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Chi Seng Pun · Study

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Chi Seng Pun

8 works· latest 2022· 2 institutionscluster: provisionalORCID 0000-0002-7478-6961

h-index8

i108

Citations434

Works here8

15

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22

Most cited in this library

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities2016 · 100 citations
Robust investment–reinsurance optimization with multiscale stochastic volatility2015 · 64 citations
Robust non-zero-sum stochastic differential reinsurance game2016 · 52 citations
Robust Time-Inconsistent Stochastic Control Problems2017 · 52 citations
Variance swap with mean reversion, multifactor stochastic volatility and jumps2015 · 48 citations

Works

8 shown

Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach

Journal of Banking & Finance·2022·2 authors

30citations

A linear programming model for selection of sparse high-dimensional multiperiod portfolios

European Journal of Operational Research·2018·2 authors

48citations

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

Risk Analysis·2017·3 authors

40citations

Robust Time-Inconsistent Stochastic Control Problems

Automatica·2017·1 author·Open access

52citations

Robust non-zero-sum stochastic differential reinsurance game

Insurance Mathematics and Economics·2016·2 authors·Open access

52citations

Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities

SIAM Journal on Control and Optimization·2016·3 authors·Open access

100citations

Variance swap with mean reversion, multifactor stochastic volatility and jumps

European Journal of Operational Research·2015·3 authors·Open access

48citations

Robust investment–reinsurance optimization with multiscale stochastic volatility

Insurance Mathematics and Economics·2015·2 authors·Open access

64citations