In Memory of Prof. LI Duan – Obituary

In Memory of Prof. Li Duan



Professor Duan Li, Chair Professor of Operations Research at the City University of Hong Kong and Emeritus Professor of the Department of Systems Engineering and Engineering Management at The Chinese University of Hong Kong, passed away at the Hong Kong Sanatorium & Hospital on November 16th, 2020 at 5:50pm after a valiant battle against cancer.

Professor Duan Li was born on July 4th, 1952 in Shanghai, China. He was admitted to Shanghai High School in 1964 before his education was temporarily disrupted due to the Cultural Revolution. In 1968, he was assigned to the Shanghai Dianguang Instrument Factory, but continued his self-study profusely between and after his factory shifts. He was admitted to Fudan University in 1973 and graduated with a B.S. in Physics in 1977. Between 1977 and 1979, he worked as an assistant engineer at the Shanghai Institute of Process Automation and Instrumentation. In 1979, he was admitted to the Department of Electrical Engineering and Computer Science (EECS) at Shanghai Jiao-Tong University where he studied under the supervision of a prominent control theorist, Professor Zhang Zhongjun, and was awarded his M.E. in EECS in 1982. He was then selected as a recipient of the Ministry of Education’s doctoral scholarship and was admitted as a PhD student at Case Western Reserve University where he would collaborate with a world renowned expert in Systems Engineering, Professor Yacov Y. Haimes, on multi-objective analysis for large-scale systems, and received his Ph.D. in Systems Engineering in 1987.

Between July, 1987 and December, 1994, Professor Li was a faculty member at the University of Virginia, where he was an Associate Professor (Research) in the Department of Systems Engineering and Associate Director of the Center for Risk Management of Engineering Systems.

In December 1994, Professor Li joined the Department of Systems Engineering and Engineering Management at The Chinese University of Hong Kong (CUHK), where he was the Patrick Huen Wing Ming Professor of Systems Engineering and Engineering Management, and served as both Department Chairman from 2003 to 2012 and Director of the Center for Financial Engineering from 2013 to 2017. Professor Li spearheaded efforts that established the Bachelor of Engineering Programme in Financial Technology, the first of its kind undergraduate programme for FinTech in Hong Kong. He was also the founding Director of the Master of Science Programme in Financial Engineering at The Chinese University of Hong Kong (Shenzhen).

Professor Li joined City University of Hong Kong in 2017. From December 2017 to December 2019, he served as Associate Provost (Strategic Planning). He led the task force to establish the School of Data Sciences (SDSC) in July 2018 and served as Acting Dean of SDSC from July 1st, 2018 to Jan 1st, 2020.

Professor Li dedicated his life to conducting cutting-edge research and educating students on how to fundamentally improve our understanding and push the boundaries of our knowledge base in fields that include, but are not limited to: Optimization, Optimal Control and Dynamic Programming, Financial Engineering, Management Science, and Operations Research. A trailblazer, he stood forever at the frontier, discovering and developing new directions continuously for more than three decades. He was an intellectual giant who contributed groundbreaking work in Multi-Objective Optimization, Nonseparable Dynamic Programming, Nonlinear Lagrangian Problems, Integer Programming, Quadratic Programming, Dynamic Mean-Variance Portfolio Optimization, Time Inconsistent Stochastic Decision problems, Behavioral Finance, and Reinforcement Learning for Investment Sciences. In particular, he pioneered and was most well known for developing the embedding method for dynamic mean-variance portfolio optimization that has led to multiple fundamental breakthroughs in dynamic mean-risk analysis.

Professor Li actively served the broader community, as well as fostered and developed academic exchanges across the world. He was a regular keynote speaker at national conferences where he shared his progress clearly and captivatedly. He was an Associate Editor of IEEE Transactions on Automatic Control, and an editorial board member or a guest editor for numerous journals, including the Journal of Global Optimization and IIE Transactions on Operations Engineering. He organized numerous international conferences, including the 3rd Asia Quantitative Finance Conference. He was also a Co-Chair, Organizing Committee, for the 11th World Congress of Bachelier Finance Society, the most prestigious conference in the world of financial mathematics and financial engineering that was originally slated to take place in Hong Kong in 2020. He was Vice President of the Chinese Society of Mathematic Programming, Vice President of the Branch of Financial Systems Engineering, Systems Engineering Society of China, and a member of the Academic Committee, the Chinese National Research Center of Mathematics and Cross-Disciplinary Science, of the Department of Finance and Economics. Most recently, he served as an Associate Editor of the Journal of Operations Research Society of China. He has also been appointed with several Honarary, Adjunct, and Visiting Professorships at Fudan University, Sun Yat-Sen University, The Chinese University of Hong Kong (Shenzhen), Shanghai University, Beijing Institute of Technology, and Chongqing Normal University. Over his career, Professor Li has made significant contributions to the nation’s development in Operations Research, Financial Engineering, Management Science, and other fields that will surely outlast all of us and continue to benefit future generations.

