2 citations · 2 across the 4 of their papers we have counts for
4 papers
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…