Dr. Guiyuan Ma

马贵元博士

Contact

School of Economics and Finance, Xi'an Jiaotong University, China

西安交通大学经济与金融学院金融科技系副教授

Phone: +86 13120725587 School E-mail: guiyuanma@xjtu.edu.cn

Email: maguiyuan@foxmail.com

Research Interests

Optimal portfolio selection; Dynamic trading; Mathematical finance; Stochastic optimal control and its application in finance and economics.

ORCID： Orcid.org/0000-0002-0257-9680
Link to Home Page Google Scholar and ResearchGate

PhD Supervisor: Prof. Song-Ping Zhu

Work （工作经历）

2024-now Associate Professor （副教授） School of Economics and Finance Xi'an Jiaotong University(西安交通大学), China
2020-2024 Assistant Professor （助理教授） School of Economics and Finance Xi'an Jiaotong University(西安交通大学), China
2019-2020 Postdoctoral Fellow Department of Statistics The Chinese University of Hong Kong（香港中文大学） Supervisor: Prof. Phillip Yam（任尚智）
2017- 2019 Associate Research Fellow （助理研究员） School of Mathematics and Applied Statistics University of Wollongong, Australia

Education（教育经历）

2014- 2017 Doctor of Philosophy University of Wollongong Australia Supervisor: Prof. Song-Ping Zhu（诸颂平）
2012-2014 Graduate Certificate Fudan University（复旦大学） China Supervisor: Prof. Shanjian Tang （汤善健）
2008-2012 Bachelor of Science Jilin University （吉林大学） China Supervisor: Prof. Yuecai Han （韩月才）

Research （科研经历）

国家自然科学基金青年科学基金项目 “考虑执行成本与信息成本下的动态最优投资问题研究” (72101199) 2022.-01至2024-12， 30万元，在研，主持
国家社会科学基金一般项目，“基于人工智能数据生成技术的国际大宗商品价格波动风险防控研究” (23BJY203) ，2023-09 至 2026-06，20万元，在研，参与
中央高校基本科研业务费自由探索和自主创新项目 “资产管理中的动态委托代理问题研究——基于随机最优控制方法和相对绩效评价” (SK2021019) 主持结题 (结项被评为“优秀”)2021.01-2022.12.
教育部产学合作协同育人项目“ 风险管理与大数据风控实训课程建设”(202102525010），主持 2021.
中国建设银行重大应急项目金融支持科技自立自强战略研究 SKH2021224 参与 2021.9-2022.9
中国建设银行横向项目数字金融支持制造业高质量发展研究参与 2024.02-
澳大利亚基金委项目(Australian Research Council) “金融市场上的流动性角色分析 The role of liquidity in financial market ” 项目编号：DP170101227 参与 2017-2019
澳大利亚基金委项目(Australian Research Council) “禁止卖空的综合性分析 The effect of bans on short selling: a compensate study” 项目编号：DP140102076, 参与 2014-2016

Publications （发表论文）

2023

17. Tingjin Yan, Jinhui Han, Guiyuan Ma and Chi Chung Siu* (2023). Dynamic asset-liability management with frictions, Insurance: Mathematics and Economics，111, 57-83 (IF:1.9, JCR 经济分区: 186/375, SCI,SSCI检索期刊, ABS 三星 ).

16. Guiyuan Ma, Chi Chung Siu*, Sheung Chi Phillip Yam and Zeyu Zhou (2023). Dynamic trading with Markov liquidity switching, Automatica, 155, 111156. (IF:6.4, JCR 控制与系统工程分区: 20/270, SCI检索期刊).

15. Jinhui Han, Xiaolong Li, Guiyuan Ma* and Adrian Patrick Kennedy (2023). Strategic trading with information acquisition and long-memory stochastic liquidity, European Journal of Operational Research 308(1): 480-495 (IF:6.4, JCR 运筹与管理分区: 11/184, SCI检索期刊, ABS 四星).

2022

14. Alain Bensoussan, Guiyuan Ma，Chi Chung Siu and Sheung Chi Phillip Yam* (2022). Dynamic mean-variance problem with frictions, Finance and Stochastics 26, 267–300 . (IF:2.095, JCR 金融分区: 56/219, SSCI, SCI双检索期刊, ABS 三星).

