Jianjun Gao

Shanghai University of Finance and Economics

Prof.

No. 100 Wudong Road

Shanghai, Shanghai 200433

China

Shanghai Jiao Tong University

Associate Professor

800 Dongchuan Road

Shanghai

China

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 35,918

SSRN RANKINGS

Top 35,918

in Total Papers Downloads

1,480

SSRN CITATIONS
Rank 35,849

SSRN RANKINGS

Top 35,849

in Total Papers Citations

14

CROSSREF CITATIONS

7

Scholarly Papers (10)

1.

Market Timing Strategy in Dynamic Portfolio Selection: A Mean-Variance Formulation

Number of pages: 32 Posted: 06 Mar 2012
Jianjun Gao, Duan Li, Xiangyu Cui and Shouyang Wang
Shanghai University of Finance and Economics, Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 401 (84,306)
Citation 1

Abstract:

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Market timing, Multi-period portfolio selection, Multi-period mean-variance formulation, Time cardinality

2.

Dynamic Mean-Risk Portfolio Selection with Multiple Risk Measures in Continuous-Time

Number of pages: 36 Posted: 21 Jan 2014 Last Revised: 09 Feb 2014
Jianjun Gao, Yan Xiong and Duan Li
Shanghai University of Finance and Economics, Shanghai Jiao Tong University and Chinese University of Hong Kong
Downloads 241 (146,296)
Citation 1

Abstract:

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Dynamic Portfolio Optimization, Mean-Risk Model, Mean-CVaR, Mean-Variance

3.

Time Cardinality Constrained Mean-Variance Dynamic Portfolio Selection

Number of pages: 30 Posted: 04 Aug 2009
Jianjun Gao, Shouyang Wang and Duan Li
Shanghai University of Finance and Economics, Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences and Chinese University of Hong Kong
Downloads 213 (164,569)
Citation 5

Abstract:

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Cardinality constraint, Dynamic programming, Management fees, Multi-period portfolio selection, Multi-period mean-variance formulation

4.

Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint

Number of pages: 29 Posted: 29 Jan 2012
Xiangyu Cui, Jianjun Gao, Xun Li and Duan Li
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Shanghai University of Finance and Economics, affiliation not provided to SSRN and Chinese University of Hong Kong
Downloads 186 (186,566)
Citation 11

Abstract:

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5.

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

Number of pages: 25 Posted: 22 Sep 2017
Southern University of Science and Technology - Division of Information Systems and Management Engineering, Chinese University of Hong Kong, Shanghai University of Finance and Economics - School of Statistics and Management and Shanghai University of Finance and Economics
Downloads 158 (214,715)
Citation 5

Abstract:

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Mean-Risk Portfolio Choice, Conditional Value-At-Risk, Optimal Investment Strategies, Time-Inconsistency, Time-Consistency Induced Risk Measure, Equity Premium Puzzle

6.

When Prospect Theory Preference Meets Mean-Reverting Asset Returns: A Dynamic Asset Allocation Model

Number of pages: 48 Posted: 30 Apr 2018 Last Revised: 31 Oct 2019
Jianjun Gao, Duan Li and Jing Yao
Shanghai University of Finance and Economics, Chinese University of Hong Kong and School of Economics, Fudan University
Downloads 150 (224,153)
Citation 1

Abstract:

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Prospect Theory, Mean Reversion, Dynamic Asset Allocation, Trading Behavior, Disposition Effect

7.

Dynamic Mean-VaR Portfolio Selection in Continuous Time

Number of pages: 27 Posted: 07 Jun 2016
Ke Zhou, Jianjun Gao, Duan Li and Xiangyu Cui
Hunan University - Business School, Shanghai University of Finance and Economics, Chinese University of Hong Kong and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 125 (258,785)

Abstract:

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Dynamic portfolio selection, Value-at-risk, Quantile Method

8.

Implications of belief distribution and loss aversion for betting market anomalies

Number of pages: 31
Dian Yu, Jianjun Gao and Tongyao Wang
affiliation not provided to SSRN, Shanghai University of Finance and Economics and affiliation not provided to SSRN
Downloads 4

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Forecasting; Belief aggregation; Market anomalies; Prediction markets; Prospect Theory

9.

Dynamic mean-variance portfolio optimization with Value-at-Risk constraint in continuous-time

Number of pages: 27
Dian Yu, Weiping Wu, Ke Zhou, Jianjun Gao and Junguo Lu
affiliation not provided to SSRN, Fuzhou University - School of Economics and Management, Hunan University - Business School, Shanghai University of Finance and Economics and Shanghai Jiao Tong University (SJTU) - Department of Automation
Downloads 1

Abstract:

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Dynamic mean-variance portfolio selection, Value-at-risk, Martingale approach, Dynamic portfolio optimization

10.

Dynamic Mean-Downside Risk Portfolio Selection Problem with Stochastic Interest Rate in Continuous-Time

Number of pages: 22
Weiping Wu, Jianjun Gao, Ke Zhou and zhenpeng tang
Fuzhou University - School of Economics and Management, Shanghai University of Finance and Economics, Hunan University - Business School and affiliation not provided to SSRN
Downloads 1

Abstract:

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Dynamic portfolio selection, stochastic interest rate, Vasicek model, lower-partial moments, value-at-risk, conditional value-at-risk