Chi Seng Pun

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences

Associate Professor, Director of MSc in FinTech

SPMS-MAS-05-22

21 Nanyang Link

Singapore, 637371

Singapore

http://personal.ntu.edu.sg/cspun/

SCHOLARLY PAPERS

37

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SSRN CITATIONS
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Top 19,408

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45

CROSSREF CITATIONS

8

Scholarly Papers (37)

1.

A Linear Programming Model for Selecting Sparse High-Dimensional Multi-period Portfolios

European Journal of Operational Research, Volume 273, Issue 2, 1 March 2019, Pages 754-771
Number of pages: 45 Posted: 18 May 2015 Last Revised: 16 Dec 2018
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 371 (113,288)
Citation 3

Abstract:

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Investment analysis; High-dimensional portfolio selection; Dynamic mean-variance portfolio; $\ell_1$ minimization; Sparse portfolio

2.

Persistent-Homology-Based Machine Learning and Its Applications -- A Survey

Number of pages: 42 Posted: 15 Dec 2018
Chi Seng Pun, Kelin Xia and Si Xian Lee
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 288 (148,631)
Citation 10

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Persistent homology, machine learning, persistent diagram, persistent barcode, kernel, feature extraction

3.

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities

SIAM J. Control Optim., 54(5), 2309-2338, 2016
Number of pages: 30 Posted: 14 Aug 2014 Last Revised: 06 Dec 2019
Jean-Pierre Fouque, Chi Seng Pun and Hoi Ying Wong
University of California, Santa Barbara (UCSB) - Statistics & Applied Probablity, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 213 (199,335)
Citation 11

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Ambiguous correlation, G-Brownian motion, Hamilton-Jacobi-Bellman-Isaacs equation, Stochastic volatility

4.

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

In Proceedings of the 29th International Joint Conference on Artificial Intelligence (IJCAI '20), 2020
Number of pages: 7 Posted: 23 Jun 2020
Chi Seng Pun, Lei Wang and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 183 (228,443)
Citation 1

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Financial Thought Experiment, GAN, Portfolio Selection

5.

Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy

Risk Analysis, 37, 1532-1549.
Number of pages: 34 Posted: 26 May 2016 Last Revised: 27 Sep 2017
Mei Choi Chiu, Chi Seng Pun and Hoi Ying Wong
Hong Kong University of Science & Technology (HKUST) - Department of Mathematics, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 163 (251,974)
Citation 5

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High-Dimensional Portfolio Selection, Continuous-Time Mean-Variance Portfolio, Constant-Rebalancing Portfolio, Machine Learning, Constrained $\ell_1$ Minimization, Sparse Portfolio

6.

Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approach

Number of pages: 35 Posted: 17 Jul 2020
Ruicheng Liu and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 142 (281,697)

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Systemic risk measure, Machine learning, Cross-sectional measures, Conditional capital shortfall, Marginal expected shortfall (MES), SRISK

7.

Robust Time-Inconsistent Stochastic Linear-Quadratic Control

Number of pages: 41 Posted: 08 May 2018 Last Revised: 29 Jul 2019
Bingyan Han, Chi Seng Pun and Hoi Ying Wong
Division of Science and Technology, BNU-HKBU United International College, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 130 (301,538)
Citation 4

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Stochastic Linear-Quadratic Control, Robustness, Model Uncertainty, Time-Inconsistent Cost Function, Forward-Backward Stochastic Differential Equation

8.

Robust state-dependent mean-variance portfolio selection: a closed-loop approach

Number of pages: 31 Posted: 08 Jan 2019 Last Revised: 02 Jul 2021
Bingyan Han, Chi Seng Pun and Hoi Ying Wong
Division of Science and Technology, BNU-HKBU United International College, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 126 (308,580)
Citation 2

Abstract:

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Closed-loop control, robust mean--variance portfolio selection, state-dependence, time-inconsistency, model uncertainty

9.

High-Dimensional Statistics in Finance

Number of pages: 3 Posted: 08 May 2018
Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 124 (312,236)

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High-Dimensional Statistics, Finance, Economics, Financial Decision Making, Portfolio Selection

10.

Robust Time-Inconsistent Stochastic Control Problems

Automatica, Forthcoming
Number of pages: 20 Posted: 13 Sep 2017 Last Revised: 23 Mar 2018
Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 121 (317,907)
Citation 4

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Robust Time-Consistent Stochastic Control, Time-Inconsistent Preference, Extended Dynamic Programming Approach, Hamilton--Jacobi--Bellman--Isaacs Equations, Robust Dynamic Mean-Variance Portfolio, State-Dependent Risk and Ambiguity Aversion, Abel's Differential Equations

11.

Resolution of Degeneracy in Merton's Portfolio Problem

SIAM Journal on Financial Mathematics. 7, 786-811, 2016
Number of pages: 22 Posted: 26 May 2016 Last Revised: 17 Mar 2017
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 112 (335,603)
Citation 6

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High-Dimensional Portfolio, Merton's Problem, Expected Utility Maximization, Constrained $\ell_1-$Minimization, Dantzig Selector, Sparsity

12.

