Chi Seng Pun

25 papers A* 1Journal 20Unranked 4
YearRankTypeTitle / Venue / Authors
2025 J jnl
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-Inconsistent Problems.
SIAM J. Financial Math.
Nixie S. Lesmana, Chi Seng Pun
2025 J jnl
Quantum Algorithms for the Pathwise Lasso.
Quantum
João F. Doriguello, Debbie Lim, Chi Seng Pun, Patrick Rebentrost, Tushar Vaidya
2024 — conf
Autoregressive DRL with Learned Intrinsic Rewards for Portfolio Optimisation.
ICAIF
Magdalene Hui Qi Lim, Nixie S. Lesmana, Chi Seng Pun
2024 — conf
Navigating the Difficulty of Achieving Global Optimality under Variance-Induced Time Inconsistency.
ICAIF
Jingxiang Tang, Nixie S. Lesmana, Chi Seng Pun
2024 — conf
Simulating Asset Prices using Conditional Time-Series GAN.
ICAIF
Riasat Ali Istiaque, Chi Seng Pun, Yuli Song
2023 J jnl
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios.
SIAM J. Financial Math.
Godeliva Petrina Marisu, Chi Seng Pun
2023 — conf
DRL Trading with CPT Actor and Truncated Quantile Critics.
ICAIF
Marcus Jun Rong Foo, Nixie S. Lesmana, Chi Seng Pun
2023 J jnl
Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set.
Manuf. Serv. Oper. Manag.
Chi Seng Pun, Tianyu Wang, Zhenzhen Yan
2023 J jnl
Efficient social distancing during the COVID-19 pandemic: Integrating economic and public health considerations.
Eur. J. Oper. Res.
Kexin Chen, Chi Seng Pun, Hoi Ying Wong
2023 J jnl
Quantum Algorithms for the Pathwise Lasso.
CoRR
João F. Doriguello, Debbie Lim, Chi Seng Pun, Patrick Rebentrost, Tushar Vaidya
2022 J jnl
Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint.
Autom.
Chi Seng Pun, Zi Ye
2022 J jnl
Persistent-homology-based machine learning: a survey and a comparative study.
Artif. Intell. Rev.
Chi Seng Pun, Si Xian Lee, Kelin Xia
2022 J jnl
Reinventing Policy Iteration under Time Inconsistency.
Trans. Mach. Learn. Res.
Nixie S. Lesmana, Huangyuan Su, Chi Seng Pun
2022 J jnl
Robust classical-impulse stochastic control problems in an infinite horizon.
Math. Methods Oper. Res.
Chi Seng Pun
2021 J jnl
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection.
SIAM J. Financial Math.
Chi Seng Pun
2021 J jnl
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-inconsistent Problems.
CoRR
Nixie S. Lesmana, Chi Seng Pun
2021 J jnl
A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions.
Comput. Stat. Data Anal.
Chi Seng Pun, Matthew Zakharia Hadimaja
2020 A* conf
Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection.
IJCAI
Chi Seng Pun, Lei Wang, Hoi Ying Wong
2019 J jnl
A bootstrap-based KPSS test for functional time series.
J. Multivar. Anal.
Yichao Chen, Chi Seng Pun
2019 J jnl
A linear programming model for selection of sparse high-dimensional multiperiod portfolios.
Eur. J. Oper. Res.
Chi Seng Pun, Hoi Ying Wong
2018 J jnl
Robust time-inconsistent stochastic control problems.
Autom.
Chi Seng Pun
2016 J jnl
Non-zero-sum reinsurance games subject to ambiguous correlations.
Oper. Res. Lett.
Chi Seng Pun, Chi Chung Siu, Hoi Ying Wong
2016 J jnl
Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities.
SIAM J. Control. Optim.
Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong
2016 J jnl
Resolution of Degeneracy in Merton's Portfolio Problem.
SIAM J. Financial Math.
Chi Seng Pun, Hoi Ying Wong
2015 J jnl
Variance swap with mean reversion, multifactor stochastic volatility and jumps.
Eur. J. Oper. Res.
Chi Seng Pun, Shing Fung Chung, Hoi Ying Wong