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Patrick (@cspun)

cspun

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Location 🇸🇬 Singapore
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MLE-SRISK

This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approach" (by R. Liu and C.S. Pun)

BEO-EIVar-and-AdjBO

Data and source codes for the paper ``Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios" by Godeliva Petrina Marisu and Chi Seng Pun (Nanyang Technological University, Singapore), where we developed a new acquisition function EIVar that targets high expected improvement with low improvement variance and we proposed adjustments to the Bayesian optimization to account for the sequential feature of portfolio constructions.