Robust Non-Zero-Sum Stochastic Differential Investment-Reinsurance Game

Insurance: Mathematics and Economics, Vol. 68, Pages 169-177, 2016
Number of pages: 26 Posted: 08 Mar 2016 Last Revised: 08 May 2017
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 99 (364,431)
Citation 2

Abstract:

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Investment and Reinsurance, Non-Zero-Sum Stochastic Differential Game, Relative Performance Concerns, Model Uncertainty, Hamiltonian-Jacobi-Bellman-Isaacs Equation, Nash Equilibrium, Stochastic Factor

13.

Stock Movement Prediction with Social Sentiments and Interactional Data: Integrating NLP and Bayesian Frameworks

Number of pages: 6 Posted: 06 Dec 2021
Marcus Foo and Chi Seng Pun
Nanyang Technological University (NTU) and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 96 (373,939)

Abstract:

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Sentiment analysis, Social interaction, Natural language processing, Bayesian approach, Social investing

14.

Time-Consistent Mean-Variance Portfolio Selection with Only Risky Assets

Economic Modelling, Vol. 75, 2018
Number of pages: 30 Posted: 09 May 2017 Last Revised: 16 Dec 2018
Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 92 (381,590)
Citation 5

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Time-consistent strategy; Dynamic global minimum-variance strategy; Extended dynamic programming; Abel's differential equation; Curse of dimensionality

15.

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

SIAM Journal on Financial Mathematics
Number of pages: 36 Posted: 29 May 2018 Last Revised: 15 Jun 2021
Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 83 (406,143)

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Direct Estimation, Iterative Algorithm, Self-Calibrated Regularization, Oracle Inequality, Relative-Volatility Timing, Market-Sensitive Asset Selection

16.

Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios

Number of pages: 29 Posted: 24 Jun 2021
Godeliva Petrina Marisu and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 69 (450,057)

Abstract:

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sequential portfolio selection, Bayesian estimation, Bayesian optimization, high dimensionality, sequential regularization, sequential hyperparameter tuning

17.

A Cost-effective Approach to Portfolio Construction with Range-based Risk Measures

Quantitative Finance
Number of pages: 24 Posted: 12 Dec 2019 Last Revised: 08 Jun 2020
Chi Seng Pun and Lei Wang
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 58 (490,540)
Citation 2

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Portfolio selection, Range-based risk measure, ℓ2-regularized portfolios, Machine learning, Support vector regression, Robustness

18.

Functional Unit Root Test

Number of pages: 29 Posted: 18 Feb 2021
Yichao Chen and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 56 (498,437)

Abstract:

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Functional time series, Non-stationarity, Unit root test, Asymptotic statistics, Intraday stock price analysis

19.

Efficient Social Distancing for COVID-19: An Integration of Economic Health and Public Health

Number of pages: 20 Posted: 07 Dec 2020
Kexin Chen, Chi Seng Pun and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 53 (510,818)

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OR in health services, COVID-19, Pandemic, Stochastic SIRD Model, Google Mobility Indices, Stochastic Controls, Deep Learning

20.

Optimal Dynamic Mean-Variance Portfolio subject to Proportional Transaction Costs and No-shorting Constraint (with Appendix)

Automatica
Number of pages: 18 Posted: 17 Jul 2020 Last Revised: 13 Sep 2021
Chi Seng Pun and Zi Ye
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 51 (519,552)
Citation 1

Abstract:

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Portfolio selection, Discrete-time multi-period optimization, Proportional transaction costs, No-shorting constraint, Time consistency in efficiency

21.

An Extended McKean — Vlasov Dynamic Programming Approach to Robust Equilibrium Controls under Ambiguous Covariance Matrix

Number of pages: 34 Posted: 16 May 2020
Qian Lei and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 50 (523,967)
Citation 2

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Time-Inconsistency, Ambiguous Covariance Matrix, McKean — Vlasov Dynamics, Extended Dynamic Programming, Bellman — Isaacs PDE System, Portfolio Selection

22.

G-Expected Utility Maximization with Ambiguous Equicorrelation

Forthcoming in Quantitative Finance
Number of pages: 27 Posted: 15 Dec 2018 Last Revised: 01 Jun 2020
Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 47 (537,396)
Citation 2

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ambiguous equicorrelation, G-expectation, expected utility maximization, Hamilton-Jacobi-Bellman-Isaacs equation, explicit solution, system of polynomial equations

23.

A Bootstrap-Based KPSS Test for Functional Time Series

Forthcoming in Journal of Multivariate Analysis
Number of pages: 23 Posted: 15 Dec 2018 Last Revised: 21 Jul 2019
Yichao Chen and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 43 (556,680)
Citation 1

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Asymptotic validity, Bootstrap, Bootstrap validity on average, Functional time series, Kwiatkowski--Phillips--Schmidt--Shin (KPSS) tests, Moving block bootstrap

24.

