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Pun, Chi Seng
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Showing results 8 to 25 of 25
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Issue Date
Title
Author(s)
2019
A linear programming model for selection of sparse high-dimensional multiperiod portfolios
Pun, Chi Seng
;
Wong, Hoi Ying
2022
Machine-learning-enhanced systemic risk measure: a two-step supervised learning approach
Liu, Ruicheng
;
Pun, Chi Seng
2016
Non-zero-sum reinsurance games subject to ambiguous correlations
Pun, Chi Seng
;
Siu, Chi Chung
;
Wong, Hoi Ying
2023
Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems
Lei, Qian
;
Pun, Chi Seng
2023
Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
Lei, Qian
;
Pun, Chi Seng
2022
Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint
Pun, Chi Seng
;
Ye, Zi
2022
Persistent-homology-based machine learning: a survey and a comparative study
Pun, Chi Seng
;
Lee, Si Xian
;
Xia, Kelin
2016
Resolution of degeneracy in Merton's portfolio problem
Pun, Chi Seng
;
Wong, Hoi Ying
2022
Robust classical-impulse stochastic control problems in an infinite horizon
Pun, Chi Seng
2015
Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility
Pun, Chi Seng
;
Wong, Hoi Ying
2016
Robust non-zero-sum stochastic differential reinsurance game
Pun, Chi Seng
;
Wong, Hoi Ying
2021
Robust state-dependent mean–variance portfolio selection : a closed-loop approach
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
2018
Robust Time-Inconsistent Stochastic Control Problems
Pun, Chi Seng
2022
Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
2021
A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions
Pun, Chi Seng
;
Hadimaja, Matthew Zakharia
2021
A sparse learning approach to relative-volatility-managed portfolio selection
Pun, Chi Seng
2018
Time-consistent mean-variance portfolio selection with only risky assets
Pun, Chi Seng
2015
Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps
Pun, Chi Seng
;
Chung, Shing Fung
;
Wong, Hoi Ying