Systems Science and Mathematical Sciences 15(1) 1995 30-32.
  44. S. Y. Wang Z. F. Li and F. M. Yang A Scalarization Theorem in Multiobjective Programming (in Chinese) Chinese Science Bulletin 38(1) 1993 5-7.
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