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Faculty

ZHANG Lihong

Department of Finance    Professor

Vice Chair

Phone:(86)(10)62789963

E-mail:zhanglh2@sem.tsinghua.edu.cn

Office:B317 Lihua Building

Office Hours:by appointment

Educational Background

Ph D. in Probability and Mathematical Statistics, Institute of   Applied Mathematics, Academy    of Mathematics and   System Sciences, Chinese Academy of Science, Beijing, China

     
     

M.S. in Probability and Mathematical Statistics, Nankai University,   Tianjin, China

     
     

M.S. in Probability and Mathematical Statistics, Nankai University,   Tianjin, China

     


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Work Experience

2013/12--present, Professor, School of Economics and Management, Tsinghua University

2003/12--2013/11, Associate Professor, School of Economics and Management, Tsinghua University

2001/11--2003/11, Assistant Professor, School of Economics and Management, Tsinghua University

2000/01--2001/11, Postdoc, School of Mathematics Science, Peking University

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Courses

Advanced Theory of Capital Market

Foundations for Financial Economics

Stochastic Calculus in Finance

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Research Areas

Asset Pricing Theory; Risk theory and Risk Management; Portfolio Management

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Publications

l Zhang, X. and Zhang, L. ,“HOW DOES THE INTERNET AFFECT THE FINANCIAL MARKET? AN EQUILIBRIUM MODEL OF INTERNET-FACILITATED FEEDBACK TRADING”, March 2015 MIS QUARTERLY 39(1):17-37

l Zhang, L. and Zhao, L. (2013) “Quantifying the Impact of Partial Information on Sharpe Ratio Optimization” Probability in Engineering and Informational Sciences, Volume 27 / Issue 03 / July 2013, pp 375-402

l Wang, Y., Zhang, L. and Yin, K., (2012) “Behavioral patterns of Chinese stock funds: Evidence from closed growth stock funds”, Tsinghua Science and Technology Vol. 52, 260-264 (in Chinese)

l Sun, L., Zhang, L. (2011) “Optimal Consumption and Investment under Irrational Beliefs”, Journal of Industrial and Management Optimization, Vol 7,139-156.

l Gao, J., Song, F. and Zhang, L. (2011), “Who wants to be informed---More risk aversion or less risk aversion”, Tsinghua Science and Technology Vol. 16, 69-73

l Chen, B., Zhang, L. and Zhao, L (2010), “On the Robustness of Longevity Risk Pricing”, Insurance: Mathematics and Economics 47, 358-373

l Wang, Z., Xia, J. and Zhang, L.H., (2007) “Optimal Investment for An Insurer: the Martingale Approach”, Insurance: Mathematics and Economics 40(2) 322-334

l Gao, F., Song, F. and Zhang, L.H., (2007) “Coherent Risk Measure, Equilibrium and Equilibrium pricing”, Insurance: Mathematics and Economics 40, 85-94.

l Ng, KW, Yang, H. and Zhang, L.H., (2006) “Upper Bounds for Ruin Probability under Compound Filtered Poisson Models”, International Journal of Statistics and System Vol.1 No. 2, 191-201.

l Yang, J., Cheng, S. and Zhang, L.H., (2006) “Bivariate Copula Decomposition in Terms of Comontonicity, Countermonotocity and Independence”. Insurance: Mathematics and Economics 39, 267-284.

l Yang Hailiang. & Zhang L.H. (2006) “Ruin Problems for a Discrete Time Risk Model with Random Interest Rate”, Mathematical Methods of Operations Research Vol 63, No. 2, 287-299.

l Zhang L.H., (2005) “Upper Bounds for Ruin Probability with Stochastic Investment Return”, Tsinghua Science and Technology, Vol. 10, No. 2, 254-258

l Zhang L.H., (2005) “Ruin Probability in Linear Time Series Model”, Tsinghua Science and Technology, Vol. 10, No. 2, 259-264.

l Yang H. & Zhang, L.H., (2005) “Optimal Investment for Insurer with Jump-Diffusion Risk Process”, Insurance: Mathematics and Economics 37(3), 615-634

l Ng KW, Yang H. & Zhang L.H., (2004) “Ruin Probability under Compound Poisson Models with Random Discount Factor”, Probability in Engineering and Informational Sciences, 18, 2004, 55-70

l Yang H. & Zhang L.H., (2003)“Martingale Method for Ruin Probability in an Autoregressive Model with Constant Interest Rate”, Probability in Engineering and Informational Sciences, 17, 2003, 183-198

l Yang H. & Zhang L.H., (2001) “The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force”, North American Actuarial Journal 5(3): 92-103.

l Yang H. & Zhang L.H, (2001) “On the Distribution of Surplus Immediately after Ruin under Interest Force”, Insurance: Mathematics & Economics, Vol. 29, Issue 2, 247-255.

l Yang H. & Zhang L.H., (2001) “On the Distribution of Surplus Immediately before Ruin under Interest Force”, Statistics & Probability Letters, Vol.55, Issue 3, 329-338.

l Yang, H. and Zhang, L. (2000) Ruin Theory with Interest Income, Statistics and Finance: An Interface, p355-369, Edited by Chan,Li and Tong, Imperial College Press, London.

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Industry Experience

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Honors

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Other Information

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