Chi Seng Pun

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

Assistant Professor, Director of MSc in FinTech

SPMS-MAS-05-22

21 Nanyang Link

Singapore, 637371

Singapore

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

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

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SCHOLARLY PAPERS

28

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35

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7

Scholarly Papers (28)

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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 359 (100,375)
Citation 2

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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 218 (168,175)
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 203 (179,803)
Citation 9

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

4.

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 157 (225,136)
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

5.

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 128 (266,454)

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Financial Thought Experiment, GAN, Portfolio Selection

6.

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 109 (297,457)
Citation 5

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

7.

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 108 (299,313)

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

8.

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 102 (311,202)
Citation 5

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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

9.

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 98 (319,437)
Citation 2

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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

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 97 (321,559)
Citation 3

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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 86 (346,818)
Citation 2

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

12.

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 85 (349,288)
Citation 5

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

13.

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 69 (393,404)

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

14.

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 59 (426,084)

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

15.

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 48 (467,229)

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

16.

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 43 (488,417)

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

17.

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 37 (515,710)
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

18.

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 36 (520,459)
Citation 2

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

19.

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 22 (601,565)
Citation 2

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

20.

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 22 (601,565)

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

21.

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 22 (601,565)

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

22.

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 21 (608,297)

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

23.

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 15 (649,801)

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

24.

Dynamically Optimal Multi-period Mean-Variance Portfolio subject to Proportional Transaction Costs and No-shorting Constraint

Number of pages: 23 Posted: 17 Jul 2020
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 13 (664,426)
Citation 1

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

25.

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 7 (709,425)
Citation 1

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

26.

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 6 (717,227)

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

27.

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

Number of pages: 25 Posted: 18 Feb 2021
Chi Seng Pun and Rachana Gupta
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and affiliation not provided to SSRN
Downloads 3 (741,313)

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

28.

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 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 3 (741,313)

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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