Access Statistics for Thierry Roncalli

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 65 0 1 1 120
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 1 1 8 128
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 0 1 1 29
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 3 4 30 188 5 11 71 367
Copulas for finance 1 1 3 56 2 4 13 174
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 1 1 3 36 4 5 13 67
Financial Applications of Gaussian Processes and Bayesian Optimization 0 0 2 43 1 3 14 114
Handbook of Sustainable Finance 0 1 8 33 0 2 17 39
Handbook of Sustainable Finance 0 3 22 28 1 8 58 68
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 1 2 17 1 2 4 34
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 1 1 2 89 2 2 5 159
Introduction to Risk Parity and Budgeting 0 0 8 240 0 1 15 578
Introduction to Risk Parity and Budgeting 2 2 6 227 2 3 13 518
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 1 8 0 0 3 28
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 2 12 1 2 7 30
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 1 1 1 3 1 1 3 18
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 1 1 3 16 1 1 3 29
Machine Learning Optimization Algorithms & Portfolio Allocation 0 0 3 75 0 2 9 130
Managing risk exposures using the risk budgeting approach 0 0 4 91 2 4 17 398
Managing sovereign credit risk in bond portfolios 1 1 2 32 1 1 2 123
Measuring Performance of Exchange Traded Funds 0 0 4 254 0 0 12 813
Measuring and Managing Carbon Risk in Investment Portfolios 0 0 1 15 0 2 9 60
On the market portfolio for multi-asset classes 0 0 0 31 1 2 3 119
Risk Management Lessons from Madoff Fraud 0 0 2 67 1 1 11 225
Risk Parity Portfolios with Risk Factors 0 1 1 143 0 2 2 341
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 3 11 3 4 18 43
Robust Asset Allocation for Robo-Advisors 0 0 1 52 1 1 5 107
The Correlation Problem in Operational Risk 0 0 0 29 1 1 3 129
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 0 13 0 0 2 31
The Smart Beta Indexing Puzzle 0 0 0 69 0 0 0 154
Tracking problems, hedge fund replication and alternative beta 0 0 0 36 2 3 11 128
Understanding the Impact of Weights Constraints in Portfolio Theory 0 1 1 27 0 1 2 86
Total Working Papers 11 19 115 2,039 34 72 355 5,387

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Alternative Approach to Alternative Beta 0 0 2 62 0 1 5 202
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 3 5 12 80 5 7 24 215
Keep up the momentum 0 0 2 11 0 1 15 77
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 0 0 0 31
Risk parity portfolios with risk factors 1 5 13 82 1 8 28 231
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 0 0 6 333
Total Journal Articles 4 10 29 239 6 17 78 1,089

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Statistics updated 2025-03-03