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Jianjun Gao · Study

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Jianjun Gao

8 works· latest 2022· 2 institutionscluster: provisionalORCID 0000-0002-7824-5919

h-index8

i108

Citations522

Works here8

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Most cited in this library

Optimal Cardinality Constrained Portfolio Selection2013 · 154 citations
Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint2012 · 124 citations
Time cardinality constrained mean–variance dynamic portfolio selection and market timing: A stochastic control approach2015 · 49 citations
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time2015 · 48 citations
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time2017 · 45 citations

Works

8 shown

Bayesian dynamic learning and pricing with strategic customers

Production and Operations Management·2022·4 authors·Open access

35citations

Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection

European Journal of Operational Research·2019·4 authors

31citations

Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time

SIAM Journal on Control and Optimization·2017·4 authors

45citations

Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR

Journal of Economic Dynamics and Control·2017·4 authors·Open access

36citations

Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

European Journal of Operational Research·2015·3 authors·Open access

48citations

Time cardinality constrained mean–variance dynamic portfolio selection and market timing: A stochastic control approach

Automatica·2015·4 authors

49citations

Optimal Cardinality Constrained Portfolio Selection

Operations Research·2013·2 authors

154citations

Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint

European Journal of Operational Research·2012·4 authors·Open access

124citations