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Name Chou-Wen Wang
Title Professor
Research Interests Financial Engineering, High-dimensional Asset Model, Quantitative Investment and Program Trading, Mortality Model and Longevity Securitization, Dimension Reduction In Portfolio Selection
Office 管4075-1
Phone 4827
Email chouwenwang@mail.nsysu.edu.tw


Education 1960, Ph.D., Money and Banking, National Chengchi University
Experience
Administrative Positions
2017-08-01 ~ , Department of Finance, National Sun Yat-sen University, Chair
Academic Services
Category Year Title
Journal Article 2017 Wang, CW; Huang, HC (2017). RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELSASTIN BULLETIN, 47(2), 501-525. (SSCI)
Journal Article 2017 Wang, CW; Yang, SS; Huang, JW (2017). Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insuranceQUANTITATIVE FINANCE, 17(10), 1567-1581. (SSCI)
Journal Article 2017 Zhu, WJ; Tan, KS; Wang, CW (2017). Modeling Multicountry Longevity Risk With Mortality Dependence: A Levy Subordinated Hierarchical Archimedean Copulas ApproachJOURNAL OF RISK AND INSURANCE, 84(), 477-493. (SSCI)
Conference Paper 2017 Chou-Wen Wang, Tzuling Lin, Cary Chi-Liang Tsai (2017). Annuity Portfolio Management with Correlated Age-Specific Mortality Rates. 21st International Congress on Insurance: Mathematics and Economics - IME 2017, Australia.
Conference Paper 2016 Chou-Wen Wang, Bin Li, Kai Liu, Ken Seng Tan (2016). Asset Allocation model under Multivariate Affine Generalized Hyperbolic Framework.. 2016 International Conference on Business and Information (BAI 2016), Japan.
Book and Chapter 2017

(2017). 期貨與選擇權. 新陸書局

Year Title
2018

Pension Fund Management: Longevity Securitization and Smart Beta Strategies. Ministry of Science and Technology, R.O.C (107-2410-H-110-010-MY3)

2018

理財資訊服務產學合作案. THIZLINUX INC. (N107067)

2018

國立中山大學107年度秋季班金融創新產業碩士專班. Taishin International Bank (N107056)

2018

開辦大專院校金融講堂課程. Taiwan Stock Exchange Corporation (N107122)

2017

股票技術分析圖形辨識之資訊服務產學合作案. 安泰證券股份有限公司 (N106104)

2016

Efficient Portfolio Dimension Reduction in Index Tracking and Enhanced Indexation: Smart Beta Score, Time-Varying Asset Return and Optimal Combination Rule. Ministry of Science and Technology, R.O.C (105-2410-H-110-089-MY2)

