Chi Seng Pun

Orcid: 0000-0002-7478-6961

According to our database1, Chi Seng Pun authored at least 20 papers between 2015 and 2023.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Dataset
Other 

Links

Online presence:

On csauthors.net:

Bibliography

2023
Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set.
Manuf. Serv. Oper. Manag., September, 2023

Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios.
SIAM J. Financial Math., March, 2023

Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations.
Eur. J. Oper. Res., 2023

Quantum Algorithms for the Pathwise Lasso.
CoRR, 2023

DRL Trading with CPT Actor and Truncated Quantile Critics.
Proceedings of the 4th ACM International Conference on AI in Finance, 2023

2022
Reinventing Policy Iteration under Time Inconsistency.
Trans. Mach. Learn. Res., 2022

Robust classical-impulse stochastic control problems in an infinite horizon.
Math. Methods Oper. Res., 2022

Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint.
Autom., 2022

Persistent-homology-based machine learning: a survey and a comparative study.
Artif. Intell. Rev., 2022

2021
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection.
SIAM J. Financial Math., 2021

A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions.
Comput. Stat. Data Anal., 2021

A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-inconsistent Problems.
CoRR, 2021

2020
Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection.
Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence, 2020

2019
A bootstrap-based KPSS test for functional time series.
J. Multivar. Anal., 2019

A linear programming model for selection of sparse high-dimensional multiperiod portfolios.
Eur. J. Oper. Res., 2019

2018
Robust time-inconsistent stochastic control problems.
Autom., 2018

2016
Resolution of Degeneracy in Merton's Portfolio Problem.
SIAM J. Financial Math., 2016

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities.
SIAM J. Control. Optim., 2016

Non-zero-sum reinsurance games subject to ambiguous correlations.
Oper. Res. Lett., 2016

2015
Variance swap with mean reversion, multifactor stochastic volatility and jumps.
Eur. J. Oper. Res., 2015


  Loading...