Jianjun Gao

Jianjun Gao

Associate Professor

Financial Engineering, Financial Optimization and Risk Management, Numerical Optimization and Stochastic Control
Investment Science, Stochastic model, Dynamic Programming
School of Information Management and Engineering 515


Prof. Gao received his Ph.D. and M. Phil degree from the Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, and the Bachelor degree from the University of Science and Technology of China. He used to be the postdoctoral researcher, the lecturer and the visiting researcher in the Chinese University of Hong Kong. Before he joined SHUFE, he was the research professor in the Shanghai Jiao Tong University.

He is currently a committee member of the Financial Engineering and Financial Risk Management Branch of the China Operations Research Society. Professor Gao is the PI of several research projects including the National Natural Science Foundation of China. He has published several papers in top journals, like Operations Research and SIAM J. Control & Optimization.

Selected papers

  1. Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous time.
    Jianjun Gao, Ke Zhou, Duan Li, X.R Cao
    SIAM Journal on Control and Optimization, Vol. 55,No.3,1377-1397, 2017.
    Available at http://arxiv.org/abs/1402.3464.

  2. Dynamic mean-VaR portfolio selection in continuous time.
    Ke Zhou, Jianjun Gao, Xiangyu Cui, Duan Li
    Quantitative Finance, Vol.17,No. 10,1631-1643. 2017.
    Online version: http://dx.doi.org/10.1080/14697688.2017.1298831.

  3. Dynamic mean-risk portfolio allocation with multiple risk measures in continuous-time.
    Jianjun Gao, Yan Xiong, Duan Li.
    European Journal of Operational Research, Vol. 249, 647-656, 2016.

  4. Time Cardinality Constrained Mean-Variance Dynamic Portfolio Selection: A Stochastic Control Approach.
    Jianjun Gao, Duan Li, Xiangyu Cui, Shouyang Wang
    Automatica, Vol.54, 91-99, 2015.

  5. Optimal cardinality constrained portfolio selection.
    Jianjun Gao, Duan Li.
    Operations Research, Vol. 61, 745-761, 2013.