13. Alain Bensoussan, Guiyuan Ma，Chi Chung Siu and Sheung Chi Phillip Yam* (2022). Dynamic mean–variance problem with frictions, Finance and Stochastics 267-300. (IF:2.467, JCR 金融分区: 56/219, SSCI, SCI双检索期刊, ABS 三星)

12. Jinhui Han, Guiyuan Ma* and Sheung Chi Phillip Yam (2022). Relative performance evaluation for dynamic contracts in a large competitive market, European Journal of Operational Research， published online (IF:5.334, JCR 运筹与管理分区: 14/84, SCI检索期刊, ABS 四星 ).

11. Guiyuan Ma*, Chi Chung Siu and Song-Ping Zhu (2022). Portfolio choice with return predictability and small trading frictions, Economic Modelling published online. (IF:3.127, JCR 经济分区: 89/337, SSCI 检索期刊, ABS 二星 ) .

10 Guiyuan Ma* and Song-Ping Zhu (2021). Revisiting the Merton problem: from HARA to CARA utility. Computational Economics, 59:651-686 . (IF:1.876, JCR rank: 195/377 in Economics, SSCI, SCI).

2020

9. Ben-Zhang Yang, Xiaoping Lu*, Guiyuan Ma and Song-Ping Zhu (2020). Robust portfolio optimization with multi-factor stochastic volatility , Journal of Optimization Theory and Applications 186:264–298 . (IF:2.249, JCR rank: 56/265 in Applied Mathematics).

8. Guiyuan Ma*, Chi Chung Siu, Song-Ping Zhu and Robert J. Elliott (2020). Optimal portfolio execution problem under stochastic price impact , Automatica 112, 108739. (IF:5.944, JCR rank: 10/63 in Automation & Control System).

7. Guiyuan Ma*, Chi Chung Siu and Song-Ping Zhu (2020). Optimal investment and consumption with return predictability and execution costs, Economic Modelling 88:408-419. (IF:3.127, JCR rank:89/377 in Economics) .

6. Guiyuan Ma*, Song-Ping Zhu and Boda Kang (2020). A numerical solution of optimal portfolio selection problem with general utility functions, Computational Economics 55:957-981. (IF:1.876, JCR rank: 186/363 in Economics, SSCI, SCI双检索期刊).

2019

5. Guiyuan Ma*, Chi Chung Siu and Song-Ping Zhu (2019). Dynamic trading with return predictability and transaction costs, European Journal of Operational Research 278(03): 976-988. (IF:5.334, JCR rank: 15/84 in Operation Research & Management Science).

4. Guiyuan Ma* and Song-Ping Zhu (2019). Optimal investment and consumption under a continuous-time cointegration model with exponential utility, Quantitative Finance 19(07):1135-1149. (IF:2.222, JCR rank: 60/108 Finance, SCI, SSCI双检索期刊).

3. Guiyuan Ma*, Song-Ping Zhu and Wenting Chen (2019). Pricing European call options under a hard-to-borrow stock model, Applied Mathematics and Computation 357: 243-257. (IF:4.091, JCR rank: 7/265 in Applied Mathematics).

2018

2. Guiyuan Ma* and Song-Ping Zhu (2018). Pricing American call options under a hard-to-borrow stock model, European Journal of Applied Mathematics 29(03): 494-514. (IF:1.413, JCR rank: 127/265 in Applied Mathematics).

1. Song-Ping Zhu* and Guiyuan Ma (2018). An analytical solution for the HJB equation arising from the Merton Problem. International Journal of Financial Engineering. 5(01) 1850008.

*Corresponding author

Working Papers（工作论文）

1. Dantong Chu, Guiyuan Ma*, Chi Chung Siu and Sheung Chi Phillip Yam (2020). Robust dynamic portfolio choice with return predictability and frictions.

2. Guiyuan Ma*, Chi Chung Siu and Sheung Chi Phillip Yam (2020). Robustly Optimal investment and consumption problem with rational inattention.

3. Jinhui Han*, Guiyuan Ma, and Sheung Chi Phillip Yam (2020). Optimal execution problem with limit and market orders.

Teaching Experience （教学经历）