• WANG, Tan

    Deputy Dean, Chair Professor of Finance

  • Email:

    tanwang@saif.sjtu.edu.cn

  • 　　

    　　

  • Support Staff:

    Jesse Zheng

  • Support Staff Email:

    lzheng2@saif.sjtu.edu.cn

  • Research Interests

    Asset Pricing, Decision-making under Risk and Uncertainty, Systemic Risk in Banking, Investment, Risk Management and Sustainable Development.

Dr. Tan Wang is a Chair Professor of Finance and Deputy Dean at the Shanghai Advanced Institute of Finance (SAIF) at Shanghai Jiao Tong University. Prior to his tenure at SAIF, Professor Wang served as an Assistant Professor of Economics at the University of Waterloo from 1992 to 1996 and as an Assistant Professor, Associate Professor, and Peter Lusztig Professor of Finance at the University of British Columbia from 1996 to 2014. Professor Wang has also been a Visiting Professor at MIT (2001) and a Visiting Scholar with the International Monetary Fund (2005) and the 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, risk management and sustainable development. He has published over 20 articles in leading finance journals, including the Review of Financial Studies, Journal of Finance, Management Science, Journal of Economic Theory, Mathematical Finance, and Econometrica. 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, was awarded the Sun Yefang Financial Innovation Award in 2014.

Professor Wang offers courses including "Financial Economics", "Risk Management", and "Financial Engineering".

Professor Wang received his Ph.D. in Economics from University of Toronto (1992).


Journal Publications

1. Yu Liu, Hao Wang, Tan Wang and Lihong Zhang, 2024, Volatility Ambiguity, Portfolio Choice and Equilibrium Asset Pricing, Management Science.

2. Drapeau, Samuel, Tan Wang, and Tao Wang, 2021, How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?, Journal of Derivatives.

3. Chen, Hong, Tan Wang, and David D. Yao, 2021, Model Financial Network and Systemic Risk—A Dynamic Model, Production and Operations Management.

4. Wang, Tan, and T. S. Wirjanto, 2016, Risk Aversion, Uncertainty, Unemployment Insurance Benefit and Duration of "Wait" Unemployment, Annals of Economics and Finance.

5. 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.

6. Boyle, Phelim, Lorenzo Garlappi, Raman Uppal, and Tan Wang, 2012, Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification, Management Science.

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

8. Cvitanic, Jaksa, Ali Lazrak, and Tan Wang, 2008, Implications of the Sharpe ratio as a performance measure in multi-period settings, Journal of Economic Dynamics & Control.

9. Boyle, Phelim, Shui Feng, Weidong Tian, and Tan Wang, 2008, Robust Stochastic Discount Factors, Review of Financial Studies.

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

11. Garlappi, Lorenzo, Raman Uppal, and Tan Wang, 2007, Portfolio Selection with Parameter and Model Uncertainty, Review of Financial Studies.

12. Cao, H. Henry, Tan Wang, and Harold H. Zhang, 2005, Model Uncertainty, Limited Market Participation and Asset Prices, Review of Financial Studies.

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

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

15. Uppal, Raman, and Tan Wang, 2003, Model Misspecication and Under Diversication, Journal of Finance.

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

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

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

19. Dumas, Bernard, Raman Uppal, and Tan Wang, 2000, Efficient Intertemporal Allocations with Recursive Utility Dumas, Journal of Economic Theory.

20. Epstein, Larry G., and Tan Wang, 1996, Beliefs about Beliefs' without Probabilities, Econometrica.

21. Epstein, Larry G., Tan Wang, 1995, Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes, Journal of Economic Theory.

22. Epstein, Larry G., Epstein, and Tan Wang, 1994, Intertemporal Asset Pricing under Knightian Uncer-tainty, Econometrica.

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

24. Keller, L. Robin, Uzi Segal, and Tan Wang, 1993, The Becker-DeGroot-Marschak Mechanism and Generalized Utility Theories: Theoretical Predictions and Empirical Observations, Theory and Decision.

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

Working Papers

1. Liu, Yu, Hao Wang, Tan Wang and Lihong Zhang, 2023, Volatility Ambiguity, Portfolio Decisions, and Equilibrium Asset Pricing.

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