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I have 15 years of financial industry practitioner-scholar experiences in leading quantitative finance research, research-led industry executive education and consulting, financial technology (FinTech) innovation and entrepreneurship. I published extensively in the quant methodology arena. My Behaviour-Consistent Portfolio Theory has influenced hundreds of professional fund managers around the world and enabled multiple inventions which won top FinTech awards in UK, Hong Kong, Singapore, China, and recognitions by Accenture, UBS, Alibaba etc. Previously, I headed investment-banking quant teams (No.1 in 2010 Institutional Investor (II) European “Quantitative Research” Survey) in London. While a practitioner, I spoke at professional and academic research conferences; taught at financial institutions and graduate schools; supervised PhD-level researchers; and peer-reviewed for academic journals and funding etc. I hold a PhD from Cambridge University, where I specialised in mathematical financial modelling.
My research interests cover investment decision-making rationale, philosophy, behaviour and ethics; behaviour-consistent portfolio theorisation, optimisation and engineering; holistic factor and risk management; unified and cognitive investment decision process; investor skill versus luck; decision performance attribution (DPA); transparency, regulation and RegTech innovations; asset management and WealthTech innovations; and risk-neutral valuation of contingent opportunities etc.
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person's work contributes towards the following SDGs:
"Ensure inclusive and equitable quality education and promote lifelong learning opportunities for all"
Industry, innovation and infrastructure
"Build resilient infrastructure, promote inclusive and sustainable industrialization and foster innovation"
- Cheung, W., 2012. The Augmented Black-Litterman Model: A Ranking-Free Approach to Factor-Based Portfolio Construction and Beyond. Quantitative Finance, 13 (2), 301-316.
- Cheung, W., 2010. The Black-Litterman Model Explained. The Journal of Asset Management, 11 (4), 229-243.
- Cheung, W., 2023. Subjectivity and Information Efficiency: The Unification and Validation of Portfolio Theory and Practice. Working paper.
- Cheung, W., 2023. Navigating the Cognitive Process: A Single Equation That Explains, Guides and Unifies Portfolio Decision Making. Working Paper.
- Cheung, W., 2019. Towards Real-Time Personalisable Digital Wealth Advice (Robo-Advisor v2.0). Lattice.
- Cheung, W., 2010. The Intrinsic Logic of Bayesian Allocation Framework. SSRN.
- Cheung, W., 2010. Hedging with the VIX ETF: Effectiveness in Tail and Drawdown Reduction. Nomura International plc., London.
- Cheung, W. and Mishra, M., 2010. Effective Factor Management with Analytical Precision. SSRN.
- Cheung, W. and Mishra, M., 2010. Crowded Trades: A Bayesian Remedy for Factor-Based Quants. SSRN.
- Cheung, W., 2009. Copula: A Primer for Fund Managers. SSRN.
- Cheung, W., 2009. Generalised Factor View Blending: Augmented Black-Litterman in Non-Normal Financial Markets with Non-Linear Financial instruments. SSRN.
- Cheung, W., 2009. Bayesian Allocation Framework: Towards Unified Transparent Portfolio Construction. SSRN.
- Cheung, W. and Mittal, N., 2008. Efficient Bayesian Factor Mimicking: Methodology, Tests and Comparison. SSRN.
- Luo, W. and Cheung, W., 2008. Maximizing the Sharpe Ratio. Lehman Brothers.
- Cheung, W., 2008. From Fama-French to the ABL Framework. SSRN.
- Cheung, W., 2008. The αBL Model: Allocation in the Active Space. Lehman Brothers.
- Cheung, W., 2008. Two Approaches to Factor-Based Portfolio Construction. Lehman Brothers.
- Cheung, W., 2007. The Black-Litterman Model: Applied to Long/Short Strategies and Beyond. Lehman Brothers.
- Cheung, W., 2007. The Black-Litterman Model: Applied to Strategy Combination. Lehman Brothers.
- Cheung, W., Hofmeyr, A. and Vandermark, S., 2006. Portfolio Construction in the Presence of Transaction Costs. Lehman Brothers.
- Cheung, W. and Hofmeyr, A., 2006. Estimating Capacity Constraints for Equity Strategies. Lehman Brothers.
