Chengguo Weng

University of Waterloo

Associate Professor

M3-200 Univ Ave W

Waterloo, Ontario N2L3G1

Canada

  • University of Waterloo

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    • Tel: (1)888-4567 ext.31132
SCHOLARLY PAPERS

34

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28

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53

Scholarly Papers (34)

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1.

Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization

Number of pages: 56 Posted: 16 Nov 2017 Last Revised: 31 Oct 2018
Danqiao Guo, Phelim P. Boyle, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 733 (43,805)
Citation 1

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Portfolio optimization, Estimation error, Approximation error, Spectral cut-off method, Spectral selection method

2.

Age Matters

Number of pages: 44 Posted: 29 May 2019
Danqiao Guo, Phelim P. Boyle, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 317 (120,984)
Citation 1

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Bootstrapped portfolio, rebalanced portfolio, age effect, size effect

3.

When Does the 1/N Rule Work?

Number of pages: 27 Posted: 05 Feb 2018 Last Revised: 28 Oct 2019
Danqiao Guo, Phelim P. Boyle, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 308 (124,685)
Citation 1

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1/N rule, favorability index, bull and bear markets, regime-switching model

4.

Climate Change Risk and Agriculture-Related Stocks

Number of pages: 35 Posted: 09 Jan 2020 Last Revised: 16 Jan 2020
Ruihong Jiang and Chengguo Weng
University of Waterloo and University of Waterloo
Downloads 183 (206,879)
Citation 2

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Extreme Climate, Climate Change Risk, Return Predictability, Market Efficiency

5.

Sample Eigenvalues Adjustment for Portfolio Performance Improvement under Factor Models

Number of pages: 32 Posted: 28 Apr 2017 Last Revised: 31 Oct 2018
Danqiao Guo, Chengguo Weng and Tony S. Wirjanto
University of Waterloo, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 141 (258,705)

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Global Minimum Variance Portfolio, Tail Eigenvalues Amplification, Risk Reduction, High-Dimensionality

6.

Discrete-Time CPPI Under Transaction Cost and Regime Switching

Number of pages: 30 Posted: 04 May 2014
Chengguo Weng
University of Waterloo
Downloads 129 (275,443)
Citation 2

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Finance, Investment analysis, Risk management, Markov processes, Constant proportion portfolio insurance, Regime switching

7.

Constant Proportion Portfolio Insurance Under Regime Switching Exponential Levy Process

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 44 Posted: 06 Mar 2012 Last Revised: 08 Mar 2013
Chengguo Weng
University of Waterloo
Downloads 125 (282,045)
Citation 3

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constant proportion portfolio insurance, regime switching, exponential Levy process, shortfall, gap risk, matrix exponential.

8.

Characterization of Multivariate Heavy-Tailed Distribution Families via Copula

Chengguo Weng, Yi Zhang, Journal of Multivariate Analysis, pp. 106, 178–186, 2012
Number of pages: 18 Posted: 14 Mar 2011 Last Revised: 08 Mar 2013
Chengguo Weng and Yi Zhang
University of Waterloo and Zhejiang University
Downloads 124 (283,776)

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Multivariate Regular Variation, Copula, Tail Dependence Index, Multivariate Subexponential Distribution, Multivariate Long-Tailed Distribution

9.

Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models

Zhao, H., Weng, C., Shen, Y., Zeng, Y., (2016). Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. Science China Mathematics 60(2), 317-344.
Number of pages: 28 Posted: 08 May 2014 Last Revised: 06 Feb 2017
Hui Zhao, Chengguo Weng, Yang Shen and Yan Zeng
Tianjin University, University of Waterloo, York University and Sun Yat-Sen University (SYSU) - Lingnan (University) College
Downloads 103 (323,137)
Citation 1

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Investment-reinsurance problem; Mean-variance analysis; Time-consistent strategy; Constant elasticity of variance model

10.

Pricing Bounds and Bang-Bang Analysis of the Polaris Variable Annuities

Number of pages: 44 Posted: 25 Oct 2017 Last Revised: 09 Sep 2021
Zhiyi Shen and Chengguo Weng
University of Waterloo and University of Waterloo
Downloads 96 (338,258)
Citation 2

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Variable Annuities; Bang-bang Solution; Least Squares Monte Carlo; Sieve Estimation

11.

Index Insurance Design

Number of pages: 36 Posted: 12 Sep 2018
Jinggong Zhang, Ken Seng Tan and Chengguo Weng
Nanyang Business School, Nanyang Technological University, University of Waterloo and University of Waterloo
Downloads 95 (340,465)
Citation 1

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12.

Optimal Hedging with Basis Risk under Mean-Variance Criterion

Insurance: Mathematics and Economics, Vol. 75, 1-15, 2017
Number of pages: 41 Posted: 04 Apr 2017 Last Revised: 10 May 2019
Jingong Zhang, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 87 (359,698)

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Basis Risk; Optimal Hedging; Time Consistent Planning; Mean-Variance

13.

