Chi Seng Pun

According to our database, Chi Seng Pun authored at least 23 papers between 2015 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Navigating the Difficulty of Achieving Global Optimality under Variance-Induced Time Inconsistency.

Jingxiang Tang, Nixie S. Lesmana, Chi Seng Pun

Proceedings of the 5th ACM International Conference on AI in Finance, 2024

Autoregressive DRL with Learned Intrinsic Rewards for Portfolio Optimisation.

Magdalene Hui Qi Lim, Nixie S. Lesmana, Chi Seng Pun

Proceedings of the 5th ACM International Conference on AI in Finance, 2024

Simulating Asset Prices using Conditional Time-Series GAN.

Riasat Ali Istiaque, Chi Seng Pun, Yuli Song

Proceedings of the 5th ACM International Conference on AI in Finance, 2024

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., September, 2023

Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios.

Godeliva Petrina Marisu, Chi Seng Pun

SIAM J. Financial Math., March, 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

Quantum Algorithms for the Pathwise Lasso.

João F. Doriguello, Debbie Lim, Chi Seng Pun, Patrick Rebentrost, Tushar Vaidya

CoRR, 2023

DRL Trading with CPT Actor and Truncated Quantile Critics.

Marcus Jun Rong Foo, Nixie S. Lesmana, Chi Seng Pun

Proceedings of the 4th ACM International Conference on AI in Finance, 2023

2022

Reinventing Policy Iteration under Time Inconsistency.

Nixie S. Lesmana, Huangyuan Su, Chi Seng Pun

Trans. Mach. Learn. Res., 2022

Robust classical-impulse stochastic control problems in an infinite horizon.

Chi Seng Pun

Math. Methods Oper. Res., 2022

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

Chi Seng Pun, Zi Ye

Autom., 2022

Persistent-homology-based machine learning: a survey and a comparative study.

Chi Seng Pun, Si Xian Lee, Kelin Xia

Artif. Intell. Rev., 2022

2021

A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection.

Chi Seng Pun

SIAM J. Financial Math., 2021

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 Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-inconsistent Problems.

Nixie S. Lesmana, Chi Seng Pun

CoRR, 2021

2020

Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection.

Chi Seng Pun, Lei Wang, Hoi Ying Wong

Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence, 2020

2019

A bootstrap-based KPSS test for functional time series.

Yichao Chen, Chi Seng Pun

J. Multivar. Anal., 2019

A linear programming model for selection of sparse high-dimensional multiperiod portfolios.

Chi Seng Pun, Hoi Ying Wong

Eur. J. Oper. Res., 2019

2018

Robust time-inconsistent stochastic control problems.

Chi Seng Pun

Autom., 2018

2016

Resolution of Degeneracy in Merton's Portfolio Problem.

Chi Seng Pun, Hoi Ying Wong

SIAM J. Financial Math., 2016

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities.

Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong

SIAM J. Control. Optim., 2016

Non-zero-sum reinsurance games subject to ambiguous correlations.

Chi Seng Pun, Chi Chung Siu, Hoi Ying Wong

Oper. Res. Lett., 2016

2015

Variance swap with mean reversion, multifactor stochastic volatility and jumps.

Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong

Eur. J. Oper. Res., 2015