Chenghu Ma

Fudan University - School of Management

Professor of Finance

No. 670, Guoshun Road

Shanghai, 200433

China

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 29,958

SSRN RANKINGS

Top 29,958

in Total Papers Downloads

1,593

SSRN CITATIONS
Rank 42,366

SSRN RANKINGS

Top 42,366

in Total Papers Citations

10

CROSSREF CITATIONS

3

Scholarly Papers (8)

1.

Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VAR and C-Var

Number of pages: 49 Posted: 08 Jun 2006 Last Revised: 31 May 2010
Wing-Keung Wong and Chenghu Ma
Asia University, Department of Finance and Fudan University - School of Management
Downloads 528 (53,963)
Citation 3

Abstract:

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downside risk, value-at-risk, conditional-VaR, stochastic dominance, utility

2.

Advanced Asset Pricing Theory

Quantitative Finance, Vol. 2
Number of pages: 46 Posted: 29 Mar 2011
Chenghu Ma
Fudan University - School of Management
Downloads 525 (54,360)

Abstract:

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Asset Pricing, Financial Market, Mathematical Finance, Portfolio Risk Management, Stochastic Modeling in Finance, Option Pricing, Term Structure of Interest Rates

3.

Revealing the Implied Risk-Neutral MGF with the Wavelet Method

Journal of Economic Dynamics and Control, Vol. 33, 2008
Number of pages: 42 Posted: 26 Feb 2007 Last Revised: 05 Jun 2011
University of Essex - Department of Accounting, Finance & Management, Essex Business School, Fudan University - School of Management and University of Essex
Downloads 176 (177,137)

Abstract:

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Implied risk-neutral MGF, wavelets, options

4.

Preferences Over Meyer's Location-Scale Family

Number of pages: 45 Posted: 30 Aug 2005
Wing-Keung Wong and Chenghu Ma
Asia University, Department of Finance and Fudan University - School of Management
Downloads 130 (227,768)
Citation 7

Abstract:

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location-scale family, utility functions, indifference curves, stochastic dominance,

5.

The Interaction between Security Lending Market and Security Trading Market

First Annual Volatility Institute at NYU Shanghai (VINS) Conference - 2015
Number of pages: 41 Posted: 04 Aug 2014 Last Revised: 13 Jun 2016
Tiandu Wang, Chenghu Ma and Qian Sun
The People's Bank of China (PBC) - Shanghai Head Office, Fudan University - School of Management and Fudan University
Downloads 91 (292,372)

Abstract:

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Short-selling, Security lending, Market segmentation

6.

w-MPS Risk Aversion and the CAPM

Number of pages: 21 Posted: 09 May 2011
Chenghu Ma and Phelim P. Boyle
Fudan University - School of Management and Wilfrid Laurier University - School of Business & Economics
Downloads 67 (349,749)

Abstract:

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CAPM, w-MPS, Risk Aversion, Infinite & Incomplete Market, Non-Gaussian Returns

7.

Risk Aversion, Fanning Preference, and Volatility Smirk on S&P500 Index Options

Applied Economics, 2016, Vol 48, No. 35, 3277-3292.
Number of pages: 38 Posted: 04 May 2016 Last Revised: 29 Jun 2016
Jian Chen and Chenghu Ma
Xiamen University - School of Economics and Fudan University - School of Management
Downloads 40 (440,314)

Abstract:

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Recursive utility, Fanning effect, Jump risk, Option smirk

8.

W-MPS Risk Aversion and the Shadow CAPM: Theory and Empirical Evidence

Number of pages: 48 Posted: 21 Sep 2016
Lin Huang, Chenghu Ma and Hiroyuki Nakata
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Fudan University - School of Management and University of Tokyo - Faculty of Economics
Downloads 36 (457,097)
Citation 1

Abstract:

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equity premium, w-MPS risk aversion, recursive utility, shadow price