VaR-Based Optimal Partial Hedging

ASTIN Bulletin, 43(3), 271-299, 2013
Number of pages: 28 Posted: 26 Apr 2014
Jianfa Cong, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 76 (389,653)

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quantile hedging, partial hedging, optimal strategy, Value-at-Risk (VaR), bull call spread, knock-out call

14.

CVaR-Based Optimal Partial Hedging

The Journal of Risk 16(3), 49-83, 2014
Number of pages: 32 Posted: 26 Apr 2014
Jianfa Cong, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 60 (441,397)

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partial hedging, conditional value-at-risk (CVaR), bull call spread hedging, utility based indifference pricing, stop-loss

15.

A Central Bank Strategy for Defending a Currency Peg

Number of pages: 11 Posted: 17 Dec 2019 Last Revised: 03 Aug 2020
Eyal Neuman, Alexander Schied, Chengguo Weng and Xiaole Xue
Imperial College London - Department of Mathematics, University of Waterloo, University of Waterloo and Shandong University
Downloads 58 (448,606)

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currency target zone, currency peg, price impact, central bank intervention, singular stochastic control, second-order differential equation with infinite boundary conditions

16.

Optimal Reinsurance Analysis from a Crop Insurer's Perspective

Published on Agricultural Finance Review 73(2), 310-328, 2013.
Number of pages: 29 Posted: 26 Apr 2014
Lysa Porth, Lysa Porth, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial ScienceUniversity of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and University of Waterloo
Downloads 49 (483,581)

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crop insurance; optimal reinsurance; conditional tail expectation risk measure; premium principle; loss cost ratio

17.

Optimal Investment Strategies for Participating Contracts

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 43 Posted: 06 Feb 2017
Hongcan Lin, David Saunders and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 47 (492,078)
Citation 4

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participating contract; utility maximization; martingale and dual approach; concavification technique; stochastic control

18.

Nonparametric Inference for VaR, CTE, and Expectile with High-order Precision

The North American Actuarial Journal, In press.
Number of pages: 34 Posted: 29 Jan 2019 Last Revised: 10 May 2019
Zhiyi Shen, Yukun Liu and Chengguo Weng
University of Waterloo, School of Statistics, East China Normal University and University of Waterloo
Downloads 44 (505,397)

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Empirical Likelihood, Risk Measure Estimation, Value-at-Risk, Conditional Tail Expectation, Expectile

19.

Optimal Reinsurance with Expectile

Cai, J., Weng, C. (2016). Optimal reinsurance with expectile. Scandinavian Actuarial Journal 2016(7), 624-645.
Number of pages: 27 Posted: 06 Feb 2017
Jun Cai and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo
Downloads 43 (509,843)
Citation 1

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Reinsurance, Risk measure, Expectile, Coherent, Elicitable, Premium principle, Actuarial reserve, Risk margin, Liability

20.

A DSA Algorithm for Mortality Forecasting

Number of pages: 34 Posted: 08 Mar 2020 Last Revised: 10 Jun 2020
Liqun Diao, Yechao Meng and Chengguo Weng
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 42 (514,450)

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Mortality forecast; DSA algorithm; Lee-Carter model; Multiple populations

21.

Derivatives Trading for Insurers

Insurance: Mathematics and Economics, Vol. 84, 40-53, 2019
Number of pages: 30 Posted: 22 Jun 2018 Last Revised: 10 May 2019
Xiaole Xue, Pengyu Wei and Chengguo Weng
Shandong University, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo
Downloads 41 (519,144)

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Derivatives trading, HJB equations, Investment-reinsurance, Stochastic control, Stochastic volatility

22.

A Backward Simulation Method for Stochastic Optimal Control Problems

Number of pages: 48 Posted: 13 Feb 2019
Zhiyi Shen and Chengguo Weng
University of Waterloo and University of Waterloo
Downloads 39 (528,748)
Citation 3

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Stochastic Optimal Control, Monte Carlo Simulation, Nonparametric Sieve Estimation

23.

Empirical Approach for Optimal Reinsurance Design

Tan, K. S., and Weng, C., 2014. Empirical Approach for Optimal Reinsurance Design. North American Actuarial Journal, Forthcoming
Number of pages: 38 Posted: 22 Apr 2014
Ken Seng Tan and Chengguo Weng
University of Waterloo and University of Waterloo
Downloads 38 (533,537)
Citation 2

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Empirical Model; Optimal Reinsurance; Second-Order Conic Programming; Risk Measure; Premium Principle; Variance Minimization; Conditional Tail Expectation Minimization.

24.

