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Journal Articles
- 2023
[j16]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): 84-98 (2023)- [j15]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): 1779-1795 (2023) - [j14]Godeliva Petrina Marisu, Chi Seng Pun:
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios. SIAM J. Financial Math. 14(1): 127-157 (2023) - 2022
- [j13]Chi Seng Pun, Si Xian Lee, Kelin Xia:
Persistent-homology-based machine learning: a survey and a comparative study. Artif. Intell. Rev. 55(7): 5169-5213 (2022) - [j12]Chi Seng Pun, Zi Ye:
Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint. Autom. 135: 109986 (2022) - [j11]Chi Seng Pun:
Robust classical-impulse stochastic control problems in an infinite horizon. Math. Methods Oper. Res. 96(2): 291-312 (2022) - [j10]Nixie S. Lesmana, Huangyuan Su, Chi Seng Pun:
Reinventing Policy Iteration under Time Inconsistency. Trans. Mach. Learn. Res. 2022 (2022) - 2021
- [j9]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: 107105 (2021) - [j8]Chi Seng Pun:
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. SIAM J. Financial Math. 12(1): 410-445 (2021) - 2019
- [j7]Chi Seng Pun, Hoi Ying Wong:
A linear programming model for selection of sparse high-dimensional multiperiod portfolios. Eur. J. Oper. Res. 273(2): 754-771 (2019) - [j6]Yichao Chen, Chi Seng Pun:
A bootstrap-based KPSS test for functional time series. J. Multivar. Anal. 174 (2019) - 2018
- [j5]Chi Seng Pun:
Robust time-inconsistent stochastic control problems. Autom. 94: 249-257 (2018) - 2016
- [j4]Chi Seng Pun, Chi Chung Siu, Hoi Ying Wong:
Non-zero-sum reinsurance games subject to ambiguous correlations. Oper. Res. Lett. 44(5): 578-586 (2016) - [j3]Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong:
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM J. Control. Optim. 54(5): 2309-2338 (2016) - [j2]Chi Seng Pun, Hoi Ying Wong:
Resolution of Degeneracy in Merton's Portfolio Problem. SIAM J. Financial Math. 7(1): 786-811 (2016) - 2015
- [j1]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): 571-580 (2015)
Conference and Workshop Papers
- 2023
- [c2]Marcus Jun Rong Foo, Nixie S. Lesmana, Chi Seng Pun:
DRL Trading with CPT Actor and Truncated Quantile Critics. ICAIF 2023: 574-582 - 2020
- [c1]Chi Seng Pun, Lei Wang, Hoi Ying Wong:
Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection. IJCAI 2020: 4619-4625
Informal and Other Publications
- 2023
- [i2]João F. Doriguello, Debbie Lim, Chi Seng Pun, Patrick Rebentrost, Tushar Vaidya:
Quantum Algorithms for the Pathwise Lasso. CoRR abs/2312.14141 (2023) - 2021
- [i1]Nixie S. Lesmana, Chi Seng Pun:
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-inconsistent Problems. CoRR abs/2110.14295 (2021)
Coauthor Index
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