M3-200 University Avenue West, Waterloo, ON, N2L 3G1, Canada.
519-888-4567 ext. 31132
I am an Associate Professor of Actuarial Science in the Department of Statistics and Actuarial Science at the University of Waterloo.
I am interested in not only academic research in those areas including probability, statistics, actuarial science, finance and optimization, but also industry consulting projects and commercial adventure in relevant industries.
BROAD RESEARCH INTERESTS
My research interests span a broad spectrum of scientific disciplines from actuarial science, finance to probability, statistics and stochastic optimization. I am interested in both theoretical and applied research topics. My latest research focuses on developing innovative risk assessment methods and prioritization strategies for actuarial and financial risk management.
ENTHUSIASM IN INDUSTRIAL PARTNERSHIP
I am enthusiastic in applying cutting-edge technology and knowledge developed by academia into real problems via industrial partnership.
DIVERSITY OF EDUCATION EXPERIENCES
My education experiences span a wide spectrum of disciplines including probability, statistics, actuarial science, finance, and optimization. I have a Ph.D. degree in actuarial science, a master degree and a bachelor degree in statistics.
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[Conference Presentation] Dr. Chengguo Weng will present a talk entitled "When does the 1/N rule work?" on the 2019 Canadian Mathematical Society Winter Meeting to be held in Toronto during December 6-9, 2019. Dr. Weng's talk is based on a joint work with his former Ph.D. Danqiao Guo (co-supervised with Dr. Tony Wirjanto), Dr. Phelim Boyle and Dr. Tony Wirjanto. In this work, a ``1/N favorability index" is proposed to measure how favorable a market is to holding a 1/N portfolio. This index reflects the extent of difficulty for an optimized portfolio to outperform the 1/N portfolio in a specific market. The study implies that the reported good performance of the 1/N portfolio in the US equity market can be partially attributed to the long-run bullish trend in the market which gives rise to the high favorability of the market to the 1/N portfolio. Click Here for the abstract.