姓名: 高建军
最后学位: 博士
职称: 副教授
公共职务:
导师岗位: 博导
办公室: 515
电话: 65901981
Email: gao.jianjun@shufe.edu.cn
个人简介

高建军博士,上海财经大学信息管理与工程学院,副教授、博士生导师。中国运筹学学会金融工程与金融风险管理分会常务理事。

研究方向:金融优化;动态投资组合管理;优化算法、随机控制在金融决策模型中的应用。


学术组织                                                                                                                 

  1. 中国运筹学会金融工程与金融风险管理分会,副秘书长,常务理事;
  2. Institute for Operations Research and the Management Sciences (INFORMS), 会员;
  3. IEEE Control System Society, 会员;



教授课程

硕士及博士课程:《投资科学》、《随机模型》、《金融市场与投资策略》、《数据分析与实践》


科研项目
  1. 主持:自然科学基金项目 (2016.01-2019.12)  No. 61573244 :“乘性噪声不确定系统基于偏距的随机控制及在金融优化中的应用”
  2. 主持:自然科学基金项目 (2016.01-2019.12)  No. 71201102 :“资产数目与投资周期带有基数约束的投资组合优化 
  3. 主持:教育部博士点基金项目(2013.01-2015.12) No. 20120073120037:“鲁棒最优变现问题研究”
  4. 参与香港研究资助局(RGC)项目 “Optimal Dynamic Mean Downside Risk Portfolio Selection”, 2014-2017;


教育背景

教育背景:

  • 2009. 博士学位,系统工程及工程管理系,香港中文大学,中国香港
  • 2005. 硕士学位,系统工程及工程管理系,香港中文大学,中国香港
  • 2003. 学士学位,中国科学技术大学,合肥,中国

工作经历:

  • 2016至今: 副教授,信息管理与工程学院, 上海财经大学
  • 2013年-2015年:特别研究、副教授、上海交通大学;(2013年,麻省理工大学斯隆管理学院,访问学者)
  • 2010年-2011年:研究助理,香港中文大学
  • 2009年-2010年: 博士后研究员,香港中文大学


发表论文

Working Paper:

  1. J.J. Gao, D. Li, J. Yao: When Prospect Theory Preference Meets Mean-Reverting Asset Returns: A Dynamic Asset Allocation Model, working paper, 2018. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=31611
  2. M. Strub, D. Li, X. Cui, J.J. Gao: Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR, working paper, 2018https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3040517


期刊论文:

  1. X.S. Ye, R.B. Xue, J.J.Gao, X.R. Cao, Optimization in curbing risk contagion among financial institutes, Automatica, Vol. 94, 214-220, 2018.
  2. W.P. Wu, J.J. Gao, D.Li, Y.Shi: On explicit solution for stochastic linear-quadratic optimal control model with multiplicative noise, IEEE Transactions on Automatic Control, accepted, appear in 2019. https://arxiv.org/abs/1709.05529
  3. J.J. Gao, K. Zhou, D. Li: Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous time. SIAM Journal on Control and Optimization, 55(3), pp 1377-1397, 2017. available at: http://arxiv.org/abs/1402.3464
  4. K. Zhou, J.J. Gao, X.Y. Cui, D. Li: Dynamic mean-VaR portfolio selection in continuous time. Quantitative Finance, 17(10), pp 1631-1643, 2017
  5. J.J. Gao, Y. Xiong, D. Li: Dynamic mean-risk portfolio allocation with multiple risk measures in continuous-time, European Journal of Operational Research,  vol.249, 647-656, 2016.
  6. J.J.Gao, D. Li, X. Cui, S.Y Wang: Time Cardinality Constrained Mean-Variance Dynamic Portfolio Selection and Market Timing: A Stochastic Control Approach, Automatica,  vol. 54, 91-99, 2015.
  7. X.Y. Cui, J.J. Gao, X. Li, D. Li: Optimal Multiperiod Mean-Variance Policy under No-shorting Constraint, European Journal of Operational ResearchVol. 234, No. 2, 459-468, 2014.
  8. J.J  Gao, D. Li: Cardinality constrained mean-variance portfolio selection, Operations Research, Vol. 61, No.3, 745-761, 2013.
  9. C.L. Liu, J.J. Gao: A polynomial case of quadratic programming problems with box and integer constraints, Journal of Global OptimizationVol. 62, No. 4, 661-674, 2015.
  10. J.J. Gao, D. Li: A Polynomial solvable case of cardinality constrained quadratic optimization,Journal of Global Optimization Vol. 56, No. 4, 1441-1455, 2013.
  11. F. C. Qian, J.J. Gao, D. Li: Complete statistical characterization of discrete-time LQG and cumulant control, IEEE Transactions on Automatic Control, Vol. 57, 2110-2115, 2012.
  12. X.L. Sun, C.L. Liu, D. Li, J.J. Gao: On duality gap in binary quadratic optimization, Journal of Global Optimization, Vol. 53, 255-269, 2012.
  13. J.J. Gao, D. Li: Linear-Quadratic switching control with switching cost, Automatica, Vol. 48, 1138-1143, 2012.
  14. J.J. Gao, D. Li: Cardinality constrained linear-quadratic optimal control, IEEE Transactions on Automatic Control, Vol. 56, 1936-1941, 2011.
  15. D. Li, F.C. Qian, Jianjun Gao: Performance first control for discrete-time LQG problem, IEEE Transactions on Automatic Control, Vol. 54, 2225-2230, 2009.

著作章节

  1. J.J. Gao, W.P. Wu, Sparse and Multiple Risk Measures Approach for Data Driven Mean-CVaR Portfolio Optimization Model, Optimization and Control for Systems in the Big-Data Era: Theory and Applications, edited by T. M. Choi, J.J. Gao, J. H. Lambert, C.K, Ng, J. Wang, Springer, 2017.
  2. X.Y. Cui, J.J. Gao,  D. Li,  Continuous-Time Mean-Variance Portfolio Selection with Finite Transactions, Stochastic Analysis and Its Applications to Mathematical Finance, edited by X.Y. Zhou, T. S. Zhang, World Scientific Publishing Company, 2011.
  3. D. Li, X.L. Sun, S.S. Gu, J.J. Gao, C.L. Liu, Polynomially solvable cases of binary quadratic programs, pp 199-225, Optimization and Optimal Control: Theory and Applications, Springer, 2010.


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