Dr. SHAO Hui is an Assistant Professor of Quantitative Finance at ZIBS.
Education
Work Experience
11/2020 – Present, Assistant Professor of Quantitative Finance, Zhejiang University
01/2020 – 11/2020, Assistant Professor of Statistics, Nankai University
04/2017 – 01/2020, Research Fellow, Risk Management of Institute, NUS
10/2015 – 04/2017 Research Assistant, Center for Quantitative Finance, NUS
Publications
Journal Articles
[1] Shao, H., & Zhang, Z. G. (2024). A class of distorted Gaussian copulas: theories and applications. Journal of the Operational Research Society, 75(11), 2077–2100. https://doi.org/10.1080/01605682.2024.2305646
[2] Hui Shao, Zhe George Zhang (2023). Extreme-Case Distortion Risk Measures: A Unification and Generalization of Closed-Form Solutions. Mathematics of Operations Research 49(4):2341-2355. https://doi.org/10.1287/moor.2022.0156
[3] Hui Shao, Zhe George Zhang (2023). Distortion risk measure under parametric ambiguity. European Journal of Operational Research 311(3):1159-1172. https://doi.org/10.1016/j.ejor.2023.05.025.
[4] Lujun Li, Hui Shao, Ruodu Wang, Jingping Yang (2018). Worst-case Range Value-at-Risk with Partial Information. SIAM Journal on Financial Mathematics.
[5] Hui Shao. An Axiomatization of Medians on the Domain of Distribution Functions. Operations Research.
Research Interests
Applied Probability Theory
Teaching Courses
+86 (0)573-87572691
huishao@intl.zju.edu.cn
Room 328, ZIBS Building
Office Hours: Each Thursday 13:00-16:00
