鳳凰網(wǎng)財(cái)經(jīng)

教育背景：

美國杜克大學(xué)大學(xué)經(jīng)濟(jì)學(xué)博士(經(jīng)濟(jì)學(xué)專業(yè))，1990年

美國杜克大學(xué)理學(xué)碩士(數(shù)學(xué)專業(yè))，1987年

成都地質(zhì)大學(xué)理學(xué)學(xué)士(數(shù)學(xué)專業(yè))，1982年

研究興趣：

實(shí)證金融學(xué)、期權(quán)和期貨、公司財(cái)務(wù)、金融經(jīng)濟(jì)學(xué)等

講授課程：

實(shí)證金融學(xué)、金融經(jīng)濟(jì)學(xué)

近期論文：

1. Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations (with Jay Shanken), Conditionally accepted at Journal of Financial Economics

2. Optimal Portfolio Choice with Parameter Uncertainty (with Raymond Kan), Forthcoming in Journal of Financial and Quantitative Analysis

3. Portfolio Optimization Under Asset Pricing Anomalies (with Pin-Huang Chou and Wen-Shen Li), Japan & The World Economy 18, 2006, 121--142.

4. A New Variance Bound on the Stochastic Discount Factor (with Raymond Kan), Journal of Business 79, 2006, 941--961.

5. Data-generating process uncertainty: What difference does it make in portfolio decisions? (with Jun Tu), Journal of Financial Economics 72, 2004, 385--421.

6. What Determines Expected International Asset Returns? (with Campbell Harvey and Bruno Solnik), Annals of Economics and Finance 3, 2002, 83--127.

7. On Rate of Convergence of Discrete-time Contingent Claims (with Steve Heston), Mathematical Finance 10, 2000, 53--75.

8. Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange (With Pin-Huang Chou and Yuan-Lin Hsu), Annals of Economics and Finance 1, 2000, 79--100.

9. Security Factors as Linear Combinations of Economic Variables, Journal of Financial Markets 2, 1999, 403--432.

10. Testing Multi-beta Pricing Models (with Raja Velu), Journal of Empirical Finance 6, 1999, 219--241.

11. A Critique of the Stochastic Discount Factor Methodology (with Raymond Kan), Journal of Finance 54, 1999, 1021--1048.

12. Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation (with Phil Dybvig and David Beaglehole), Financial Analysts Journal 53, 1997, 62--68.

13. Temporary Components of Stock Returns: What Do the Data Tell Us? (with Chris Lamoureux), Review of Financial Studies 9, 1996, 1033--1059.

14. Measuring the Pricing Error of the Arbitrage Pricing Theory (with John Geweke), Review of Financial Studies 9, 1996, 553--583.

15. Small Sample Rank Tests with Applications to Asset Pricing, Journal of Empirical Finance 2, 1995, 71--93.

16. Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums, Review of Financial Studies 7, 1994, 687--709.

17. Asset Pricing Test Under Alternative Distributions, Journal of Finance 48, 1993, 1927--1942.

18. International Asset Pricing with Alternative Distributional Specifications (with Campbell Harvey), Journal of Empirical Finance 1, 1993, 107--131.

19. Small Sample Tests of Portfolio Efficiency, Journal of Financial Economics 30, 1991, 165--191.

20. Algorithms for the Estimation of Possibly Nonstationary Time Series, Journal of Time Series Analysis 13, 1991, 171--188.

21. Bayesian Inference in Asset Pricing Tests (with Campbell Harvey), Journal of Financial Economics 26, 1990, 221--254.