Moris Simon Strub

Southern University of Science and Technology - Business School

Assistant Professor

1088 Xueyuan Ave

Shenzhen, Guangdong

China

http://sites.google.com/view/morisstrub/home

  • Southern University of Science and Technology - Business School

SCHOLARLY PAPERS

9

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8

CROSSREF CITATIONS

9

Scholarly Papers (9)

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1.

Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment

Number of pages: 29 Posted: 30 Aug 2017 Last Revised: 04 Apr 2019
Moris Simon Strub and Duan Li
Southern University of Science and Technology - Business School and Chinese University of Hong Kong
Downloads 159 (209,673)
Citation 3

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reference-dependent preferences, time-inconsistency, stochastic control, portfolio selection

2.

An Enhanced Mean-Variance Framework for Robo-Advising Applications

Number of pages: 26 Posted: 06 Nov 2019 Last Revised: 11 May 2020
Moris Simon Strub, Duan Li and Xiangyu Cui
Southern University of Science and Technology - Business School, Chinese University of Hong Kong and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 155 (215,427)

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mean-risk portfolio choice; expected utility maximization; risk; potential

3.

Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR

Number of pages: 25 Posted: 22 Sep 2017
Moris Simon Strub, Duan Li, Xiangyu Cui and Jianjun Gao
Southern University of Science and Technology - Business School, Chinese University of Hong Kong, Shanghai University of Finance and Economics - School of Statistics and Management and Shanghai University of Finance and Economics
Downloads 151 (218,935)
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Mean-Risk Portfolio Choice, Conditional Value-At-Risk, Optimal Investment Strategies, Time-Inconsistency, Time-Consistency Induced Risk Measure, Equity Premium Puzzle

4.

Portfolio Selection With Exploration of New Investment Opportunities

Swiss Finance Institute Research Paper No. 20-57
Number of pages: 28 Posted: 06 Aug 2020 Last Revised: 10 Aug 2020
Didier Sornette and Moris Simon Strub
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Southern University of Science and Technology - Business School
Downloads 139 (238,213)

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portfolio selection, mean-variance optimization, exploration vs exploitation, investment universe, alternative investments

5.

Reference Point Formation in Social Networks, Wealth Growth, and Inequality

Number of pages: 39 Posted: 04 Aug 2017 Last Revised: 25 Jun 2019
Youcheng Lou, Moris Simon Strub, Duan Li and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Southern University of Science and Technology - Business School, Chinese University of Hong Kong and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 113 (273,629)
Citation 3

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Cumulative Prospect Theory (CPT), Reference Point, Coefficient of Aspiration, Wealth Growth, Wealth Inequality, Gini Coefficient

6.

How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection

Number of pages: 37 Posted: 20 Jan 2019 Last Revised: 09 Jun 2020
Xue Dong He and Moris Simon Strub
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Southern University of Science and Technology - Business School
Downloads 97 (303,454)
Citation 3

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gain-loss utility; reference point formation, loss aversion, portfolio optimization

7.

Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion

Number of pages: 38 Posted: 02 May 2019 Last Revised: 14 Mar 2020
Xue Dong He, Moris Simon Strub and Thaleia Zariphopoulou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Southern University of Science and Technology - Business School and University of Texas at Austin - Red McCombs School of Business
Downloads 81 (339,657)
Citation 4

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forward criteria, rank-dependent utility, probability distortion, time-consistency, portfolio selection, inverse problems

8.

Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes

Number of pages: 22 Posted: 27 Nov 2018 Last Revised: 09 Jun 2020
Moris Simon Strub and Xun Yu Zhou
Southern University of Science and Technology - Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 80 (342,118)
Citation 3

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Risk-aversion, Arrow-Pratt measure of risk-tolerance, forward utility (performance) processes, dynamic preferences, portfolio selection, binomial model, SAHARA utility

9.

A Note on Monotone Mean-Variance Preferences for Continuous Processes

Number of pages: 10 Posted: 26 Jan 2020
Moris Simon Strub and Duan Li
Southern University of Science and Technology - Business School and Chinese University of Hong Kong
Downloads 45 (453,832)

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monotone mean-variance, mean-variance, portfolio selection, continuous processes