The following pages link to Chi Seng Pun (Q319630):
Displaying 27 items.
- Variance swap with mean reversion, multifactor stochastic volatility and jumps (Q319633) (← links)
- Robust non-zero-sum stochastic differential reinsurance game (Q320290) (← links)
- A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions (Q829737) (← links)
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios (Q1622825) (← links)
- Non-zero-sum reinsurance games subject to ambiguous correlations (Q1755812) (← links)
- Robust time-inconsistent stochastic control problems (Q1797115) (← links)
- A bootstrap-based KPSS test for functional time series (Q2008226) (← links)
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility (Q2024120) (← links)
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach (Q2049552) (← links)
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint (Q2059371) (← links)
- Robust classical-impulse stochastic control problems in an infinite horizon (Q2084303) (← links)
- Efficient social distancing during the COVID-19 pandemic: integrating economic and public health considerations (Q2171542) (← links)
- Robust investment-reinsurance optimization with multiscale stochastic volatility (Q2347077) (← links)
- CEV asymptotics of American options (Q2442980) (← links)
- Robust time-inconsistent stochastic linear-quadratic control with drift disturbance (Q2673512) (← links)
- Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems (Q2696218) (← links)
- Portfolio optimization with ambiguous correlation and stochastic volatilities (Q2820186) (← links)
- Resolution of Degeneracy in Merton's Portfolio Problem (Q2953941) (← links)
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection (Q4988547) (← links)
- <i>G</i>-expected utility maximization with ambiguous equicorrelation (Q4991082) (← links)
- A cost-effective approach to portfolio construction with range-based risk measures (Q4991085) (← links)
- Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios (Q5886361) (← links)
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix (Q6072101) (← links)
- Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency (Q6158404) (← links)
- Nonlocality, nonlinearity, and time inconsistency in stochastic differential games (Q6178394) (← links)
- Nonlocal Fully Nonlinear Parabolic Differential Equations Arising in Time-Inconsistent Problems (Q6379793) (← links)
- A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations (Q6759903) (← links)