Regression Tree Credibility Model

The North American Actuarial Journal, Forthcoming
Number of pages: 40 Posted: 13 Dec 2018 Last Revised: 10 May 2019
Liqun Diao and Chengguo Weng
University of Waterloo and University of Waterloo
Downloads 37 (538,601)
Citation 1

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Credibility Theory; Regression Tree; Premium Rating; Predictive Analytics

25.

Optimal Dynamic Longevity Hedge with Basis Risk

Tan, K.S., Weng, C., Zhang, J., 2021. Optimal Dynamic Longevity Hedge with Basis Risk. European Journal of Operational Research. In press.
Number of pages: 30 Posted: 22 Jul 2020 Last Revised: 08 Jun 2021
Ken Seng Tan, Chengguo Weng and Jingong Zhang
University of Waterloo, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 31 (570,778)

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Risk management, Pension liability management, Longevity risk, Dynamic programming, Mean-variance.

26.

Mean-variance Hedging with Basis Risk

Xue, X., Zhang, J.*, Weng, C. (2019). Mean-variance hedging with basis risk. Applied Stochastic Models in Business and Industry, Forthcoming
Number of pages: 22 Posted: 31 May 2019
Xiaole Xue, Chengguo Weng and Jinggong Zhang
Shandong University, University of Waterloo and Nanyang Business School, Nanyang Technological University
Downloads 28 (588,559)

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27.

Dynamic Risk-Sharing Game and Reinsurance Contract Design

Insurance: Mathematics and Economics, Vol. 86, 2019
Number of pages: 38 Posted: 31 May 2019
Chen Shumin, Yanchu Liu and Chengguo Weng
School of Mathematics and Computational Science, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Waterloo
Downloads 26 (601,163)
Citation 1

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28.

Vine Copula Models with GLM and Sparsity

Communications in Statistics - Theory and Methods, Vol. 73, 137-155.
Number of pages: 26 Posted: 06 Feb 2017 Last Revised: 10 May 2019
Dezhao Han, Ken Seng Tan and Chengguo Weng
University of Waterloo, University of Waterloo and University of Waterloo
Downloads 23 (621,375)

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vine copula, generalized linear model, penalized MLE

29.

Marginal Indemnification Function Formulation for Optimal Reinsurance

Insurance: Mathematics and Economics, Vol. 67, 2016
Number of pages: 28 Posted: 06 Feb 2017
Sheng Chao Zhuang, Chengguo Weng, Ken Seng Tan and Hirbod Assa
University of Nebraska Lincoln, University of Waterloo, University of Waterloo and Kent Business School
Downloads 18 (656,813)
Citation 8

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optimal reinsurance, marginal indemnification function, Lagrangian dual method, distortion risk measure, inverse-S shaped distortion premium principle

30.

Optimal Multivariate Quota-Share Reinsurance: A Nonparametric Mean-CVaR Framework

Insurance: Mathematics and Economics, Vol. 72, 2016
Number of pages: 48 Posted: 06 Feb 2017
Haoze Sun, Chengguo Weng and Yi Zhang
Zhejiang University, University of Waterloo and Zhejiang University
Downloads 15 (678,631)

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Multiple optimal reinsurance, Mean-CVaR, Nonparametric model, Kernel estimation, alpha-mixing process, Bootstrap

31.

Optimal Reinsurance Subject to Vajda Condition

Insurance: Mathematics and Economics, Vol. 53, No. 1, 2013
Number of pages: 26 Posted: 26 Apr 2014
Yichun Chi and Chengguo Weng
China Institute for Actuarial Science, Central University of Finance and Economics and University of Waterloo
Downloads 13 (694,209)
Citation 3

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Cost of capital; Conditional value at risk; Value at risk; Optimal reinsurance; Vajda condition.

32.

CDF Formulation for Solving an Optimal Reinsurance Problem

Weng, C., Zhuang, S.C., 2016. CDF Formulation for solving an optimal reinsurance problem. Scandinavian Actuarial Journal
Number of pages: 30 Posted: 06 Feb 2017
Chengguo Weng and Sheng Chao Zhuang
University of Waterloo and University of Nebraska Lincoln
Downloads 10 (717,705)

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CDF formulation, Lagrangian dual method, optimal reinsurance, survival probability maximization, background risk, generalized Wang’s premium principle

33.

Equilibrium Consumption and Portfolio Decisions With Stochastic Discount Rate and Time-Varying Utility Functions

OR Spectrum 40(2), 541–582., 2017
Number of pages: 38 Posted: 31 May 2019
Huiling Wu, Chengguo Weng and Yan Zeng
Central University of Finance and Economics (CUFE), University of Waterloo and Sun Yat-Sen University (SYSU) - Lingnan (University) College
Downloads 7 (741,316)

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34.

Conditional Value-at-Risk-Based Optimal Partial Hedging

Journal of Risk, Vol. 16, No. 3, 2014
Number of pages: 36 Posted: 08 Jun 2016
Jianfa Cong, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 0 (810,247)
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hedging, value-at-risk, optimal partial hedging