6 citations · 8 across the 2 of their papers we have counts for
2 papers
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.PM2014★ 6 cited
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…