Moris Simon Strub

Southern University of Science and Technology - Division of Information Systems and Management Engineering

Assistant Professor

1088 Xueyuan Ave

Shenzhen, Guangdong

China

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

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 44,445

SSRN RANKINGS

Top 44,445

in Total Papers Downloads

1,212

SSRN CITATIONS
Rank 36,570

SSRN RANKINGS

Top 36,570

in Total Papers Citations

14

CROSSREF CITATIONS

7

Scholarly Papers (9)

1.

Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising

Number of pages: 32 Posted: 06 Nov 2019 Last Revised: 22 Feb 2021
Xiangyu Cui, Duan Li, Xiao Qiao and Moris Simon Strub
Shanghai University of Finance and Economics - School of Statistics and Management, Chinese University of Hong Kong, Paraconic Technologies US Inc. and Southern University of Science and Technology - Division of Information Systems and Management Engineering
Downloads 212 (172,363)

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mean-risk optimization; mean-variance; expected utility maximization; portfolio choice; risk; potential; asset allocation; robo-advising; FinTech

2.

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 Z├╝rich - Department of Management, Technology, and Economics (D-MTEC) and Southern University of Science and Technology - Division of Information Systems and Management Engineering
Downloads 188 (192,532)

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

3.

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 - Division of Information Systems and Management Engineering and Chinese University of Hong Kong
Downloads 167 (213,309)
Citation 3

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

4.

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 - Division of Information Systems and Management Engineering, Chinese University of Hong Kong, Shanghai University of Finance and Economics - School of Statistics and Management and Shanghai University of Finance and Economics
Downloads 164 (216,584)
Citation 5

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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

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 - Division of Information Systems and Management Engineering, Chinese University of Hong Kong and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 123 (272,511)
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 - Division of Information Systems and Management Engineering
Downloads 114 (287,798)
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: 41 Posted: 02 May 2019 Last Revised: 02 Jan 2021
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 - Division of Information Systems and Management Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 102 (310,714)
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 - Division of Information Systems and Management Engineering and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 90 (336,715)
Citation 2

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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 - Division of Information Systems and Management Engineering and Chinese University of Hong Kong
Downloads 52 (450,789)
Citation 2

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