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Ma Chenghu

Department of Finance
Room 220, Siyuan Building
Research Field:Risk Measure and Management, Preferences and Trading Strategies, Asset Pricing, Financial Derivatives, Term Structure of Interest Rates, Inverse Problems in Finance

Educational Background
Ph.D, Economics, University of Toronto, Canada
Master, Control Theory, Shandong University
Bachelor, Control Theory, Shandong University

Academic Background
2009.06--2009.08, Visiting Professor, Institute of Economics Research, Kyoto University
2004.01--2004.05, Visiting Associate Professor, Department of Mathematics, National University of Singapore

Awards on Research
2001.12, Best Paper Award, The 10th Conference on the Theories and Practices of Securities and Financial Markets

Journal Papers
1. Lin Huang, Chenghu Ma, and Hiroyuki Nakata2017w-MPS risk aversion and the shadow CAPM: Theory and empirical evidenceThe European Journal of Finance 23(11) 947-973 
2. Tiantian Wang and Chenghu Ma2017A re-examination of expectation hypothesis with time varying term premiumJournal of Interdisciplinary Mathematics 20(1) 1-12 
3. Tiantian Wang and Chenghu Ma2016Combined effect of macroeconmic variables on term premiumsЕКОНОМІКА ТА УПРАВЛІННЯ (4) 115-122 
4. Jian Chen and Chenghu Ma2016Option pricing based on alternative jump size distributionsFrontiers of Economics in China 11(3) 439-467 
5. Phelim P. Boyle and Chenghu Ma2013w-MPS risk aversion and the CAPMTheoretical Economics Letters 3(6) 306-316 
6. Chenghu Ma and Jiankang Zhang2013p-Weakly constrained Pareto efficiency and aggregation in incomplete marketsSocial Choice and Welfare 41(3) 605-623 
7. Ma, Chenghu2011w-MPS risk aversion and continuous-time MV analysis in presence of lévy jumpsRisk and Decision Analysis 2(4) 221-236 
8. Chenghu Ma, Wing-Keung Wong2010Stochastic Dominance and Risk Measure: A Decision-theoretic Foundation for VaR and C-VaREuropean Journal of Operational Research 207(2) 927-935 
9. Chenghu Ma2009Uncertainty Aversion and A Theory of Incomplete ContractGame Theory and Applications Vol.13 85-103 
10. Emmanuel Haven, Xiaoquan Liu, Chenghu Ma, Liya Shen 2009Revealing the Implied Risk-neutral MGF from Options: The Wavelet Method Journal of Economic Dynamics & Control Vol.33 692-709 
11. Wing-keung Wong, Chenghu Ma 2008Preferences over Location-scale Family Economic Theory Vol.37 119-146 
12. Chenghu Ma2007Preferences, Levy Jumps and Option Pricing Annals of Financial Economics Vol.3 1-39 
13. Chenghu Ma 2006Intertemporal Recursive Utility and An Equilibrium Asset Pricing Model in The Presence of Levy JumpsJournal of Mathematical Economics Vol.42(2) 131-160 
14. Chenghu Ma2003Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM ApproachAnnals of Economics and Finance Vol.4(2) 401-426 
15. Xiao Luo, Chenghu Ma 2003" Agreeing to Disagree" Type Results: A Decision-theoretic ApproachJournal of Mathematical Economics Vol.39(8) 849-861  
16. Xiao Luo, Chenghu Ma 2001Stable Equilibrium in Beliefs in Extensive Games with Perfect Information Journal of Economic Dynamics and Control Vol.25(11) 1801-1825 
17. Chenghu Ma2001A No-Trade Theorem under Knightian Uncertainty with General Preferences Theory and Decision Vol.51(2-4) 173-181 
18. Chenghu Ma2000An Existence Theorem of Intertemporal Recursive Utility in the Presence of Levy Jumps Journal of Mathematical Economics  Vol.34(4) 509-526  
19. Chenghu Ma 2000Uncertainty Aversion and Rationality in Games of Perfect Information Journal of Economic Dynamics and Control  Vol.24(3) 451-482 
20. Chenghu Ma 1998Attitudes toward the Timing of Resolution of Uncertainty and the Existence of Recursive UtilityJournal of Economic Dynamics & Control Vol.23(1)  97-112 
21. Chenghu Ma 1998A Discrete-Time Intertemporal Asset Pricing Model: GE Approach with Recursive Utility Mathematical Finance Vol.8(3)  249-275 
22. Chenghu Ma 1993Market Equilibrium with Heterogeneous Recursive-utility-maximizing AgentsEconomic Theory Vol.3(2)  243-266 
23. Erhua Zhang, Chenghu Ma, and Jilin Wu2016Identification of SVAR model based on the inference of dynamic causal structure: Algorithms and Monte Carlo simulationSystems Engineering--Theory & Practice 36(6) 1442-1452(in Chinese) 
24. Xiangliang Lin, Chenghu Ma, and Longzhen Fan2015Portfolios choices under cumulative prospect theory in the case of discrete distributionJournal of Systems Engineering 30(4) 494-508(in Chinese) 
25. Gong, Jian and Chenghu Ma2012A hidden markov chain modeling of Shanghai stock indexFinance 2(1) 45-49(in Chinese) 
26. Xianzhen Wang, Chenghu Ma2009The Jump Behavior of China's Stock Market PricesChina Finance Review  vol.3(4) 31-66,115-150(in Chinese) 

