Wei’s research interest remains on empirical asset pricing with a special focus on the pricing dynamics of hedge funds and exchange traded funds (ETFs). His main line of research evolves around the fact that the distribution of managed fund return is usually non-normal, displaying negative skewness and excess kurtosis. He has investigated the implication of the extreme downside risk (the tail risk) to the pricing of hedge funds and confirmed that tail risk is non-diversifiable for a hedge fund portfolio (i.e. funds of funds). His current research project focuses on the influence of the shared-loss scheme on the risk-taking behaviour of hedge fund managers.
