Wing Cheung

Independent

SCHOLARLY PAPERS

12

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Top 10,306

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9,702

TOTAL CITATIONS

21

Scholarly Papers (12)

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1.

The Black-Litterman Model Explained

Journal of Asset Management, Vol. 11, No. 4, pp. 229-43, February 2011
Number of pages: 19 Posted: 12 Feb 2009 Last Revised: 26 Jul 2024
Wing Cheung
Independent
Downloads 3,404 (7,573)
Citation 5

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asset allocation, portfolio construction, Bayes' Rule, view blending and shrinkage, CAPM, semi-strong market efficiency, mean-variance optimisation

2.

The Augmented Black-Litterman Model: A Ranking-Free Approach to Factor-Based Portfolio Construction and Beyond

Quantitative Finance, Vol. 13, No. 2, 2013, DOI: 10.1080/14697688.2012.714902
Number of pages: 28 Posted: 26 Feb 2009 Last Revised: 26 Jul 2024
Wing Cheung
Independent
Downloads 2,248 (14,628)
Citation 2

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asset allocation, portfolio construction, Bayes' Rule, Black-Litterman, view blending and shrinkage, CAPM, semi-strong market efficiency, Fama-French, factor ranking, factor risk model, mean-variance optimisation, robustness

3.

Copula: A Primer for Fund Managers

Number of pages: 21 Posted: 25 Aug 2009 Last Revised: 26 Jul 2024
Wing Cheung
Independent
Downloads 1,009 (49,019)
Citation 3

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copula, dependence, correlation, financial contagion, tail risk, non-normal portfolio management

4.

Crowded Trades: A Bayesian Remedy for Factor-Based Quants

Number of pages: 18 Posted: 07 Jan 2010 Last Revised: 26 Jul 2024
Wing Cheung and Mayank Mishra
Independent and affiliation not provided to SSRN
Downloads 620 (93,692)

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asset allocation, factor mimicking, Augmented Black-Litterman (ABL), Fama-French, factor ranking, factor risk model, crowded trades, transaction costs

5.

Generalised Factor View Blending: Augmented Black-Litterman in Non-Normal Financial Markets with Non-Linear Instruments

Number of pages: 24 Posted: 25 Aug 2009 Last Revised: 26 Jul 2024
Wing Cheung
Independent
Downloads 603 (97,057)
Citation 4

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Augmented Black-Litterman (ABL), view blending and shrinkage, Bayes' Rule, CAPM, semi-strong market efficiency, non-normality, non-linear factor model, Monte Carlo, Bayesian posterior sampling, portfolio construction, optimisation, robustness, CVaR minimisation

6.

Efficient Bayesian Factor Mimicking: Methodology, Tests and Comparison

Number of pages: 25 Posted: 26 Oct 2009 Last Revised: 26 Jul 2024
Wing Cheung and Nikhil Mittal
Independent and affiliation not provided to SSRN
Downloads 498 (123,274)
Citation 3

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factor mimicking, portfolio construction, Augmented Black-Litterman (ABL), factor tilt, Fama-French, factor ranking, factor risk model, optimisation, OLS, GLS

7.

From Factor Ranking to the ABL Framework

Number of pages: 17 Posted: 07 Jan 2010 Last Revised: 26 Jul 2024
Wing Cheung
Independent
Downloads 415 (152,982)
Citation 2

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asset allocation, factor mimicking, Augmented Black-Litterman (ABL), Fama-French, factor ranking, factor risk model

8.

The Intrinsic Logic of the Augmented Black-Litterman Model

Number of pages: 28 Posted: 26 Dec 2010 Last Revised: 26 Jul 2024
Wing Cheung
Independent
Downloads 377 (170,435)
Citation 1

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allocation, factor mimicking, hedging, Augmented Black-Litterman (ABL), Fama-French, factor risk model

9.

Holistic Factor Management with Analytical Precision

Number of pages: 20 Posted: 15 Sep 2010 Last Revised: 26 Jul 2024
Wing Cheung and Mayank Mishra
Independent and affiliation not provided to SSRN
Downloads 325 (200,457)
Citation 1

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factor mimicking, factor combination, view blending and shrinkage, signal-noise efficiency, dollar neutrality, beta neutrality

10.

Markowitz vs. 1/N: Portfolio Performance, Estimation Errors, and Subjectivity

Number of pages: 37 Posted: 17 Jul 2024 Last Revised: 07 May 2025
Wing Cheung
Independent
Downloads 125 (487,478)

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alpha model, factor risk model, joint tests, Markowitz, Monte Carlo Simulation, investor subjectivity

11.

Exploring Parsimonious Principles that Unify Active Portfolio Selection (I): Model

Number of pages: 40 Posted: 17 Jul 2024 Last Revised: 07 May 2025
Wing Cheung
Independent
Downloads 46 (877,505)

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factor mimicking and hedging, forecasting skill and error, investor subjectivity, Markowitz, cognitive ambiguity

12.

Exploring Parsimonious Principles that Unify Active Portfolio Selection (II): Validation

Number of pages: 34 Posted: 17 Jul 2024 Last Revised: 07 May 2025
Wing Cheung
Independent
Downloads 32 (1,012,271)

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factor mimicking and hedging, forecasting skill and error, investor subjectivity, Markowitz, portfolio performance, cognitive ambiguity

Other Papers (2)

Total Downloads: 47
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1.

Principles of Active Portfolio Selection: Can Investor Subjectivity Enhance Portfolio Performance Beyond Markowitz?

Number of pages: 48 Posted: 16 Sep 2022 Last Revised: 11 Apr 2024
Wing Cheung
Independent
Downloads 47 (1,047,941)

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cognitive fuzziness, factor mimicking and hedging, forecasting skill and error, investor subjectivity, Markowitz, portfolio performance

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