Weighted-Persistent-Homology-based Machine Learning for RNA Flexibility Analysis

Number of pages: 33 Posted: 24 Dec 2019
Chi Seng Pun, Brandon Yong and Kelin Xia
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 37 (587,800)

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RNA chain, B-factor, Weighted persistent homology, Local persistent homology, Machine learning

25.

Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps

European Journal of Operational Research. 245, 571-580
Number of pages: 38 Posted: 23 Jun 2020
Chi Seng Pun, Shing Fung Chung and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 31 (622,704)
Citation 1

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Pricing, Variance Swap, Multi-factor Stochastic Volatility, Mean Reversion, Jump Diffusion

26.

Robust Classical-Impulse Stochastic Control Problems in an In finite Horizon

Number of pages: 18 Posted: 20 Sep 2021
Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 28 (642,027)

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Stochastic control, robustness, Mixed classical and impulse controls, Quasi-variational inequalities, Robust inventory controls

27.

A Self-Calibrated Direct Approach to Precision Matrix Estimation and Linear Discriminant Analysis in High Dimensions

Number of pages: 37 Posted: 19 Jul 2019 Last Revised: 06 Dec 2019
Chi Seng Pun and Matthew Zakharia Hadimaja
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 28 (642,027)
Citation 1

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High-dimensional statistics, Precision matrix estimation, Linear discriminant analysis, $\ell_1$-regularized quadratic programming, Self-calibrated regularization, Direct estimation approach

28.

Optimal Multi-period Transaction-cost-aware Long-Only Portfolios and Time Consistency in Efficiency

Number of pages: 33 Posted: 17 Jan 2022
Chi Seng Pun and Zi Ye
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 26 (655,770)

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Portfolio selection, Discrete-time multi-period optimization, Proportional transaction costs, No-shorting constraints, Time consistency in efficiency

29.

Asymptotic Impulse Control of Mean-Reverting Interest Rates with a Slowly Varying Stochastic Volatility

Number of pages: 27 Posted: 18 Feb 2021 Last Revised: 13 Sep 2021
Chi Seng Pun and Rachana Gupta
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and affiliation not provided to SSRN
Downloads 26 (655,770)

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Impulse control, Central bank intervention, Interest rate, Stochastic volatility asymptotics, Accuracy of approximations, Asymptotic optimality

30.

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

Number of pages: 54 Posted: 02 Nov 2021
Nixie S. Lesmana and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 17 (725,281)

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Time Inconsistency, Reinforcement Learning, Consistent Planning, Intrapersonal Game, Subgame Perfect Equilibrium, Training Algorithms, Mean-Variance Analysis

31.

Nonlocal Fully Nonlinear Parabolic Differential Equations Arising in Time-Inconsistent Problems

Number of pages: 41 Posted: 11 Oct 2021
Qian Lei and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 16 (733,632)

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Existence and Uniqueness, Nonlocal Nonlinear Parabolic PDEs, Parametric PDEs, Time inconsistency, FBSDE, Mathematics of Behavioral Economics

32.

Robust Impulse Control of G-Diffusion Processes

Number of pages: 17 Posted: 24 Sep 2021
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 16 (733,632)

Abstract:

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Impulse Control, G-Expectation, G-Brownian Motion, Quasi-variational Inequalities, Robust Inventory Control, Ambiguous Volatility

33.

Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

Insurance: Mathematics and Economics, 62, 245-256
Number of pages: 37 Posted: 23 Jun 2020
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 16 (733,632)
Citation 2

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Investment and reinsurance, Mixture of power utilities, Hamilton-Jacobi-Bellman-Isaacs equation, Multiscale stochastic volatility, Perturbation methods

34.

Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games

Number of pages: 44 Posted: 06 Jan 2022
Qian Lei and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 14 (751,246)

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Stochastic Differential Games, Time inconsistency, Existence and Uniqueness, Nonlocal Nonlinear Parabolic Systems, Feynman--Kac Formula, Mathematics of Behavioral Economics

35.

Quasilinearization Methods for Nonlocal Fully-Nonlinear Parabolic Systems

Number of pages: 17 Posted: 06 Jan 2022
Qian Lei and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 9 (798,341)

Abstract:

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Quasilinearization, Nonlocal Parabolic Systems, Existence and Uniqueness, Time Inconsistency, Mathematics of Behavioral Economics

36.

CEV Asymptotics of American Options

Journal of Mathematical Analysis and Applications. 403, 451-463
Number of pages: 31 Posted: 23 Jun 2020
Chi Seng Pun and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 8 (808,426)

Abstract:

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CEV model, American options, Partial differential equation, Perturbation technique

37.

Non-zero-sum Reinsurance Games Subject to Ambiguous Correlations

Operations Research Letters. 44, 578-586, 2016
Number of pages: 20 Posted: 23 Jun 2020
Chi Seng Pun, Chi Chung Siu and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 4 (850,182)

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Reinsurance, Non-Zero-Sum Stochastic Differential Game, Relative Performance Concerns, Ambiguous Correlation, $g$-Brownian Motion, Hamiltonian-Jacobi-Bellman-Isaacs Equation, Nash Equilibrium, Externalities