Profile of Teaching PG
- International Investment Management (L7)
- Risk Management / Derivatives (L7)
- Portfolio Construction and Theory (PCT)
Profile of Teaching UG
- Investment Management (L6)
FinTech: Fantasy and Fallacy, London, 01 Jan 2022 more
Coventry University London
How to Construct Your Optimal Portfolio?, Cardiff, 01 Jan 2021 more
University of Cardiff
AI and Machine Learning in Finance, Hong Kong, 01 Jan 2019 more
Chinese University of Hong Kong
Real-Timer Personalisable Robo-Advisor 2.0, Hong Kong, 26 Feb 2018 more
Natixis FinTech Lecture Series
FinTech and Digital Wealth Management, Hong Kong, 01 Jan 2018 more
China Construction Bank
View-Driven Robo-Advisor, Hong Kong, 01 Jan 2018 more
Hong Kong Securities Association
General-Purpose Robo-Advisor, Hong Kong, 01 Jan 2017 more
China Banking Association
Next Generation Portfolio Analytics and Its Potent, Hong Kong, 01 Jan 2016 more
Securities & Futures Commission (SFC) of Hong Kong
Transparent & Precise Portfolio Decision Making, Hong Kong, 01 Jan 2016 more
Hong Kong Society of Financial Analysts
A Unified Bayesian Allocation Framework, Cass Business School, London, 01 Jan 2011 more
Cass Business School Research Seminar
- The Journal of Asset Management, 01 Jan 2013
- Quantitative Finance, 01 Jan 2012
- Nomura Investment Forum Asia, Sit Tight, General-Purpose Robo-Advisor is Coming!, 06 Jun 2017, Singapore
- INQUIRE Practitioner Seminar, Elegant Portfolio Discovery: From ‘Invisible & Fuzzy’ to ‘Transparent & Precise’ Investment Decision Making, 20 Jan 2016, London
- Nomura Global Quantitative Equity Conference, Elegant Factor Combination, 20 May 2010, London
- 5th CARISMA Conference, Crowded Trades: A Potential Bayesian Remedy, 02 Feb 2010, London
- London Quant Group 22nd Annual Investment Seminar, A Unified Bayesian Allocation Framework, 13 Sep 2009, Cambridge
- INQUIRE UK Autumn Seminar, Transparent Augmented Black-Litterman Allocation: Simple and Unified Framework for Strategy Combination, Factor Mimicking, Hedging and Stock-Specific Alpha, 06 Sep 2009, Leeds
- Nomura Global Quantitative Equity Conference, Portfolio Construction and Risk Management, 09 Mar 2009, Zurich, Paris, Frankfurt, London, Milan
- PhD in Economics (University of Cambridge, 2006)
- Certificate in Investments in Securities & Financial Derivatives (Securities & Investment institute (SII), UK, 2005)
- FSA Financial Professional Qualification in Financial Practices (Financial Services Authority (FSA) (FCA today), 2005)
- Global FinTech Hackcelerator Top20 (Monetary Authority of Singapore (MAS), 2018)
- China FinTech Innovation Competition Top30 (China FinTech Innovation Competition Committee, 2017)
- No.1 Team of HNWI Client Poll (UBS Disruptive Tech CEO Summit, 2017)
- UBS Future of Finance Challenge Top9 (UBS, 2017)
- Best FinTech Gold Award (Hong Kong ICT Awards, 2016)
- HotTen (The FinTech50, 2016)
- Top8 (Accenture FinTech Innovation Lab, 2016)
- FinTech Grand Award (UK Trade and Investment (UKTI), 2015)
- No. 1 Team, European Quantitative Research Survey (Institutional Investor (II), 2010)
- Fellow of Cambridge Overseas Society (Prince Philip Graduate Exhibition (Cambridge Overseas Trust), 2003)
- ADB Scholar (Asian Development Bank, 1996)
External Media and Press
- Enhance the performance of your investment, Telegraph. https://www.telegraph.co.uk/business/business-club/video/enhance-investment-performance/
- Meet the maths whizz aiming to bring order to portfolio construction, Fusionwire. http://www.fusionwire.net/featured/meet-the-maths-whizz-aiming-to-bring-order-to-portfolio-construction/