6 citations · 8 across the 7 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…