Academic Profile : Faculty
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Assoc Prof Chi Seng Pun （潘志成）
Assistant Chair (MSc Programmes), School of Physical & Mathematical Sciences - Division of Mathematical Sciences
Associate Professor, School of Physical & Mathematical Sciences - Division of Mathematical Sciences
Email
External Links
Journal Articles
(Not applicable to NIE
staff as info will be
pulled from PRDS)
(Not applicable to NIE
staff as info will be
pulled from PRDS)
1. Tan, E.X.. *Tang, J., Leong, Y.X., Phang, I.Y., Lee, Y.H., ^Pun, C.S., and ^Ling, X.Y. (2024) Creating 3D Nanoparticle Structural Space via Data Augmentation to Bidirectionally Predict Nanoparticle Mixture’s Purity, Size, and Shape from Extinction Spectra. Angewandte Chemie. ##
2. *Lei, Q. and ^Pun, C.S. (2024) Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games. Mathematical Finance. 34(1), 190-256. ##
3. *Lei, Q. and ^Pun, C.S. (2023) An Extended McKean—Vlasov Dynamic Programming Approach to Robust Equilibrium Controls under Ambiguous Covariance Matrix. Applied Mathematics & Optimization. 88, 91 (46 pages). #
4. Pun, C.S., Wang, T., and Yan, Z. (2023) Data-Driven Distributionally Robust CVaR Portfolio Optimization Under Regime-Switching Ambiguity Set. Manufacturing & Service Operations Management. 25(5), 1779-1795. ##
5. *Lei, Q. and ^Pun, C.S. (2023) Nonlocal Fully-Nonlinear Parabolic Differential Equations arising in Time-Inconsistent Problems. Journal of Differential Equations. 358, 339-385. ##
6. ^Pun, C.S. and *Ye, Z. (2023) Optimal Multi-period Transaction-cost-aware Long-Only Portfolios and Time Consistency in Efficiency. Quantitative Finance. 23(2), 351-365. #
7. +Marisu, G.P. and ^Pun, C.S. (2023) Bayesian Estimation and Optimization for Learning Sequential Optimal Regularized Portfolios. SIAM Journal on Financial Mathematics. 14(1), 127-157. #
8. ^*Lesmana, N. S., +Su, H., and Pun, C.S. (2022) Reinventing Policy Iteration under Time Inconsistency. Transactions on Machine Learning Research.
9. ^Pun, C.S. (2022) Robust Classical-Impulse Stochastic Control Problems in an Infinite Horizon. Mathematical Methods of Operations Research. 96, 291-312. #
10. Tan, E.X.. Chen, Y., Lee, Y.H., Leong, Y.X., Leong, S.X., Stanley, C., ^Pun, C.S., and ^Ling, X.Y. (2022) Incorporating Plasmonic Feature Engineering with Machine Learning to Achieve Accurate and Simultaneous Prediction of Nanoparticle Size and Size Distribution. Nanoscale Horizons. 7, 626-633. ##
11. §Chen, K., §Pun, C.S., and ^Wong, H.Y. (2022). Efficient Social Distancing during the COVID-19 Pandemic: Integrating Economic and Public Health Considerations. European Journal of Operational Research, 304(1), 84-98. #
12. §^Pun, C. S., +Lee, S.X., and §^Xia, K. (2022). Persistent-Homology-based Machine Learning: A Survey and A Comparative Study. Artificial Intelligence Review, 55, 5169-5213. ##
13. §Han, B., §^Pun, C.S., and Wong, H.Y. (2022). Robust Time-Inconsistent Stochastic Linear-Quadratic Control with Drift Perturbation. Applied Mathematics & Optimization, 86, 4.# SciSpace Newspaper Series
14. **Liu, R. and ^Pun, C.S. (2022). Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approach. Journal of Banking and Finance. 136, 106416. ##
15. ^Pun, C.S. and *Ye, Z. (2022). Optimal Dynamic Mean-Variance Portfolio subject to Proportional Transaction Costs and No-Shorting Constraint. Automatica, 135, 109986. ##
16. §Han, B., ^§Pun, C.S., and Wong, H.Y. (2021). Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity and Risk Aversion: A Closed-Loop Approach. Finance and Stochastics. 25, 529-561. #
17. ^Pun, C.S. (2021). A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. SIAM Journal on Financial Mathematics, 12(1), 410-445. #
18. ^Pun, C.S. and **Wang, L. (2021). A Cost-effective Approach to Portfolio Construction with Range-based Risk Measures. Quantitative Finance. 21, 431-447. #
