梅小玲，女，博士，廈門大學王亞南經濟研究院副教授。
基本介紹
- 中文名：梅小玲
- 學位/學歷：博士
- 職業：教師
- 專業方向：Quantitative Finance, Portfolio Optimization, Statistics等
- 職稱：助理教授
- 任職院校：廈門大學
個人經歷,研究方向,學術成果,
個人經歷
Education
Ph.D. in Mathematical Engineering, Universida Carlos III de Madrid, 2016;
M.S. in mathematical Engineering, Universidad Carlos III de Madrid, 2011;
B.S. in Applied Mathematics, Beijing Normal University, 2009
研究方向
Research interests
Quantitative Finance, Portfolio Optimization, Statistics, Dynamic Programming
學術成果
[1] Multiperiod portfolio optimization with multiple risky assets and general transaction costs (with Victor DeMiguel and Javier Nogales), Journal of Banking & Finance, 2016
[2] Portfolio selection with proportional transaction costs and predictability (with Javier Nogales), Journal of Banking & Finance, 2018
[3] Precison matrix estimation under data contamination with an application to minimum variance portfolio selection (with Vahe Avagyan) , Communications in statistics - Simulation and Computation, 2019
[1] 福建省自然科學基金青年項目 - 基於凸交易成本的動態投資組合模型研究，2019-2022
[2] 國家自然科學基金青年項目 - 考慮交易成本的高維動態投資最佳化模型，2020 - 2022
