Chi Seng Pun

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

Assistant Professor

SPMS-MAS-05-22

21 Nanyang Link

Singapore, 637371

Singapore

http://www.ntu.edu.sg/home/cspun/

SCHOLARLY PAPERS

23

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1,485

SSRN CITATIONS
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Top 28,091

in Total Papers Citations

23

CROSSREF CITATIONS

4

Scholarly Papers (23)

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 342 (94,034)
Citation 2

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

2.

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 191 (170,035)
Citation 5

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

3.

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 151 (208,470)
Citation 4

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

4.

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 101 (281,971)
Citation 3

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

5.

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 90 (303,529)

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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

6.

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 89 (305,681)
Citation 5

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

7.

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 85 (314,599)
Citation 3

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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

8.

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 80 (326,316)

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

9.

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 79 (328,693)
Citation 3

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

10.

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
Department of Statistics, The Chinese University of Hong Kong, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 73 (343,961)
Citation 2

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

11.

Robust Mean-Variance Portfolio Selection with State-Dependent Ambiguity Aversion and Risk Aversion: A Closed-loop Approach

Number of pages: 27 Posted: 08 Jan 2019 Last Revised: 11 Sep 2019
Bingyan Han, Chi Seng Pun and Hoi Ying Wong
Department of Statistics, The Chinese University of Hong Kong, Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 52 (407,628)

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Closed-Loop Control, Robust Mean-Variance Portfolio Selection, State-Dependence, Time-Inconsistency, Model Uncertainty

12.

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

Number of pages: 28 Posted: 29 May 2018 Last Revised: 06 Dec 2019
Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 48 (421,934)

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

13.

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 30 (499,087)

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

14.

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 23 (538,651)

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

15.

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

Number of pages: 34 Posted: 12 Dec 2019
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 20 (557,198)

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

16.

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 12 (609,009)

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

17.

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 12 (609,009)

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

18.

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 6 (650,019)

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

19.

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)
Number of pages: 7
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 1

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Financial Thought Experiment, GAN, Portfolio Selection

20.

Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

Insurance: Mathematics and Economics, 62, 245-256
Number of pages: 37
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 0

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

21.

CEV Asymptotics of American options

Journal of Mathematical Analysis and Applications. 403, 451-463
Number of pages: 31
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 0

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

22.

Non-zero-sum Reinsurance Games subject to Ambiguous Correlations

Operations Research Letters. 44, 578-586
Number of pages: 20
Chi Seng Pun, Chi Chung Siu and Hoi Ying Wong
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences, Department of Mathematics and Statistics, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 0

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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

23.

Variance Swap with Mean Reversion, Multifactor Stochastic Volatility and Jumps

European Journal of Operational Research. 245, 571-580
Number of pages: 38
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 0

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