19. ^Pun, C.S. (2021). G-Expected Utility Maximization with Ambiguous Equicorrelation. Quantitative Finance. 21, 403-419. #
20. ^Pun, C.S. and **Hadimaja, M.Z. (2021). A Self-calibrated Direct Approach to Precision Matrix Estimation and Discriminant Analysis in High Dimensions. Computational Statistics and Data Analysis. 155, 107105. #
21. ^§Pun, C.S., **Yong, Y.S., and §Xia, K. (2020). Weighted-Persistent-Homology-based Machine Learning for RNA Flexibility Analysis. PLOS ONE, 15(8): e0237747. #
22. ^Yan, T., Han, B., Pun, C.S., and Wong, H.Y. (2020). Robust Time-Consistent Mean-Variance Portfolio Selection Problem with Multivariate Stochastic Volatility. Mathematics and Financial Economics, 14, 699-724. #
23. *Chen, Y. and ^Pun, C.S. (2019). A Bootstrap-based KPSS Test for Functional Time Series. Journal of Multivariate Analysis, 174, 104535. #
24. ^Pun, C.S. and Wong, H.Y. (2019). A Linear Programming Model for Selection of Sparse High-Dimensional Multiperiod Portfolios. European Journal of Operational Research, 273, 754-771. #
25. ^Pun, C.S. (2018). Time-Consistent Mean-Variance Portfolio Selection with Only Risky Assets. Economic Modelling, 75, 281-292. #
26. ^Pun, C.S. (2018). Robust Time-Inconsistent Stochastic Control Problems. Automatica, 94, 249-257. ##
27. ^Chiu, M.C., Pun, C.S., and Wong, H.Y. (2017) Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy. Risk Analysis, 37, 1532-1549. #
28. Pun, C.S. and ^Wong, H.Y. (2016) Resolution of Degeneracy in Merton’s Portfolio Problem. SIAM Journal on Financial Mathematics, 7, 786-811. # (SIFIN Featured Article in Jan-Feb 2017)
29. Fouque, J.-P., Pun, C.S., and ^Wong, H.Y. (2016) Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM Journal on Control and Optimization, 54, 2309-2338. ##
30. Pun, C.S., Siu, C.C., and ^Wong, H.Y. (2016) Non-Zero-Sum Reinsurance Games subject to Ambiguous Correlations. Operations Research Letters, 44, 578-586. #
31. Pun, C.S. and ^Wong, H.Y. (2016) Robust Non-Zero-Sum Stochastic Differential Reinsurance Game. Insurance: Mathematics and Economics, 68, 169-177. #
32. Pun, C.S. and ^Wong, H.Y. (2015) Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility. Insurance: Mathematics and Economics, 62, 245-256. #
33. Pun, C.S., Chung, S.F., and ^Wong, H.Y. (2015) Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps. European Journal of Operational Research, 245, 571-580. #
34. Pun, C.S. and ^Wong, H.Y. (2013) CEV Asymptotics of American options. Journal of Mathematical Analysis and Applications, 403, 451-463. #
rations Research Letters, 44, 578-586. #
2. *Lei, Q. and ^Pun, C.S. (2024) Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games. Mathematical Finance. 34(1), 190-256. ##
3. *Lei, Q. and ^Pun, C.S. (2023) An Extended McKean—Vlasov Dynamic Programming Approach to Robust Equilibrium Controls under Ambiguous Covariance Matrix. Applied Mathematics & Optimization. 88, 91 (46 pages). #
4. Pun, C.S., Wang, T., and Yan, Z. (2023) Data-Driven Distributionally Robust CVaR Portfolio Optimization Under Regime-Switching Ambiguity Set. Manufacturing & Service Operations Management. 25(5), 1779-1795. ##
5. *Lei, Q. and ^Pun, C.S. (2023) Nonlocal Fully-Nonlinear Parabolic Differential Equations arising in Time-Inconsistent Problems. Journal of Differential Equations. 358, 339-385. ##
6. ^Pun, C.S. and *Ye, Z. (2023) Optimal Multi-period Transaction-cost-aware Long-Only Portfolios and Time Consistency in Efficiency. Quantitative Finance. 23(2), 351-365. #
7. +Marisu, G.P. and ^Pun, C.S. (2023) Bayesian Estimation and Optimization for Learning Sequential Optimal Regularized Portfolios. SIAM Journal on Financial Mathematics. 14(1), 127-157. #
8. ^*Lesmana, N. S., +Su, H., and Pun, C.S. (2022) Reinventing Policy Iteration under Time Inconsistency. Transactions on Machine Learning Research.
