6 citations · 8 across the 7 of their papers we have counts for
7 papers
On Reference-Regulated Multiperiod Mean-Variance Portfolio Optimization in High Dimensions
Yutao Deng, Jianjun Gao, Weichen Wang
The multiperiod mean-variance (MV) portfolio optimization serves as a vital expansion of Markowitz's static MV portfolio selection framework. Just like its static counterpart, the…
Dynamic Factor Model-Based Multiperiod Mean-Variance Portfolio Selection with Portfolio Constraints
Jianjun Gao, Chengneng Jin, Yun Shi +1
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This…
Mean-variance hybrid portfolio optimization with quantile-based risk measure
Weiping Wu, Yu Lin, Jianjun Gao +1
This paper addresses the importance of incorporating various risk measures in portfolio management and proposes a dynamic hybrid portfolio optimization model that combines the spec…
Price Interpretability of Prediction Markets: A Convergence Analysis
Dian Yu, Jianjun Gao, Weiping Wu +1
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their inf…
Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications
Weiping Wu, Jianjun Gao, Junguo Lu +1
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separati…
Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise
Weipin Wu, Jianjun Gao, Duan Li +1
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has…
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time
Jianjun Gao, Ke Zhou, Duan Li +1
Instead of controlling "symmetric" risks measured by central moments of investment return or terminal wealth, more and more portfolio models have shifted their focus to manage "asy…