Chi Seng Pun

Available identifiers

zbMath Open pun.chi-sengDBLP162/9382WikidataQ96049902 ScholiaQ96049902MaRDI QIDQ319630

List of research outcomes

Publication	Date of Publication	Type
Nonlocality, nonlinearity, and time inconsistency in stochastic differential games	2024-01-18	Paper
An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix	2023-11-29	Paper
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency	2023-06-20	Paper
Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems	2023-04-11	Paper
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios	2023-03-31	Paper
Robust classical-impulse stochastic control problems in an infinite horizon	2022-10-18	Paper
Efficient social distancing during the COVID-19 pandemic: integrating economic and public health considerations	2022-09-09	Paper
Robust time-inconsistent stochastic linear-quadratic control with drift disturbance	2022-06-10	Paper
Quasilinearization Methods for Nonlocal Fully-Nonlinear Parabolic Systems	2022-01-04	Paper
Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint	2021-12-14	Paper
Nonlocal Fully Nonlinear Parabolic Differential Equations Arising in Time-Inconsistent Problems	2021-10-08	Paper
Robust state-dependent mean-variance portfolio selection: a closed-loop approach	2021-08-27	Paper
G-expected utility maximization with ambiguous equicorrelation	2021-06-02	Paper
A cost-effective approach to portfolio construction with range-based risk measures	2021-06-02	Paper
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection	2021-05-17	Paper
A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions	2021-05-06	Paper
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility	2021-05-03	Paper
A bootstrap-based KPSS test for functional time series	2019-11-22	Paper
Non-zero-sum reinsurance games subject to ambiguous correlations	2019-01-11	Paper
A linear programming model for selection of sparse high-dimensional multiperiod portfolios	2018-11-19	Paper
Persistent-Homology-based Machine Learning and its Applications -- A Survey	2018-11-01	Paper
Robust time-inconsistent stochastic control problems	2018-10-17	Paper
Resolution of Degeneracy in Merton's Portfolio Problem	2017-01-11	Paper
Variance swap with mean reversion, multifactor stochastic volatility and jumps	2016-10-06	Paper
Robust non-zero-sum stochastic differential reinsurance game	2016-10-06	Paper
Portfolio optimization with ambiguous correlation and stochastic volatilities	2016-09-14	Paper
Robust investment-reinsurance optimization with multiscale stochastic volatility	2015-05-26	Paper
CEV asymptotics of American options	2014-04-02	Paper

Research outcomes over time

This page was built for person: Chi Seng Pun