2 citations · 2 across the 4 of their papers we have counts for
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q-fin.PM2023★ 2 cited
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…
q-fin.PM2018
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…