Chi Seng Pun

Publication Activity (10 Years)

Years Active: 2015-2023
Publications (10 Years): 19

Top Topics

Sparse Learning

Discriminant Analysis

Stochastic Control

Portfolio Selection

Top Venues

Eur. J. Oper. Res.

SIAM J. Financial Math.

Publications

Marcus Jun Rong Foo, Nixie S. Lesmana, Chi Seng Pun
DRL Trading with CPT Actor and Truncated Quantile Critics. ICAIF (2023)
Godeliva Petrina Marisu, Chi Seng Pun
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios. SIAM J. Financial Math. 14 (1) (2023)
João F. Doriguello, Debbie Lim, Chi Seng Pun, Patrick Rebentrost, Tushar Vaidya
Quantum Algorithms for the Pathwise Lasso. CoRR (2023)
Chi Seng Pun, Tianyu Wang, Zhenzhen Yan
Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set. Manuf. Serv. Oper. Manag. 25 (5) (2023)
Kexin Chen, Chi Seng Pun, Hoi Ying Wong
Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations. Eur. J. Oper. Res. 304 (1) (2023)
Chi Seng Pun, Zi Ye
Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint. Autom. 135 (2022)
Chi Seng Pun, Si Xian Lee, Kelin Xia
Persistent-homology-based machine learning: a survey and a comparative study. Artif. Intell. Rev. 55 (7) (2022)
Nixie S. Lesmana, Huangyuan Su, Chi Seng Pun
Reinventing Policy Iteration under Time Inconsistency. Trans. Mach. Learn. Res. 2022 (2022)
Chi Seng Pun
Robust classical-impulse stochastic control problems in an infinite horizon. Math. Methods Oper. Res. 96 (2) (2022)
Nixie S. Lesmana, Chi Seng Pun
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-inconsistent Problems. CoRR (2021)
Chi Seng Pun
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. SIAM J. Financial Math. 12 (1) (2021)
Chi Seng Pun, Matthew Zakharia Hadimaja
A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions. Comput. Stat. Data Anal. 155 (2021)
Chi Seng Pun, Lei Wang, Hoi Ying Wong
Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection. IJCAI (2020)
Yichao Chen, Chi Seng Pun
A bootstrap-based KPSS test for functional time series. J. Multivar. Anal. 174 (2019)
Chi Seng Pun, Hoi Ying Wong
A linear programming model for selection of sparse high-dimensional multiperiod portfolios. Eur. J. Oper. Res. 273 (2) (2019)
Chi Seng Pun
Robust time-inconsistent stochastic control problems. Autom. 94 (2018)
Chi Seng Pun, Chi Chung Siu, Hoi Ying Wong
Non-zero-sum reinsurance games subject to ambiguous correlations. Oper. Res. Lett. 44 (5) (2016)
Chi Seng Pun, Hoi Ying Wong
Resolution of Degeneracy in Merton's Portfolio Problem. SIAM J. Financial Math. 7 (1) (2016)
Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM J. Control. Optim. 54 (5) (2016)
Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong
Variance swap with mean reversion, multifactor stochastic volatility and jumps. Eur. J. Oper. Res. 245 (2) (2015)