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

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

    3. 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.

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

    5. 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.

    6. 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.

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

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

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

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

    11. 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.

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

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

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

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

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

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

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

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

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

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

    22. 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.

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

  • Financial Economics