Chengguo Weng

University of Waterloo

Associate Professor

M3-200 Univ Ave W

Waterloo, Ontario N2L3G1

Canada

  • University of Waterloo

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SCHOLARLY PAPERS

32

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Scholarly Papers (32)

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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 422 (70,509)

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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 263 (119,602)
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 191 (163,328)
Citation 1

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

4.

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 126 (231,581)

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

5.

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 119 (241,658)

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

6.

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 117 (244,720)
Citation 2

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

7.

Discrete-Time CPPI Under Transaction Cost and Regime Switching

Number of pages: 30 Posted: 04 May 2014
Chengguo Weng
University of Waterloo
Downloads 107 (260,724)
Citation 2

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

8.

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 98 (276,823)
Citation 1

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

9.

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

Number of pages: 44 Posted: 25 Oct 2017 Last Revised: 15 Jul 2019
Zhiyi Shen and Chengguo Weng
University of Waterloo and University of Waterloo
Downloads 86 (300,785)
Citation 1

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

10.

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 64 (355,638)

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

11.

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 62 (361,529)

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

12.

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 57 (376,782)

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

13.

Index Insurance Design

Number of pages: 36 Posted: 12 Sep 2018
Jinggong Zhang, Ken Seng Tan and Chengguo Weng
Nanyang Technological University (NTU) - Nanyang Business School, University of Waterloo and University of Waterloo
Downloads 48 (410,266)

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14.

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, Ken Seng Tan and Chengguo Weng
University of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and University of Waterloo
Downloads 47 (410,266)

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

15.

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 40 (437,151)
Citation 3

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

16.

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 38 (445,492)

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

17.

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 35 (458,217)

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

18.

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 32 (471,769)

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

19.

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 31 (476,619)
Citation 1

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

20.

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 27 (496,985)

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

21.

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 22 (525,603)
Citation 1

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Stochastic Optimal Control, Monte Carlo Simulation, Nonparametric Sieve Estimation

22.

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 21 (531,521)

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Credibility Theory; Regression Tree; Premium Rating; Predictive Analytics

23.

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 21 (531,521)

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vine copula, generalized linear model, penalized MLE

24.

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 Technological University (NTU) - Nanyang Business School
Downloads 20 (537,399)

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25.

A Central Bank Strategy for Defending a Currency Target Zone

Number of pages: 10 Posted: 17 Dec 2019 Last Revised: 03 Jan 2020
Eyal Neuman, Alexander Schied, Chengguo Weng and Xiaole Xue
affiliation not provided to SSRN, University of Waterloo, University of Waterloo and Shandong University
Downloads 16 (561,685)

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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

26.

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 University of Liverpool
Downloads 16 (561,685)
Citation 2

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

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 13 (580,590)

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28.

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 12 (587,229)

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

29.

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 10 (600,179)
Citation 1

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

30.

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 9 (606,762)

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

31.

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 2 (658,071)

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32.

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 (687,139)
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hedging, value-at-risk, optimal partial hedging