Robust classical-impulse stochastic control problems in an infinite horizon

由 Pun, Chi Seng
出版 2022

Robust Time-Inconsistent Stochastic Control Problems

由 Pun, Chi Seng
出版 2018

Time-consistent mean-variance portfolio selection with only risky assets

由 Pun, Chi Seng
出版 2018

A sparse learning approach to relative-volatility-managed portfolio selection

由 Pun, Chi Seng
出版 2022

Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint

由 Pun, Chi Seng, Ye, Zi
出版 2022

Machine-learning-enhanced systemic risk measure: a two-step supervised learning approach

由 Liu, Ruicheng, Pun, Chi Seng
出版 2022

Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems

由 Lei, Qian, Pun, Chi Seng
出版 2023

Nonlocality, nonlinearity, and time inconsistency in stochastic differential games

由 Lei, Qian, Pun, Chi Seng
出版 2023

An extended McKean–Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix

由 Lei, Qian, Pun, Chi Seng
出版 2024

A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions

由 Pun, Chi Seng, Hadimaja, Matthew Zakharia
出版 2022

Resolution of degeneracy in Merton's portfolio problem

由 Pun, Chi Seng, Wong, Hoi Ying
出版 2018

Robust non-zero-sum stochastic differential reinsurance game

由 Pun, Chi Seng, Wong, Hoi Ying
出版 2016

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

由 Pun, Chi Seng, Wong, Hoi Ying
出版 2018

Robust Investment-Reinsurance Optimization with Multiscale Stochastic Volatility

由 Pun, Chi Seng, Wong, Hoi Ying
出版 2016

CEV Asymptotics of American Options

由 Pun, Chi Seng, Wong, Hoi Ying
出版 2016

Bayesian estimation and optimization for learning sequential regularized portfolios

由 Marisu, Godeliva Petrina, Pun, Chi Seng
出版 2023

Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set

由 Pun, Chi Seng, Wang, Tianyu, Yan, Zhenzhen
出版 2024

Persistent-homology-based machine learning: a survey and a comparative study

由 Pun, Chi Seng, Lee, Si Xian, Xia, Kelin
出版 2022

Efficient social distancing during the COVID-19 pandemic: integrating economic and public health considerations

由 Chen, Kexin, Pun, Chi Seng, Wong, Hoi Ying
出版 2022

Robust time-inconsistent stochastic linear-quadratic control with drift disturbance

由 Han, Bingyan, Pun, Chi Seng, Wong, Hoi Ying
出版 2022