Year Name Degree Title
2019 Yu-Cheng Tsai Master Constructing Fund of Funds with Deep Learning
2017 謝育展 Master 以深度學習建構SmartBeta交易策略:以臺灣股票市場為例
2017 Yu-han Liu Master Stock Index Trend Prediction With XGBoost, Random Forest, Elastic Net— Evidence from TAIEX, Nikkei 225 Index, S&P500 Index
2017 Yu Ting Wu Master Investment Performance of Moving Average in Mutual Fund
2017 Tzu-Hsuan Chen Master Using Fundamental, Technical and Chip Factors to Construct Taiwan Stock Deep Learning Trading Strategies
2016 謝信誠 Master 技術分析型態辨識與機器學習之SmartBeta交易策略應用
2016 Yi-Chang Chen Ph.D Market Fundamentals, Rational Expectations and Herding Behavior
2015 Tung-yen Wu Master Pattern Recognition with the Fuzzy Theory in Taiwan Stock Market
2015 Ya-ting Chang Master Kelly Criterion under Stock Price Pattern Recognition Method
2015 Zih-yu Hong Master Trend Trading Strategies in Taiwan Stock Market
2015 Yen-Ting Su Master TAIEX Trend Prediction with Support Vector Machine
2015 Chih-Hung Liao Master A study of strategy trading in Taiwan stock market-An application of Markov Switch Regression Model on Smart Beta
2015 Tai-Yuan Lu Master Fund of Funds with optimal Smart Beta strategies in Taiwan Stock Market
2014 Chien-chi Yeh Master Quantitative Stock Selection Strategy- Using Taiwan Stock Market as Example
2014 Sin-ying Cai Master Forecasting TAIEX under Regime Switch Model with Macroeconomic and Financial indicators.
2013 Po-Cheng Lai Master Constructing Portfolios According to Financial Statement Information and Copula-GARCH Model in Taiwan Stock Market
2013 Chi-Han Huang Master The Feasibility Analysis of Taiwanese Leasing Industry's Expansion to Chinese Civil Aviation Leasing Market
2012 Chun-Hsiang Chang Master An Application of Copula-GARCH on Asset Allocation: A Case for Gold, Oil, Cotton, Stock, and Bond
2012 Jia-Syun Li Master The Empirical Analysis of Volatility Smile in Taiwan Options Market
2012 Yu-Chieh Hung Master A Study on the Financial Characteristics and Business Strategies of Chain Enterprises – The Case of Taiwan and Hong Kong Listed Companies
2012 Yen-na Lien Master How Does The Macroeconomy Asymmetrically Affect The Return of Marketing Portfolios Under Different Business Cycles?
2012 Lin-Yi Chiu Master The Decision Model of Sales-Leaseback: Case Study from CMO
2012 Jui-Chun Yin Master Analyzing How Insurance Company Invest in Fixed Income Product and Its Return by Cathay Life Insurance Case
2012 Yong-Sen Huang Master The Financial Impact of Merger and Acquisition-A Case Study Based on Innolux Merger with CMO and TPO
2011 吳佳穎 原油期貨報酬之波動性預測─常態混合模型與NIG混合模型之應用
2011 倪浩宇 多因子與VaR模型於崩盤預測之應用
2011 Hsuan-Yu Fang Master Leverage Trading Strategy of the Kelly Criterion
2011 林佳緯 金融市場的相依性:以股票市場為例
2011 楊韓緻 VAR模型-股票市場危機的預測
2011 Shih-Hung Chan Master Studying on stock indexes return’s dependence:Application of dynamic copula method
2011 方宏彰 廣告及顧客滿意度對股東價值的影響-不同市場波動狀況
2011 甘易禮 75法則於股價指數交易策略之應用
2011 何品瑤 Fama-French三因子及匯率對股票市場之影響
2010 Jhan-yi Liao Master General Sharpe Ratio Innovation with Levy Process and tis Performance in Different Stock Index
2010 Pei-ru Ke Master Forecasting Volatility for commodity futures using fat-tailed model
2010 李訓強 市場與行為因素對股票報酬之影響-馬可夫轉換模型之應用
2010 De-ruei Gao Master What is the optimal leverage of ETF?
2010 陳威坪 障礙選擇權架構下之信用風險分析-VG過程與NIG過程之比較
2009 Chao-chih Yang Master The Analysis of Implied Default Point under the Barrier OptionFramework -An Application of Variance Gamma Process
2009 梁靜如 實質匯率影響因素之探討-馬可夫狀態轉換模型之應用
2009 Ju-Ying Chen Master Option Pricing under Stochastic Volatility for Levy Processes: An Empirical Analysis of TAIEX Index Options
2009 Chih-Hsuan Chen Master The Valuation of Participating Life Insurance Contracts under Levy Processes
2009 Liang-Hsueh Feng Master Generalized Sharpe Ratio under the Levy Processes
2009 Chang-chih Chen Ph.D How does credit rating migration impacts an optimal capital structure decision?
2008 Shyh-weir Tzang Ph.D The Efficacy of Model-Free and Model-Based Volatility Forecasting: Empirical Evidence in Taiwan
2005 Wei-chih Lien Master The pricing of CDO based on Incomplete Information Credit model
Year Title Awarding Organization
Period Activity Description Role