Search Results for author: Tuoyuan Cheng

Found 2 papers, 0 papers with code

A General Framework for Portfolio Construction Based on Generative Models of Asset Returns

no code implementations6 Dec 2023 Tuoyuan Cheng, Kan Chen

We consider similarity and optimality measures for value models and employ probability-matching ("blending") and a greedy algorithm ("switching") for policy models.

Portfolio Optimization

Measuring Tail Risks

no code implementations15 Sep 2022 Kan Chen, Tuoyuan Cheng

In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time.

Management

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