Academic Profile

Academic Profile

Asst Prof Pun Chi Seng

Assistant Professor, School of Physical & Mathematical Sciences
Programme Director, MSc in Financial Technology (FinTech) Programme

Asst Prof Pun Chi Seng

PUN Chi Seng (Patrick) is a tenure-track Assistant Professor at School of Physical and Mathematics Sciences, Nanyang Technological University, Singapore. Prior to NTU, Patrick was a teaching assistant at The Chinese University of Hong Kong (CUHK) where he obtained his Ph.D. in Statistics in 2016. His Ph.D. thesis on “Robust Stochastic Control and High-Dimensional Statistics with Applications in Finance” won numerous awards, including Nicola Bruti Liberati Prize 2016 (Best Ph.D. Thesis in Quantitative Finance) and the Young Scholars Thesis Award 2016 (Best Ph.D. Thesis from Faculty of Science, CUHK). His research paper on “Combined Estimation-Optimization (CEO) Approach for High Dimensional Portfolio Selection” won Best Student Research Paper (First Place) in INFORMS Financial Section in 2015. Patrick also won Best Teaching Assistant Award in 2014.

Patrick has strong research interests in Financial / Actuarial Mathematics and Big Data Analytics, as evidenced by his numerous publications in these fields. He has received several distinguished grants, namely from NRF, MOE, DSAIR, and NTU, to further his research work alongside his tertiary teaching responsibilities.

Patrick obtained his M.Phil. in Risk Management Science from CUHK in 2013 and obtained his B.Sc. in Statistics, from Nankai University (NKU) in 2011. He also passed the Financial Risk Manager (FRM) qualification examinations in 2012. Patrick is native in both Cantonese and Mandarin and is fluent in English.
Research Interests
Financial Mathematics: Robust Stochastic/Impulse Controls, Time-Inconsistency, Systemic Risk Measures, Perturbation Methods, ​Derivatives Pricing

Big Data Analytics, esp. in Finance: High-Dimensional Statistics, Functional Time Series Analysis, (Statistical, Deep, Sparse) Learning, Topological Data Mining
Current Projects
  • Machine-Learning-Enhanced Systemic Risk Measure
  • Portfolio Selection with Advanced Statistical Techniques
  • Robust Impulse Control with Ambiguity Aversion and Applications
  • Sparse Learning: Direct Estimation with Self-Calibrated Regularization
Selected Publications
  • Chi Seng Pun and Hoi Ying Wong. (2019). A Linear Programming Model for Selection of Sparse High-Dimensional Multiperiod Portfolios. European Journal of Operational Research, 273(2), 754-771.
  • Chi Seng Pun. (2018). Robust Time-Inconsistent Stochastic Control Problems. Automatica, 94, 249-257.
  • Mei Choi Chiu, Chi Seng Pun, and Hoi Ying Wong. (2017). Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy. Risk Analysis, 37(8), 1532-1549.
  • Chi Seng Pun, Hoi Ying Wong. (2016). Resolution of Degeneracy in Merton's Portfolio Problem. SIAM Journal on Financial Mathematics, 7(1), 786-811.
  • Jean-Pierre Fouque, Chi Seng Pun, Hoi Ying Wong. (2016). Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities. SIAM Journal of Control and Optimization, 54(5), 2309-2338.

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