Shuaijie QIAN
Assistant Professor
Department of Mathematics, The Hong Kong University of Science and Technology
Clearwater Bay, Kowloon, Hong Kong
Email: sjqian@ust.hk
Education
National University of Singapore (Singapore) 2016.08 - 2020.11
Ph.D. in Quantitative Finance
Thesis: Non-concave portfolio optimization without the concavification principle
(Louis Chen Hsiao Yun Best Dissertation Prize, NUS)
Tsinghua University (Beijing, P.R.China) 2012.08 - 2016.07
B.S. in Mathematics and Applied Mathematics
Member of "Xuetang" Program, Tsinghua University
Papers (name with * if I am the corresponding author)
Baojun Bian, Xinfu Chen, Min Dai, and Shuaijie Qian (2021). "Penalty Method for Portfolio Selection with Capital Gains Tax". Volume 31, Issue 3. Mathematical Finance.
Min Dai, Steven Kou, Shuaijie Qian, and Xiangwei Wan (2022). "Non-Concave Utility Maximization with Portfolio Bounds". Volume 68, Issue 11. Management Science.
Shuaijie Qian*, Xizhi Su, and Chao Zhou (2021). "Asymptotically Tight Bounds on the Optimal Pricing Strategy with Patient Customers". Revise and Resubmit. Operations Research.
Min Dai, Steven Kou, Shuaijie Qian, and Ling Qin (2023). ''Bitcoin Mining, Electricity Consumption, and Climate Damages''.
Min Dai, Shuaijie Qian, and Heqing Huang (2023). "Variational Inequality Problems in Finance". Accepted, Scientia Sinica Mathematica.
Hong Liu, Shuaijie Qian, and Jing Xu (2024). "Optimal Trading with Speed-Dependent Transaction Cost Rates: A Nonparametric Model". Revise and Resubmit. Operations Research.
Working Papers
Wei Jiang, Shuaijie Qian, and Jialu Shen (2021). " 'Bad News Principle' or 'Good News Principle'? An Investment Theory with Lags and Adjustment Costs". 2022 Midwest Finance Association Annual Meeting.
Shuaijie Qian* and Chen Yang (2023). "Non-Concave Utility Maximization with Transaction Costs". Submitted
Mengge Li, Shuaijie Qian, and Chao Zhou (2023), "Robust Equilibrium Strategy for Mean-Variance Portfolio Selection". Submitted
Min Dai, Shuaijie Qian, Ling Qin, and Jing Xu (2024), "Life-time Portfolio and Consumption Choice with Defined Contribution Plans". Submitted
Career History
Research Fellow 2020.08 - 2022.08
Department of Mathematics, National University of Singapore.
Postdoctoral Fellow 2022.09 - 2023.07
Center of mathematical sciences and applications, Harvard University.
Assistant Professor 2023.07-
Department of Mathematics, HKUST
Academic Activities
Visiting Scholars
École Normale Supérieure, Department of Mathematics, Feb 2016-Jun 2016.
Princeton University, Operations Research and Financial Engineering, Nov 2021.
Presentations and Discussants
INFORMS Annual Meeting, Pheonix, Oct 2023.
Recent Advances on Quantitative Finance, Hong Kong, Aug 2023.
ICIAM, Tokyo, Aug 2023.
Questrom School of Business, Boston University, Feb 2023.
15th Annual Risk Management Conference, Singapore, Jul 2022.
11th World Congress of the Bachelier Finance Society, Hong Kong, June 2022.
6th PKU-NUS Annual International Conference on Quantitative Finance and Economics, Virtual, May 2022.
INFORMS Annual Meeting, Virtual, Nov 2020.
1st Asian Quantitative Finance Seminar, Virtual, Aug, 2020.
INFORMS Annual Meeting, Seattle, USA, Oct 2019.
13th Annual Risk Management Conference, Singapore, Jul 2019.
8th International Congress of Chinese Mathematicians, Beijing China, Jun 2019.
4th Berlin-Princeton-Singapore Workshop on Quantitative Finance, Singapore, Mar 2019.
Reviewer
Mathematical Finance
Mathematics of Operations Research
SIAM Journal on Financial Mathematics
Journal of Economic Dynamics and Control
Mathematics and Financial Economics
Operations Research Letters
Teaching Experiences
HKUST
Fall 2023 Fundamentals of Actuarial Mathematics (undergraduate module).
National University of Singapore
Spring 2021 TA for MA5248 Optimal Stopping and Stochastic Control in Finance (graduate module).
Fall 2018 TA for MA4269 Financial Mathematics II (both undergraduate and graduate module).
Fall 2017 TA for MA1301 Introductory Mathematics (undergraduate module).
Grant
Co-PI, NSFC regular program, Asset allocation, timing and pricing problem under the framework of behavior finance, ￥460,000, 2023-2026
Awards and Honors
Honorable Mention, Alibaba Global Mathematics Competition, 2021.
Graduate:
Louis Chen Hsiao Yun Best Dissertation Prize, National University of Singapore, 2021.
NUS Research Scholarship, National University of Singapore, Aug 2016 to July 2020.
First Place, Best Student Paper Competition in Finance, Informs, Oct 2019.
Undergraduate:
Outstanding Graduate Student, Math Department, Tsinghua University, 2016.
Group Silver Medal, S. T. Yau College Students Mathematics Contest. 2015.
Member of "Xuetang" Program, Tsinghua University, 2013-2016.
Silver Medal, Chinese Mathematical Olympic, Xi'an, 2012.
Hobbies:
Cycling, 2014 Summer, Qinghai-Tibet Line, 24 days, 1937 km, average altitude 4000m.