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 17 138
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 0 2 14 142
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 0 2 16 45
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 2 4 11 206 2 8 38 418
Copulas for finance 0 0 1 58 2 8 24 200
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 0 4 42 3 5 29 100
Financial Applications of Gaussian Processes and Bayesian Optimization 1 1 2 46 1 8 38 156
Handbook of Sustainable Finance 0 1 2 35 2 5 24 64
Handbook of Sustainable Finance 0 0 4 35 2 7 34 109
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 0 17 0 10 18 52
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 0 1 93 1 11 38 201
Introduction to Risk Parity and Budgeting 1 1 1 231 3 6 22 544
Introduction to Risk Parity and Budgeting 3 4 6 248 4 14 33 614
Lecture Notes on Biodiversity 0 0 3 10 0 3 13 15
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 0 8 15 43
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 0 12 2 13 24 54
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 0 3 0 5 11 29
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 0 1 1 17 12 20 36 66
Machine Learning Optimization Algorithms & Portfolio Allocation 1 1 2 80 3 8 24 160
Managing risk exposures using the risk budgeting approach 3 3 3 95 4 14 34 440
Managing sovereign credit risk in bond portfolios 0 0 0 32 0 3 16 140
Measuring Performance of Exchange Traded Funds 0 0 2 256 1 5 14 828
Measuring and Managing Carbon Risk in Investment Portfolios 0 1 2 19 0 6 18 80
On the market portfolio for multi-asset classes 0 0 0 31 0 5 11 131
Risk Management Lessons from Madoff Fraud 0 0 0 68 0 13 28 257
Risk Parity Portfolios with Risk Factors 1 1 2 146 6 12 33 380
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 1 1 1 12 3 8 23 68
Robust Asset Allocation for Robo-Advisors 0 0 1 53 2 3 22 131
The Correlation Problem in Operational Risk 0 0 0 29 0 4 17 146
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 1 14 1 7 14 46
The Smart Beta Indexing Puzzle 0 0 0 69 1 2 9 163
Tracking problems, hedge fund replication and alternative beta 0 1 2 39 0 6 15 147
Understanding the Impact of Weights Constraints in Portfolio Theory 0 1 1 28 1 14 20 106
Total Working Papers 13 21 53 2,130 56 246 742 6,213

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 0 62 1 3 7 209
Hopscotch methods for two-state financial models 0 1 1 1 0 3 11 11
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 0 0 4 86 0 3 31 257
Keep up the momentum 0 0 0 11 0 3 11 88
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 1 3 5 36
Risk parity portfolios with risk factors 1 4 7 89 3 12 28 262
Technical note: Dependence and two-asset options pricing 0 0 0 0 0 1 2 3
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 2 3 9 343
Total Journal Articles 1 5 12 253 7 31 104 1,209

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Statistics updated 2026-06-04