Professor Li’s impact goes well beyond academics. His research has been adopted in industry and most recently, he helped the City University of Hong Kong establish the Laboratory for AI Powered Financial Technologies Limited (AIFT) that aims to bridge the gap between academia and industry. From the initial research proposal to the company’s annual plan, he worked with a core team to bring AIFT from 0 to 1. From credit risk management for online consumer lending to forecasting tail risk in financial markets, many exciting projects are in the works, and AIFT is in good hands moving forward and will continue to fulfill Professor Li’s vision in the coming years.

Professor Li has always set a high bar for himself and was readily available to help everyone. He cared deeply about and dedicated most of his time to his family, colleagues, and his beloved students. He was an avid table tennis player (one could almost surely find him at the gym enjoying a good match on any given weekday) and hiker (leaving his footprints in mountains ranging from Yosemite to Huangshan, and from the Dragon’s Back to Ma On Shan) who enjoyed sharing his passion with his colleagues and students throughout the years. A true gentleman, he was a good man, always humble and authentic, who we always trusted. A clear-eyed idealist, he observed the world as it were, yet never lost hope for a better tomorrow nor the courage to speak against wrongs. A renaissance man, he loved poetry and classical literature, often reciting verses and marveling at its profound lessons. A civic-minded patriot, he cared deeply about his country, city, and community. An optimist, he never allowed the illness to define his life, continuing to enjoy sunrises and sunsets, produce manuscripts, discover new ideas, and nurture his children and students.

His departure results in the loss of a heroic father, a beloved husband, an exemplary teacher, an outstanding scholar, a loyal friend, and an elder statesman. His departure was sudden and his life was cut short, but Professor Li lived a full life that was filled with love and ideas. He will be forever remembered for his devotion to his family, education, service, and the truth. Professor Li is survived by his wife (Xiuying Lu), three sons (Bowen, Kevin, and Andrew), and his beloved current and past students.

We would like to thank everyone who has extended support to Professor Li during such an extraordinary time, and to express our deepest gratitude to the hospital staff who worked tirelessly to buy us valuable time with Professor Li.

Due to the pandemic, we are still in the process of organizing Professor Li’s memorial service and will release details as soon as possible. In the meantime, please direct messages and condolence letters as follows:

• All messages should be directed to: (the official email address for the memorial service organization committee)

• For public and private institutes, please also direct your messages to:
o CityU Messages (the official email address of City University’s School of Data Science)
o CUHK Messages (the official email address of CUHK’s SEEM Department)


Professor Duan Li’s Family
Professor Duan Li’s Memorial Service Organizing Committee
November 17th, 2020

讣 告


李端教授1952年7月生于中国上海。1964年考入上海中学,1966年因文革学校停课,1968年被分配到上海电光仪器厂做工人。1973年进入复旦大学理科(物理)实验班,1977年获得理学学士学位。1977年至1979年在上海自动化仪器研究所系统室从事技术工作。1979年考入上海交通大学电机与计算机系,师从中国自动控制鼻祖张钟俊院士,1982年获上海交通大学自动控制硕士学位。1982年考取教育部留学奖学金,1983年赴美国凯斯西储大学(Case Western Reserve University)系统工程系攻读博士学位,师从国际系统工程权威Yacov Y. Haimes教授,开展多目标大系统方向的研究,1987年获得系统工程博士学位。





李端教授积极参与全球学术活动,多次亲自组织或参与国际学术会议,曾担任国际国内多本知名学术期刊的编辑或客座主编。尤其值得一提的是,李端教授倾尽其力建设和支持国内的学术交流与学术团体。他几乎每年都多次在全国性学术会议上作大会报告,学术研究常讲常新。他曾担任中国运筹学会数学规划分会副理事长,中国系统工程学会金融系统工程专业委员会副理事长,中国运筹学会金融工程与金融风险分会顾问委员会委员,中国科学院国家数学与交叉科学中心数学与经济金融交叉研究学部学术委员会委员,也是原计划2020年在香港举行的第十一届World Congress of Bachelier Finance Society大会的组委会共同主席;他曾担任复旦大学、中山大学、香港中文大学(深圳)、上海大学、北京理工大学和重庆师范大学等多所大学的特聘兼职教授。李端教授为我国运筹学、金融工程和管理科学等学科的发展壮大做出了杰出的贡献。








Department of Systems Engineering and Engineering Management, CUHK