个人简介
颜镜洲,男,汉族,中共党员,上海财经大学统计学博士,美国北卡州立大学联合培养博士,讲师。近年来在《Finance Research Letters》、《Economics Letters》、《Operations Research Letters》等学术期刊发表论文数篇,主持上海财经大学创新基金1项,多篇论文在《金融研究》、《系统工程理论与实践》、《Pacific-Basin Finance Journal》等期刊外审,主讲《资产定价与风险管理》等研究生课程。
研究领域
不确定性、资产定价、连续时间宏观金融、应用概率和统计
近期论文
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Robust leverage decision under locked wealth and high-water mark contract, Finance Research Letters, with Deqing Luo, Jiawen Xu, and Xiaoping Wu, forthcoming.
Optimal risk taking under high-water mark contract with jump risk, Finance Research Letters, with Congming Mu and Zhian Liang, 2021, 38 (1): 101460.
Unbiased CCE estimator for interactive fixed effects panels, Economics Letters, with Mingjing Chen, 2019, 175 (1):1-4.
Robust risk-taking under a sustainable constraint, Operations Research Letters, with Jiawen Xu; Deqing Luo; Jiawen Xu,and Xiaoping Wu,2022., 50(3): 246-253.
工作论文
模糊波动下的策略交易和市场质量,与李仲飞和毛杰合作,2022,外审.
经济不确定性对宏观经济系统性风险的影响——基于连续时间宏观经济金融学模型的研,与刘红忠和毛杰合作,2021,外审.
经济不确定性、宏观经济系统性风险与货币政策和宏观审慎监管双支柱调控——基于连续时间金融方法,与刘红忠、毛杰,罗德庆合作,2021,外审.
Robust Risk Choice under High-Water Marks,under review, with Congming MuandJingqiang Yang,2021,under review.
Portfolio Choice with Uncertain Rare- Events Risk,with Wujun Lv, Tao Pang,andXiaobao Xia,2021,R&R.
A Continuous Time Macro-Finance Model with Knightian Uncertainty,with Jie MaoandGuanxiong Shen,2021,R&R.
A Continuous Time Macro-Finance Model with Knightian Uncertainty,with Jie MaoandGuanxiong Shen,2021,R&R.