Ganlin Xu

Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve et al. · SIAM Journal on Control and Optimization · 1991 · 827 citations

Market Equilibrium Computation, Financial Mathematics, Asset Pricing +17

Computation of mean-semivariance efficient sets by the Critical Line Algorithm

Harry M. Markowitz, Peter A. Todd, Ganlin Xu et al. · Annals of Operations Research · 1993 · 204 citations

Mathematical Programming, Conic Optimization, Engineering +10

A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients

Ganlin Xu, Steven E. Shreve · The Annals of Applied Probability · 1992 · 130 citations · Full text

Mathematical Programming, Market Equilibrium, Financial Mathematics +17

Earnings forecasting in a global stock selection model and efficient portfolio construction and management

John B. Guerard, Harry M. Markowitz, Ganlin Xu · International Journal of Forecasting · 2015 · 99 citations

Efficient Portfolio Construction, Asset Pricing, Portfolio Selection +10

A Duality Method for Optimal Consumption and Investment Under Short-Selling Prohibition. II. Constant Market Coefficients

Ganlin Xu, Steven E. Shreve · The Annals of Applied Probability · 1992 · 59 citations · Full text

Mathematical Programming, Market Equilibrium, Consumption/investment Problem +20