Huiling WU
Professor
Contact Information
Address:
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China Institute for Actuarial Science (CIAS)， Central University of Finance and Economics (CUFE)，Shahe Higher Education Park, Changping District, Beijing, P.R.China 102206
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Email:
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wuhuiling@cufe.edu.cn
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Telephone:
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86 18810352326
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Employment
l 2019- Professor in CIAS, CUFE, China
l 2013-2018 Associate Professor in CIAS, CUFE, China
l 2011-2013 Assistant Professor in CIAS, CUFE, China
l 2004-2008 Assistant Professor in Department of Applied Mathematics,
South China Normal University, China
Education
l Sept.2008 – July 2011 PhD in Operational Research
School of Mathematics and Computational Science,
Sun Yat-sen University, China
l Sept. 2001 – July. 2004 Master degree in Operational Research
School of Mathematics and Computational Science,
Sun Yat-sen University, China
l Sept.1997 – July.2001 Bachelor in Mathematics
School of Mathematics and Computational Science,
Sun Yat-sen University, China
Research Interests
l Optimal Decision-making(time consistent or globally optimal), risk control, portfolio optimization in defined contribution pension plan
Courses Taught
l A Course in Financial Calculus
l Applied Stochastic Process
l Actuarial Models
l Risk Management Theory
Publications
Refereed Journals:
l Huiling Wu, Xiuguo Wang, Yuanyuan Liu, Li Zeng, 2019. Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan. Journal of Industrial and Management Optimization, 2019, DOI: 10.3934/jimo.2019084.
l Chuangwei Lin, Li Zeng, Huiling Wu, 2019. Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase. Journal of Industrial and Management Optimization, 15(1): 401-427. (SSCI, SCI)
l Huiling Wu, Hongbin Dong, 2018. Optimal investment strategies post retirement with inflation risk (in Chinese). Systems Engineering-Theory & Practice, 38(8): 1930-1945.
l Chuangwei Lin, Huiling Wu, 2018. Multiperiod Telser’s safety-first portfolio selection with regime switching. Discrete Dynamics in Nature and Society, 2018: 1-18. (SSCI, SCI)
l Huiling Wu, Chengguo Weng, Yan Zeng, 2018. Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions. OR Spectrum, 40: 541-582.
(SSCI, SCI)
l Huiling Wu, 2016. Optimal investment-consumption strategy under inflation in a Markovian regime-switching market. Discrete Dynamics in Nature and Society,2016: 1-17. (SSCI, SCI)
l Huiling Wu, Hongbin Dong, 2016. Multi-period mean-variance defined contribution pension management with inflation and stochastic income (in Chinese). Systems Engineering-Theory & Practice, 36(3): 545-558.
l Huiling Wu, Ling Zhang, Hua Chen, 2015. Nash equilibrium strategies for a defined contribution pension management. Insurance: Mathematics and Economics, 62: 202-214. (SCI, SSCI)
l Huiling Wu and Yan Zeng, 2015. Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk. Insurance: Mathematics and Economics, 64: 396–408. (SCI, SSCI)
l Huiling Wu and Hua Chen, 2015. Nash equilibrium strategy for a multi-period mean-variance portfolio selection problem with regime switching. Economic Modelling, 46: 79-90. (SSCI)
l Huiling Wu, Yan Zeng, Haixiang Yao, 2014. Multi-period Markowitz's mean–variance portfolio selection with state-dependent exit probability. Economic Modelling, 36: 69-78. (SSCI)
l Huiling Wu, 2013. Mean-Variance Portfolio Selection with a stochastic cash flow in a Markov-switching Jump-diffusion market, Journal of Optimization Theory and Applications, 158: 918-934. (SCI, SSCI)
l Huiling Wu, Yan Zeng, 2013. Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state. Optimal Control Applications and Methods, 34: 415-432. (SCI, SSCI)
l Huiling Wu, 2013. Time-consistent strategies for a multi-period mean-variance portfolio selection problem. Journal of Applied Mathematics, 2013:1-14. (SCI)
l Huiling Wu, Zhongfei Li, 2012. Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow. Insurance: Mathematics and Economics, 50:371-384.(SCI,SSCI)
l Huiling Wu, Zhongfei Li, 2011. Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon. Journal of Systems Science and Complexity, 24: 140-155. (SCI)
l Haixiang Yao, Huiling Wu and Yan Zeng, 2014. Optimal investment strategy for risky assets under uncertain time-horizon and inflation (In Chinese). Systems Engineering-Theory and Practice, 34: 1089-1099.
l Yan Zeng, Zhongfei Li, Shushang Zhu, Huiling Wu, 2014. Asset-liability management based on CRRA utility criterion (In Chinese). Chinese Journal of Management Science, 22(10):1-8.
l Yan Zeng, HuilingWu and Yongzeng Lai, 2013.Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon. Economic Modelling, 33: 462-470. (SSCI)
l Yan Zeng, Zhongfei Li, Huiling Wu, 2013. Optimal portfolio selection in a Levy market with uncontrolled cash flow and only risky assets. International Journal of Control, 86: 426-437. (SCI, SSCI)
Working Papers:
l Huiling Wu, Pu Liao, 2019. Optimal investment-consumption-annuitization in a defined contribution pension plan with subjective mortality risk.
l Xiuguo Wang, Huiling Wu, 2019. Dynamic portfolio optimization based on downside risk measures in the modified Black-Scholes financial market. Management Review, accepted.
Research Grants
As a leader:
l Natural Science Foundation of China (NSFC), “Financial and insurance decision making with regime switching and random behavioral factors” (No. 11301562), January 2014–December 2016, RMB 220,000
l Natural Science Foundation of China (NSFC), “Portfolio optimization in a defined contribution pension plan with behavioral risk” (No. 11671411), January 2017–December 2020, RMB 480,000
l [3] Humanities and Social Sciences projects of the Ministry of Education, ‘’ Time-consistent decision making for some financial and insurance problems’’ (No. 12YJCZH219), January 2012–December 2014, RMB 70, 000
As a participant:
l Natural Science Foundation of China (NSFC), ‘’Research on stochastic game and its associated optimal risk control based on insurance models’’ (No. 11771465), January 2018–December 2021, RMB 480, 000
l Natural Science Foundation of China (NSFC), “Nonparametric statistical inference for Levy jumps of high-frequency financial time series” (No. 71271223), January 2013–December 2016, RMB 556, 000
l The Foundation of Ministry of Education of China, “Risk management in longevity, reinsurance and quantitative finance” (No. 11JJD790004), September 2011–December 2014, RMB 200,000
Honours/Awards
l The Best Paper Award in System Science, 2014, Institute of Systems Science of Academia Sinica;
l Faculty Academic Award, 2015, Central University of Finance and Economics
