Variance swap with mean reversion, multifactor stochastic volatility and jumps. - Chi Seng Pun; Shing Fung Chung; Hoi Ying Wong (Eur. J. Oper. Res., 2015)

Non-zero-sum reinsurance games subject to ambiguous correlations. - Chi Seng Pun; Chi Chung Siu; Hoi Ying Wong (Oper. Res. Lett., 2016)

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. - Jean-Pierre Fouque; Chi Seng Pun; Hoi Ying Wong (SIAM J. Control. Optim., 2016)

Resolution of Degeneracy in Merton's Portfolio Problem. - Chi Seng Pun; Hoi Ying Wong (SIAM J. Financial Math., 2016)

Robust time-inconsistent stochastic control problems. - Chi Seng Pun (Autom., 2018)

A linear programming model for selection of sparse high-dimensional multiperiod portfolios. - Chi Seng Pun; Hoi Ying Wong (Eur. J. Oper. Res., 2019)

A bootstrap-based KPSS test for functional time series. - Yichao Chen; Chi Seng Pun (J. Multivar. Anal., 2019)

Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection. - Chi Seng Pun; Lei Wang; Hoi Ying Wong (IJCAI, 2020)

A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions. - Chi Seng Pun; Matthew Zakharia Hadimaja (Comput. Stat. Data Anal., 2021)

A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. - Chi Seng Pun (SIAM J. Financial Math., 2021)

Persistent-homology-based machine learning: a survey and a comparative study. - Chi Seng Pun; Si Xian Lee; Kelin Xia (Artif. Intell. Rev., 2022)

Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint. - Chi Seng Pun; Zi Ye (Autom., 2022)

Robust classical-impulse stochastic control problems in an infinite horizon. - Chi Seng Pun (Math. Methods Oper. Res., 2022)

Reinventing Policy Iteration under Time Inconsistency. - Nixie S. Lesmana; Huangyuan Su; Chi Seng Pun (Trans. Mach. Learn. Res., 2022)

DRL Trading with CPT Actor and Truncated Quantile Critics. - Marcus Jun Rong Foo; Nixie S. Lesmana; Chi Seng Pun (ICAIF, 2023)

Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations. - Kexin Chen; Chi Seng Pun; Hoi Ying Wong (Eur. J. Oper. Res., 2023)

Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios. - Godeliva Petrina Marisu; Chi Seng Pun (SIAM J. Financial Math., 2023)

Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set. - Chi Seng Pun; Tianyu Wang; Zhenzhen Yan (Manuf. Serv. Oper. Manag., 2023)

Simulating Asset Prices using Conditional Time-Series GAN. - Riasat Ali Istiaque; Chi Seng Pun; Yuli Song (ICAIF, 2024)

Autoregressive DRL with Learned Intrinsic Rewards for Portfolio Optimisation. - Magdalene Hui Qi Lim; Nixie S. Lesmana; Chi Seng Pun (ICAIF, 2024)

Navigating the Difficulty of Achieving Global Optimality under Variance-Induced Time Inconsistency. - Jingxiang Tang; Nixie S. Lesmana; Chi Seng Pun (ICAIF, 2024)

Quantum Algorithms for the Pathwise Lasso. - João F. Doriguello; Debbie Lim; Chi Seng Pun; Patrick Rebentrost; Tushar Vaidya (Quantum, 2025)

A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-Inconsistent Problems. - Nixie S. Lesmana; Chi Seng Pun (SIAM J. Financial Math., 2025)