Academic Works
Chenghu Ma. 2010. Advanced Asset Pricing Theory. Imperial College Press, London.  

Papers in Books
Chenghu Ma.Asset Pricing and Observational Equivalence in the Presence of Levy Jumps.In .Changing Models.,2005
Xiao Luo, Chenghu Ma .Recent Advancements in the Theory of Choice under Knightian Uncertainty and Their Applications in Economics.In .The Current State of Economic Science.Vol.2,1999

Teaching Materials, etc.
Chenghu Ma. 2016. Foundation of Financial Economics. Tsinghua University Press, Beijing(in Chinese)
Chenghu Ma. 2010. Advanced Asset Pricing Theory. China Renmin University Press, Beijing (in Chinese)

Research Projects
2013.01—2016.12, Principal Investigator, Investor Preferences, Derivative Trading and Inversion Problems in Finance, National Natural Science Foundation of China
2009.01—2011.12, Principal Investigator, On MPS-Risk-Aversion, Risk Management and Sequential Portfolio Choice: Theory and Empirical Implementation, National Natural Science Fundation of China
2000.11—2003.10, Principal Investigator, Theory of Choice under Uncertainty and Its Applications in Economics and Finance, Economics and Social Research Council(ESRC)
1997.06—2000.05, Principal Investigator, Short-selling and Market Equilibrium, Fonds pour les Chercheurs et L'Aide A la Recherche
1994.04—1997.03, Principal Investigator, Equilibria in Economics with Incomplete Capital Market, Social Science and Humanity Research Council of Canada(SSHRC)

Academic Posts
2011.01—, Member of Editorial Board, Journal of Risk and Financial Management
2010.03—, Organizing Committee Member, Inaugural Conference of Chinese Game Theory and Experimental Economics Association
2010.03—, Session Organizer, The 10th Society for the Advancement in Economic Theory Conference
2010.01—, Program Committee Member, The 7th Asian General Equilibrium Theory Workshop
2009.11—, Referee , Referee on Behalf of Changjiang Scholar Program, Ministry of Education
2009.05—, Scientific Committee Member, International Research Forum: What Can the Academic Community Learn from the Global Crisis?
2009.04—, Referee, Division of Management Science, National Natural Science Foundation
2008.12—, Associate Editor, Journal of Applied Mathematics and Decision Science
2008.07—, Guest Editor, Journal of Mathematical Economics
2007.08—, Member of Editorial Board, Annals of Financial Economics
2006.09—, Member of Editorial Board, Finanmetrica

Academic Conferences
2012.06—2012.06 The 12th Society for the Advancement of Economic Theory Conference, Brisbane, Australia
2012.06—2012.06 The 7th Bachelier Finance Society World Congress 2012 (BFS2012), Sydney, Australia

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