Dr Wing Cheung

wcheung at bournemouth dot ac dot uk

Senior Lecturer in Finance
EBC401,

Biography
Research

Biography

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.

Research

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.

Journal Articles

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.
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Cheung, W., 2010. The Black-Litterman Model Explained. The Journal of Asset Management, 11 (4), 229-243.
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Reports

Cheung, W., 2019. Towards Real-Time Personalisable Digital Wealth Advice (Robo-Advisor v2.0). Lattice.
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Cheung, W., 2010. The Intrinsic Logic of Bayesian Allocation Framework. SSRN.
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Cheung, W., 2010. Hedging with the VIX ETF: Effectiveness in Tail and Drawdown Reduction. Nomura International plc., London.
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Cheung, W. and Mishra, M., 2010. Effective Factor Management with Analytical Precision. SSRN.
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Cheung, W. and Mishra, M., 2010. Crowded Trades: A Bayesian Remedy for Factor-Based Quants. SSRN.
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Cheung, W., 2009. Copula: A Primer for Fund Managers. SSRN.
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Cheung, W., 2009. Generalised Factor View Blending: Augmented Black-Litterman in Non-Normal Financial Markets with Non-Linear Financial instruments. SSRN.
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Cheung, W., 2009. Bayesian Allocation Framework: Towards Unified Transparent Portfolio Construction. SSRN.
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Cheung, W. and Mittal, N., 2008. Efficient Bayesian Factor Mimicking: Methodology, Tests and Comparison. SSRN.
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Luo, W. and Cheung, W., 2008. Maximizing the Sharpe Ratio. Lehman Brothers.
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Cheung, W., 2008. From Fama-French to the ABL Framework. SSRN.
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Cheung, W., 2008. The αBL Model: Allocation in the Active Space. Lehman Brothers.
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Cheung, W., 2008. Two Approaches to Factor-Based Portfolio Construction. Lehman Brothers.
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Cheung, W., 2007. The Black-Litterman Model: Applied to Long/Short Strategies and Beyond. Lehman Brothers.
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Cheung, W., 2007. The Black-Litterman Model: Applied to Strategy Combination. Lehman Brothers.
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Cheung, W., Hofmeyr, A. and Vandermark, S., 2006. Portfolio Construction in the Presence of Transaction Costs. Lehman Brothers.
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Cheung, W. and Hofmeyr, A., 2006. Estimating Capacity Constraints for Equity Strategies. Lehman Brothers.
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Theses