Pengyu Wei

DPhil Student, Mathematical and Computational Finance Group

Pengyu Wei is a DPhil student at the Mathematical and Computational Finance Group at the Mathematical Institute, under supervision of Prof. Xunyu Zhou.He received his undergraduate degree in statistics and also a bachelor's degree in economics, all from Peking University. His research interest includes financial big data and principal-agent problems. His current project is to analyse transaction data of foreign exchange traders and identify talented traders.

 

Related Research: Data Analysis and Patterns in Data, Pensions, Investments and Hedge Fund Industry, Decision Making under Uncertainty and Asset Allocation
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Working Paper

Wei, P (2017). Risk management with weighted VaR.
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Wei, P (2017). Eqilibrium analysis of expected shortfall.
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