Jianjun Gao

Jianjun Gao

Associate Professor

Interests:
Financial Engineering, Financial Optimization and Risk Management, Numerical Optimization and Stochastic Control
Courses:
Investment Science, Stochastic model, Dynamic Programming
Office:
School of Information Management and Engineering 515
Tel:
021-65901981
Email:
gao.jianjun@shufe.edu.cn

Details


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 Publication on Financial Decision Model:


  1. Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection.
    X. Y. Cui, J. J. Gao, Y. Shi, S. S. Zhu
    European Journal of Operational Research, Vol. 276, No.2, 781-789, 2019.

  2. Optimization in curbing risk contagion among financial institutes.
    X. S. Ye, R. B. Xue, J. J. Gao, X.R. Cao
    Automatica, Vol. 94, 214-220, 2018.

  3. Dynamic mean-LPM and mean-CVaR portfolio Optimization in continuous-time.
    J. J. Gao, K. Zhou, D. Li, X. R. Cao
    SIAM Journal on Control and Optimization, Vol. 55, No. 3, 1377-1397, 2017.
    Available at http://epubs.siam.org/doi/10.1137/140955264.

  4. Dynamic Mean-VaR Portfolio Selection in Continuous Time.
    K. Zhou, J. J. Gao, X.Y. Cui, D. Li
    Quantitative Finance, Vol.17, No. 10, 1631-1643. 2017.
    Available at http://dx.doi.org/10.1080/14697688.2017.1298831.

  5. Dynamic mean-risk portfolio selection with multiple risk measures in continuous-Time.
    J. J. Gao, Y. Xiong, D. Li
    European Journal of Operational Research, vol.249, 647-656, 2016.
    DIO:\url{ http://dx.doi.org/10.1016/j.ejor.2015.09.005http://dx.doi.org/10.1016/j.ejor.2015.09.005}

  6. Time-cardinality constrained mean-variance portfolio selection: Stochastic control approach.
    J. J. Gao, D. Li, X. Y. Cui, S. Y. Wang
    Automatica, vol. 54, 91-99, 2015.

  7. Optimal multiperiod mean-variance policy under no-shorting constraint.
    X. Y. Cui, J. J. Gao, X. Li, and D. Li
    European Journal of Operational Research, Vol. 234, No. 2, 459-468, 2014.

  8. Optimal cardinality constrained portfolio selection.
    J. J. Gao, D. Li
    Operations Research, Vol. 61, 745-761, 2013.

Selected Publication on Optimization and Optimal Control:


  1. Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control with Multiplicative Noise.
    W. P. Wu, J. J. Gao, D. Li
    IEEE Transations On Automatic Control, Vol.64, No. 5, 1999 – 2012, 2019.

  2. A polynomial case of quadratic programming problem with box and integer constraint.
    C.L. Liu, J. J. Gao
    Journal of Global Optimization, Vol. 62, No. 4, 661-674, 2015.

  3. Linear-Quadratic switching control with switching cost.
    J. J. Gao, D. Li
    Automatica, Vol.48, No. 6, 1138-1143, 2013.

  4. A polynomial case of cardinality constrained quadratic optimization problem.
    J. J. Gao, D. Li
    Journal of Global Optimization, Vol. 56, No. 4, 1441-1455, 2013.

  5. Complete statistical characterization of discrete-time LQG and cumulant control.
    F. C. Qian, J. J. Gao, D. Li
    IEEE Transaction on Automatic Control, Vol.57, No.8, 2110-2115, 2012.

  6. On duality gap in binary quadratic optimization.
    X. L. Sun, C. L. Liu, D. Li, J. J. Gao
    Journal of Global Optimization, Vol. 53, No.2, 255-269, 2012.

  7. Eachability Determination in Petri Nets by Cell Enumeration Approach.
    D. Li, X. L. Sun, J. J. Gao, S. S. Gu, J. Zheng
    Automatica, Vol.47, No.9, 2094–2098. 2011.

  8. Discrete-time cardinality constrained linear-quadratic optimal control.
    J. J. Gao, D. Li
    IEEE Transaction on Automatic Control, Vol. 56, No.8, 1936–1941. 2011.

  9. Performance-first control for discrete-time LQG problem.
    D. Li, F. C. Qian, J. J. Gao
    IEEE Transaction on Automatic Control, Vol. 54, No. 9, 2225–2230, 2009.

Book Chapters:


  1. Sparse and Multiple Risk Measures Approach for Data Driven Mean-CVaR Portfolio Optimization Model.
    J. J. Gao, W. P. Wu
    Optimization and Control for Systems in the Big-Data Era, Springer(International Series in Operations Research & Management Science), Edited by Choi, T. M., Gao, J., Lambert, J.H., Ng, C.-K., Wang, J., 2017, pp 167-184.

  2. Continuous-time mean-variance portfolio selection with finite transactions.
    X. Y. Cui, J. J. Gao, D. Li
    Stochastic Analysis and Its Applications to Mathematical Finance, Edited by X. Y. Zhou and T. S. Zhang, World Scientific Publishing Company, 2012, pp.77-98.

  3. Polynomially solvable cases of binary quadratic programs.
    D. Li, X. L. Sun, S. S. Gu, J. J. Gao, C. L. Liu
    Optimization and Optimal Control: Theory and Applications (Springer Optimization and Its Applications, Vol 39, Edited by A. Chinchuluun, P. M. Pardalos, R. Enkhbat and I. Tseveendorj. Springer, 2010, pp 199-225.