9. ^Pun, C.S. (2022) Robust Classical-Impulse Stochastic Control Problems in an Infinite Horizon. Mathematical Methods of Operations Research. 96, 291-312. #
10. Tan, E.X.. Chen, Y., Lee, Y.H., Leong, Y.X., Leong, S.X., Stanley, C., ^Pun, C.S., and ^Ling, X.Y. (2022) Incorporating Plasmonic Feature Engineering with Machine Learning to Achieve Accurate and Simultaneous Prediction of Nanoparticle Size and Size Distribution. Nanoscale Horizons. 7, 626-633. ##
11. §Chen, K., §Pun, C.S., and ^Wong, H.Y. (2022). Efficient Social Distancing during the COVID-19 Pandemic: Integrating Economic and Public Health Considerations. European Journal of Operational Research, 304(1), 84-98. #
12. §^Pun, C. S., +Lee, S.X., and §^Xia, K. (2022). Persistent-Homology-based Machine Learning: A Survey and A Comparative Study. Artificial Intelligence Review, 55, 5169-5213. ##
13. §Han, B., §^Pun, C.S., and Wong, H.Y. (2022). Robust Time-Inconsistent Stochastic Linear-Quadratic Control with Drift Perturbation. Applied Mathematics & Optimization, 86, 4.# SciSpace Newspaper Series
14. **Liu, R. and ^Pun, C.S. (2022). Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approach. Journal of Banking and Finance. 136, 106416. ##
15. ^Pun, C.S. and *Ye, Z. (2022). Optimal Dynamic Mean-Variance Portfolio subject to Proportional Transaction Costs and No-Shorting Constraint. Automatica, 135, 109986. ##
16. §Han, B., ^§Pun, C.S., and Wong, H.Y. (2021). Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity and Risk Aversion: A Closed-Loop Approach. Finance and Stochastics. 25, 529-561. #
17. ^Pun, C.S. (2021). A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. SIAM Journal on Financial Mathematics, 12(1), 410-445. #
18. ^Pun, C.S. and **Wang, L. (2021). A Cost-effective Approach to Portfolio Construction with Range-based Risk Measures. Quantitative Finance. 21, 431-447. #
19. ^Pun, C.S. (2021). G-Expected Utility Maximization with Ambiguous Equicorrelation. Quantitative Finance. 21, 403-419. #
20. ^Pun, C.S. and **Hadimaja, M.Z. (2021). A Self-calibrated Direct Approach to Precision Matrix Estimation and Discriminant Analysis in High Dimensions. Computational Statistics and Data Analysis. 155, 107105. #
21. ^§Pun, C.S., **Yong, Y.S., and §Xia, K. (2020). Weighted-Persistent-Homology-based Machine Learning for RNA Flexibility Analysis. PLOS ONE, 15(8): e0237747. #
22. ^Yan, T., Han, B., Pun, C.S., and Wong, H.Y. (2020). Robust Time-Consistent Mean-Variance Portfolio Selection Problem with Multivariate Stochastic Volatility. Mathematics and Financial Economics, 14, 699-724. #
23. *Chen, Y. and ^Pun, C.S. (2019). A Bootstrap-based KPSS Test for Functional Time Series. Journal of Multivariate Analysis, 174, 104535. #
24. ^Pun, C.S. and Wong, H.Y. (2019). A Linear Programming Model for Selection of Sparse High-Dimensional Multiperiod Portfolios. European Journal of Operational Research, 273, 754-771. #
25. ^Pun, C.S. (2018). Time-Consistent Mean-Variance Portfolio Selection with Only Risky Assets. Economic Modelling, 75, 281-292. #
26. ^Pun, C.S. (2018). Robust Time-Inconsistent Stochastic Control Problems. Automatica, 94, 249-257. ##
27. ^Chiu, M.C., Pun, C.S., and Wong, H.Y. (2017) Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy. Risk Analysis, 37, 1532-1549. #
