WANG, Tan
Professor of Finance, MF Program Academic Director
  • Tan Wang is a Professor of Finance and MF Program Academic Director at Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University. Prior to joining SAIF, he was Assistant Professor of Economics at University of Waterloo from 1992-1996 and Assistant Professor, Associate Professor and Peter Lusztig Professor of Finance at University of British Columbia from 1996-2014. Professor Wang was a visiting professor at MIT (2001). Professor Wang was also a visiting scholar with the International Monetary Fund (2005) and Federal Reserve Bank of Cleveland (2003).
     
    Professor Wang’s research areas include asset pricing, decision making under risk and uncertainty, systemic risk in banking, investment and risk management.
     
    Professor Wang has published extensively in leading finance journals including Review of Financial Studies, Journal of Finance, Management Science, Journal of Economic Theory, Mathematical Finance and Econometrica. Most notably, Professor Wang’s research paper, “Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China”, published in The Review of Financial Studies has just recently been awarded by Sun Yefang Financial Innovation Award(2014). Professor Wang received National Thousand Talents Plan. 
     
    Professor Wang offers a number of courses at SAIF, including Risk Management and Financial Engineering.
     
    Professor Wang received his PhD in Economics from University of Toronto (1992).

  • Research Interests
    Intertemporal Asset Pricing Theory, Decision under Uncertainty and Investment.

    Journal Publications
    1. Drapeau, Samuel, Tan Wang, and Tao Wang, Forthcoming How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?, Journal of Derivatives.

    2. Kamstra, Mark J., Lisa A. Kramer, Maurice D. Levi, and Tan Wang , 2014, Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity, Review of Asset Pricing Studies.

    3. Boyle, Phelim, Lorenzo Garlappi, Raman Uppal, and Tan Wang, 2012, Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification, Management Science.

    4. Li, K., Tan Wang, Y.-L. Cheung, and P. Jiang, 2011, Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China, The Review of Financial Studies.

    5. Wang, Tan, 2008, Sharpe Ratio as a Performance Measure in a Multi-Period Model, Journal of Economic Dynamics & Control.

    6. Wang, Tan, 2008, Robust Stochastic Discount Factors, The Review of Financial Studies.

    7. Wang, Tan, 2007, Search and Endogenous Concentration of Liquidity in Asset Markets, Journal of Economic Theory.

    8. Wang, Tan, 2007, Portfolio Selection with Parameter and Model Uncertainty, The Review of Financial Studies.

    9. Wang, Tan, 2005, Model Uncertainty, Limited Market Participation and Asset Prices, The Review of Financial Studies.

    10. Liu, Jun, Jun Pan, and Tan Wang, 2005, An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks, The Review of Financial Studies.

    11. Wang, Tan, 2004, The Role of Risk Aversion and Uncertainty in an Indi- vidual's Migration Decision, Stochastic Models.

    12. Wang, Tan, 2003, Model Misspecication and Under Diversication, The Journal of Finance.

    13. Wang, Tan, 2001, Conditional Preferences and Updating, Journal of Economic Theory.

    14. Wang, Tan, 2001, Valuation of New Securities in an Incomplete Market: the Catch 22 of Derivative Pricing, Mathematical Finance.

    15. Wang, Tan, 2000, Equilibrium with New Investment Opportunities, Journal of Economic Dynamics & Control.

    16. Wang, Tan, 2000, Intertemporal Efficient Allocations with Recursive Utility, Journal of Economic Theory.

    17. Wang, Tan, 1996, Beliefs about Beliefs' without Probabilities, Econometrica.

    18. Wang, Tan, 1995, Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes, Journal of Economic Theory.

    19. Wang, Tan, 1994, Intertemporal Asset Pricing under Knightian Uncer-tainty, Econometrica.

    20. Wang, Tan, 1993, Lp-Frechet Di erentiable Preference and `Local Utility' Analysis, Journal of Economic Theory.

    21. Wang, Tan, 1993, The Becker-DeGroot-Marschak Mechanism and Generalized Utility Theories: Theoretical Predictions and Empirical Observations, Theory and Decision.

    22. Wang, Tan, 1989, Simulation Technique, Techinques of Modern Management.

  • Financial Economics