Jianjun Gao

Publication Activity (10 Years)

Years Active: 2007-2022
Publications (10 Years): 11

Top Topics

Stochastic Control

Quadratic Optimization

Portfolio Selection

Prediction Markets

Top Venues

Eur. J. Oper. Res.

J. Glob. Optim.

Publications

Dian Yu, Jianjun Gao, Weiping Wu, Zizhuo Wang
Price Interpretability of Prediction Markets: A Convergence Analysis. EC (2022)
Dian Yu, Jianjun Gao, Weiping Wu, Zizhuo Wang
Price Interpretability of Prediction Markets: A Convergence Analysis. CoRR (2022)
Dian Yu, Jianjun Gao, Tongyao Wang
Betting market equilibrium with heterogeneous beliefs: A prospect theory-based model. Eur. J. Oper. Res. 298 (1) (2022)
Xiangyu Cui, Jianjun Gao, Yun Shi
Multi-period mean-variance portfolio optimization with management fees. Oper. Res. 21 (2) (2021)
Weiping Wu, Jianjun Gao, Junguo Lu, Xun Li
On continuous-time constrained stochastic linear-quadratic control. Autom. 114 (2020)
Weiping Wu, Jianjun Gao, Duan Li, Yun Shi
Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise. IEEE Trans. Autom. Control. 64 (5) (2019)
Xiangyu Cui, Jianjun Gao, Yun Shi, Shushang Zhu
Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection. Eur. J. Oper. Res. 276 (2) (2019)
Weiping Wu, Jianjun Gao, Junguo Lu, Xun Li
Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications. CoRR (2018)
Weipin Wu, Jianjun Gao, Duan Li, Yun Shi
Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise. CoRR (2017)
Jianjun Gao, Ke Zhou, Duan Li, Xi-Ren Cao
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time. SIAM J. Control. Optim. 55 (3) (2017)
Jianjun Gao, Yan Xiong, Duan Li
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. Eur. J. Oper. Res. 249 (2) (2016)
Jianjun Gao, Duan Li, Xiangyu Cui, Shouyang Wang
Time cardinality constrained mean-variance dynamic portfolio selection and market timing: A stochastic control approach. Autom. 54 (2015)
Chunli Liu, Jianjun Gao
A polynomial case of convex integer quadratic programming problems with box integer constraints. J. Glob. Optim. 62 (4) (2015)
Wenbo Hu, Jianjun Gao
On optimal risk sensitive execution problem. ICCA (2014)
Xiangyu Cui, Jianjun Gao, Xun Li, Duan Li
Optimal multi-period mean-variance policy under no-shorting constraint. Eur. J. Oper. Res. 234 (2) (2014)
Yan Xiong, Jianjun Gao
Continuous-time mean-variance portfolio optimization with Safety-First Principle. ICCA (2014)
Guihua Wang, Qiang Guo, Liqiang Jiang, Lipo Huang, Jianjun Gao
The model of queuing theory based on the maintenance support of equipment of statistical simulation method. Int. J. Model. Identif. Control. 19 (2) (2013)
Jianjun Gao, Yan Xiong
Dynamic mean-CVaR portfolio optimization in continuous-time. ICCA (2013)
Jianjun Gao, Duan Li
Optimal Cardinality Constrained Portfolio Selection. Oper. Res. 61 (3) (2013)
Jianjun Gao, Duan Li
A polynomial case of the cardinality-constrained quadratic optimization problem. J. Glob. Optim. 56 (4) (2013)
Fucai Qian, Jianjun Gao, Duan Li
Complete Statistical Characterization of Discrete-Time LQG and Cumulant Control. IEEE Trans. Autom. Control. 57 (8) (2012)
Xiaoling Sun, Chunli Liu, Duan Li, Jianjun Gao
On duality gap in binary quadratic programming. J. Glob. Optim. 53 (2) (2012)
Jianjun Gao, Duan Li
Linear-quadratic switching control with switching cost. Autom. 48 (6) (2012)
Duan Li, Xiaoling Sun, Jianjun Gao, Shenshen Gu, Xiaojin Zheng
Reachability determination in acyclic Petri nets by cell enumeration approach. Autom. 47 (9) (2011)
Jianjun Gao, Duan Li
Cardinality Constrained Linear-Quadratic Optimal Control. IEEE Trans. Autom. Control. 56 (8) (2011)
Fucai Qian, Jianjun Gao, Duan Li
Adaptive robust tracking for uncertain system. CDC (2010)
Duan Li, Fucai Qian, Jianjun Gao
Performance-First Control for Discrete-Time LQG Problems. IEEE Trans. Autom. Control. 54 (9) (2009)
Jianjun Gao, Duan Li
On LQ control of discrete-time switched system with switching cost. ECC (2009)
Jianjun Gao, Duan Li
Cardinality constrained linear-quadratic optimal control: Lower bounding scheme via scalar state space by semidefinite programming. CDC (2007)