Jianjun Gao

Shanghai Jiao Tong University

Associate Professor

800 Dongchuan Road

Shanghai

China

Shanghai University of Finance and Economics

Prof.

No. 100 Wudong Road

Shanghai, Shanghai 200433

China

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 42,617

SSRN RANKINGS

Top 42,617

in Total Papers Downloads

2,217

SSRN CITATIONS
Rank 28,785

SSRN RANKINGS

Top 28,785

in Total Papers Citations

34

CROSSREF CITATIONS

6

Scholarly Papers (12)

1.

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

Number of pages: 32 Posted: 06 Mar 2012
Shanghai Jiao Tong University, Chinese University of Hong KongCity 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 467 (116,605)
Citation 1

Abstract:

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

2.

When Prospect Theory Meets Mean-Reverting Asset Returns: A Behavioral Dynamic Trading Model

Number of pages: 36 Posted: 30 Apr 2018 Last Revised: 17 Apr 2023
Shanghai Jiao Tong University, Chinese University of Hong KongCity University of Hong Kong, Shanghai University of Finance and Economics, Fudan University and School of Economics, Fudan University
Downloads 278 (206,281)
Citation 5

Abstract:

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

3.

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, Duan Li and Duan Li
Shanghai Jiao Tong University, Shanghai Jiao Tong University and Chinese University of Hong KongCity University of Hong Kong
Downloads 269 (213,316)
Citation 3

Abstract:

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

4.

Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint

Number of pages: 29 Posted: 29 Jan 2012
Xiangyu Cui, Jianjun Gao, Xun Li, Duan Li and Duan Li
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Shanghai Jiao Tong University, affiliation not provided to SSRN and Chinese University of Hong KongCity University of Hong Kong
Downloads 239 (239,749)
Citation 12

Abstract:

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5.

Time Cardinality Constrained Mean-Variance Dynamic Portfolio Selection

Number of pages: 30 Posted: 04 Aug 2009
Jianjun Gao, Shouyang Wang, Duan Li and Duan Li
Shanghai Jiao Tong University, Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences and Chinese University of Hong KongCity University of Hong Kong
Downloads 238 (240,784)
Citation 9

Abstract:

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

6.

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

Number of pages: 25 Posted: 22 Sep 2017
University of Warwick - Warwick Business School, Chinese University of Hong KongCity University of Hong Kong, Shanghai University of Finance and Economics - School of Statistics and Management and Shanghai Jiao Tong University
Downloads 202 (280,719)
Citation 7

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

7.

Dynamic Mean-VaR Portfolio Selection in Continuous Time

Number of pages: 27 Posted: 07 Jun 2016
Ke Zhou, Jianjun Gao, Duan Li, Duan Li and Xiangyu Cui
Hunan University - Business School, Shanghai Jiao Tong University, Chinese University of Hong KongCity University of Hong Kong and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 151 (361,653)
Citation 2

Abstract:

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

8.

Constrained Optimal Execution in Limit Order Book Market with Power-shaped Market Depth

Number of pages: 35 Posted: 30 Mar 2021 Last Revised: 04 Nov 2023
Jianjun Gao, Chengneng Jin, Weiping Wu and Jiajia Yan
Shanghai Jiao Tong University, Shanghai University of Finance and Economics - School of Information Management and Engineering, Fuzhou University - School of Economics and Management and affiliation not provided to SSRN
Downloads 100 (493,428)

Abstract:

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Optimal Execution, Limit Order Book, Market Depth, Constraints

9.

Betting Market Equilibrium with Heterogeneous Beliefs: A Prospect Theory-Based Model

Number of pages: 32 Posted: 19 Feb 2021 Last Revised: 11 Mar 2021
Dian Yu, Jianjun Gao and Tongyao Wang
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University and affiliation not provided to SSRN
Downloads 89 (531,735)
Citation 1

Abstract:

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

10.

Mean-Variance Hybrid Portfolio Optimization with Quantile-Based Risk Measure

Number of pages: 35 Posted: 12 Feb 2021 Last Revised: 03 Apr 2023
Weiping Wu, Yu Lin, Jianjun Gao and Ke Zhou
Fuzhou University - School of Economics and Management, Fuzhou University, Shanghai Jiao Tong University and Hunan University - Business School
Downloads 80 (567,330)

Abstract:

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Portfolio optimization; Dynamic mean-variance portfolio selection; Multiple risk measures; Spectral risk measure; Value-at-risk

11.

An End-to-End Direct Reinforcement Learning Approach for Multi-Factor Based Portfolio Management

Number of pages: 33 Posted: 15 Mar 2024
Ke Zhou, Xinman Huang, Xinnan Chen and Jianjun Gao
Hunan University - Business School, Hunan University - Business School, Hunan University - School of Business Administration and Shanghai Jiao Tong University
Downloads 63 (645,912)

Abstract:

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Portfolio optimization, Mean-variance portfolio optimization, Multi-factor model, Reinforcement learning

12.

Multiperiod Portfolio Choice Under Loss Aversion with Dynamic Reference Point in Serially Correlated Market

Number of pages: 38 Posted: 12 Mar 2023 Last Revised: 05 Jun 2024
Jianjun Gao, Li Yaoming, Yun Shi and Jinyan Xie
Shanghai Jiao Tong University, Shanghai University of Finance and Economics - School of Information Management and Engineering, East China Normal University (ECNU) and Shanghai University of Finance and Economics
Downloads 41 (780,735)

Abstract:

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Multiperiod portfolio choice, Loss aversion, Serial correlated returns, Dynamic reference point updating, Disposition effect