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),2009,119-128
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.