28. Pun, C.S. and ^Wong, H.Y. (2016) Resolution of Degeneracy in Merton’s Portfolio Problem. SIAM Journal on Financial Mathematics, 7, 786-811. # (SIFIN Featured Article in Jan-Feb 2017)
29. Fouque, J.-P., Pun, C.S., and ^Wong, H.Y. (2016) Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM Journal on Control and Optimization, 54, 2309-2338. ##
30. Pun, C.S., Siu, C.C., and ^Wong, H.Y. (2016) Non-Zero-Sum Reinsurance Games subject to Ambiguous Correlations. Operations Research Letters, 44, 578-586. #
31. Pun, C.S. and ^Wong, H.Y. (2016) Robust Non-Zero-Sum Stochastic Differential Reinsurance Game. Insurance: Mathematics and Economics, 68, 169-177. #
32. Pun, C.S. and ^Wong, H.Y. (2015) Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility. Insurance: Mathematics and Economics, 62, 245-256. #
33. Pun, C.S., Chung, S.F., and ^Wong, H.Y. (2015) Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps. European Journal of Operational Research, 245, 571-580. #
34. Pun, C.S. and ^Wong, H.Y. (2013) CEV Asymptotics of American options. Journal of Mathematical Analysis and Applications, 403, 451-463. #
rations Research Letters, 44, 578-586. #
Conference Papers
(Not applicable to NIE
staff as info will be
pulled from PRDS)
(Not applicable to NIE
staff as info will be
pulled from PRDS)
1. +Foo, J.R., ^*Lesmana, N. S., and Pun, C.S. (2023). DRL Trading with CPT Actor and Truncated Quantile Critics. Proceedings of the 4th ACM International Conference on AI in Finance (ICAIF '23), 574-582.
2. +Foo, J.R. and ^Pun, C.S. (2022). Bayesian Social Reinforcement for Stock Movement Prediction. Proceedings of the 4th International Conference on Natural Language Processing (ICNLP '22).
3. ^Pun, C.S., **Wang, L., and Wong, H.Y. (2020). Financial Thought Experiment: A GAN-based Approach to Robust Vast Portfolio Selection. Proceedings of International Joint Conference on Artificial Intelligence (IJCAI ’20), 4619-4625.
2. +Foo, J.R. and ^Pun, C.S. (2022). Bayesian Social Reinforcement for Stock Movement Prediction. Proceedings of the 4th International Conference on Natural Language Processing (ICNLP '22).
3. ^Pun, C.S., **Wang, L., and Wong, H.Y. (2020). Financial Thought Experiment: A GAN-based Approach to Robust Vast Portfolio Selection. Proceedings of International Joint Conference on Artificial Intelligence (IJCAI ’20), 4619-4625.
Opinions & Commentaries
(Not applicable to NIE
staff as info will be
pulled from PRDS)
(Not applicable to NIE
staff as info will be
pulled from PRDS)
1. Mehta, N. and ^Pun, C.S. (2021). Innovation, Inspiration, and Inclusion: A Succinct Account of the Singapore FinTech Landscape. Asia-Pacific Perspectives. 2021: Issue 4, 19-24.
Other Research Outputs/Projects
(Not applicable to NIE
staff as info will be
pulled from PRDS)
(Not applicable to NIE
staff as info will be
pulled from PRDS)
1. ^Pun, C.S. and **Zhu, D. (2021). Portfolio Backtester. PyPI, Python library.
2. *Chen, Y. and ^Pun, C.S. (2021). STFTS: Statistical Tests for Functional Time Series. CRAN, R package version 0.1.0.
3. ^Pun, C.S. and **Hadimaja, M.Z. (2019). rDecode: Descent-Based Calibrated Optimal Direct Estimation. CRAN, R package version 0.1.0.
2. *Chen, Y. and ^Pun, C.S. (2021). STFTS: Statistical Tests for Functional Time Series. CRAN, R package version 0.1.0.
3. ^Pun, C.S. and **Hadimaja, M.Z. (2019). rDecode: Descent-Based Calibrated Optimal Direct Estimation. CRAN, R package version 0.1.0.