3 papers
cs.LG2025
Vine Copulas as Differentiable Computational Graphs
Tuoyuan Cheng, Thibault Vatter, Thomas Nagler +1
Vine copulas are sophisticated models for multivariate distributions and are increasingly used in machine learning. To facilitate their integration into modern ML pipelines, we int…
stat.ME2025
Design-Life Levels for Environmental Extremes: A Dependence-Aware Block-Maxima Workflow for Severity and Persistence
Tuoyuan Cheng, Xiao Peng, Achmad Choiruddin +2
Environmental risk assessment often asks how large the maximum discharge, flood, or insured loss may become over a design life rather than in a single year. In environmental record…
q-fin.PM2023
A General Framework for Portfolio Construction Based on Generative Models of Asset Returns
Tuoyuan Cheng, Kan Chen
In this paper, we present an integrated approach to portfolio construction and optimization, leveraging high-performance computing capabilities. We first explore diverse pairings o…