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 2 121
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 0 1 6 128
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 0 0 1 29
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 1 7 29 192 2 13 67 375
Copulas for finance 1 2 3 57 1 4 12 176
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 2 4 37 1 7 16 70
Financial Applications of Gaussian Processes and Bayesian Optimization 0 1 3 44 0 5 16 118
Handbook of Sustainable Finance 0 1 16 29 1 4 46 71
Handbook of Sustainable Finance 0 0 2 33 0 1 7 40
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 1 17 0 1 3 34
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 2 3 4 91 3 5 6 162
Introduction to Risk Parity and Budgeting 2 4 7 229 3 5 15 521
Introduction to Risk Parity and Budgeting 1 1 9 241 2 2 16 580
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 1 8 0 0 2 28
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 2 12 0 1 6 30
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 1 1 3 0 1 3 18
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 0 1 2 16 0 1 2 29
Machine Learning Optimization Algorithms & Portfolio Allocation 0 3 4 78 1 6 13 136
Managing risk exposures using the risk budgeting approach 1 1 5 92 6 8 20 404
Managing sovereign credit risk in bond portfolios 0 1 2 32 1 2 3 124
Measuring Performance of Exchange Traded Funds 0 0 2 254 1 1 10 814
Measuring and Managing Carbon Risk in Investment Portfolios 2 2 3 17 2 2 10 62
On the market portfolio for multi-asset classes 0 0 0 31 1 2 4 120
Risk Management Lessons from Madoff Fraud 1 1 3 68 1 4 13 228
Risk Parity Portfolios with Risk Factors 1 1 2 144 4 4 6 345
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 3 11 1 4 16 44
Robust Asset Allocation for Robo-Advisors 0 0 1 52 0 2 5 108
The Correlation Problem in Operational Risk 0 0 0 29 0 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 1 1 37 3 6 13 132
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 1 27 0 0 2 86
Total Working Papers 12 33 111 2,061 34 94 346 5,447

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 1 62 0 0 2 202
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 1 4 11 81 5 12 27 222
Keep up the momentum 0 0 2 11 0 0 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 0 1 11 82 1 2 26 232
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 0 0 3 333
Total Journal Articles 1 5 25 240 6 14 73 1,097

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Statistics updated 2025-05-12