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Nonlocality, nonlinearity, and time inconsistency in stochastic differential games

Lei, Qian; Pun, Chi Seng - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 190-256

Persistent link: https://www.econbiz.de/10014471215

An Extended McKean — Vlasov Dynamic Programming Approach to Robust Equilibrium Controls under Ambiguous Covariance Matrix

Lei, Qian; Pun, Chi Seng - 2020

This paper studies a general class of time-inconsistent stochastic control problems under ambiguous covariance matrix. The time-inconsistency is caused in various ways by a general objective functional and thus the associated control problem does not admit Bellman's principle of optimality....

Persistent link: https://www.econbiz.de/10014032214

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

Pun, Chi Seng - In: Economic modelling 75 (2018), pp. 281-292

Persistent link: https://www.econbiz.de/10012101523

G-expected utility maximization with ambiguous equicorrelation

Pun, Chi Seng - In: Quantitative finance 21 (2021) 3, pp. 403-419

Persistent link: https://www.econbiz.de/10012483830

Robust classical-impulse stochastic control problems in an infinite horizon

Pun, Chi Seng - In: Mathematical methods of operations research : ZOR 96 (2022) 2, pp. 291-312

Persistent link: https://www.econbiz.de/10013455036

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

Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795

Persistent link: https://www.econbiz.de/10014383458

Robust non-zero-sum stochastic differential reinsurance game

Pun, Chi Seng; Wong, Hoi Ying - In: Insurance / Mathematics & economics 68 (2016), pp. 169-177

Persistent link: https://www.econbiz.de/10011492656

Variance swap with mean reversion, multifactor stochastic volatility and jumps

Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580

Persistent link: https://www.econbiz.de/10011308968

Robust investment-reinsurance optimization with multiscale stochastic volatility

Pun, Chi Seng; Wong, Hoi Ying - In: Insurance / Mathematics & economics 62 (2015), pp. 245-256

Persistent link: https://www.econbiz.de/10011312060

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

Pun, Chi Seng; Wong, Hoi Ying - In: European journal of operational research : EJOR 273 (2019) 2, pp. 754-771

Persistent link: https://www.econbiz.de/10011987586