Browsing by Author Pun, Chi Seng

Showing results 1 to 14 of 14
Issue DateTitleAuthor(s)
 2017Big data challenges of high-dimensional continuous-time mean-variance portfolio selection and a remedyChiu, Mei Choi; Pun, Chi Seng; Wong, Hoi Ying
2013CEV Asymptotics of American OptionsPun, Chi Seng; Wong, Hoi Ying
2019A linear programming model for selection of sparse high-dimensional multiperiod portfoliosPun, Chi Seng; Wong, Hoi Ying
2016Non-zero-sum reinsurance games subject to ambiguous correlationsPun, Chi Seng; Siu, Chi Chung; Wong, Hoi Ying
 2022Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraintPun, Chi Seng; Ye, Zi
2016Resolution of degeneracy in Merton's portfolio problemPun, Chi Seng; Wong, Hoi Ying
2015Robust Investment-Reinsurance Optimization with Multiscale Stochastic VolatilityPun, Chi Seng; Wong, Hoi Ying
2016Robust non-zero-sum stochastic differential reinsurance gamePun, Chi Seng; Wong, Hoi Ying
2021Robust state-dependent mean–variance portfolio selection : a closed-loop approachHan, Bingyan; Pun, Chi Seng; Wong, Hoi Ying
2018Robust Time-Inconsistent Stochastic Control ProblemsPun, Chi Seng
 2021A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensionsPun, Chi Seng; Hadimaja, Matthew Zakharia
2021A sparse learning approach to relative-volatility-managed portfolio selectionPun, Chi Seng
2018Time-consistent mean-variance portfolio selection with only risky assetsPun, Chi Seng
2015Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and JumpsPun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying