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 1 1 17 139
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 1 3 17 145
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 0 0 14 45
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 1 3 10 207 3 7 39 423
Copulas for finance 0 0 1 58 0 2 23 200
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 0 1 42 2 6 26 103
Financial Applications of Gaussian Processes and Bayesian Optimization 0 2 3 47 1 4 40 159
Handbook of Sustainable Finance 0 0 2 35 0 4 23 66
Handbook of Sustainable Finance 0 0 1 35 1 6 34 113
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 0 17 0 3 20 55
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 0 1 93 0 3 39 203
Introduction to Risk Parity and Budgeting 0 1 1 231 1 4 22 545
Introduction to Risk Parity and Budgeting 1 5 8 250 1 9 37 619
Lecture Notes on Biodiversity 0 0 1 10 0 0 11 15
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 0 2 17 45
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 0 12 1 3 25 55
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 0 3 0 0 11 29
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 0 1 2 18 0 13 35 67
Machine Learning Optimization Algorithms & Portfolio Allocation 0 1 2 80 0 6 26 163
Managing risk exposures using the risk budgeting approach 0 3 3 95 1 5 33 441
Managing sovereign credit risk in bond portfolios 0 1 1 33 0 2 18 142
Measuring Performance of Exchange Traded Funds 0 1 2 257 0 2 14 829
Measuring and Managing Carbon Risk in Investment Portfolios 0 0 2 19 0 0 17 80
On the market portfolio for multi-asset classes 0 0 0 31 0 0 11 131
Risk Management Lessons from Madoff Fraud 0 0 0 68 0 1 29 258
Risk Parity Portfolios with Risk Factors 0 2 3 147 5 15 42 389
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 2 3 3 14 2 5 25 70
Robust Asset Allocation for Robo-Advisors 0 0 1 53 0 2 21 131
The Correlation Problem in Operational Risk 0 0 0 29 1 1 16 147
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 1 14 0 2 15 47
The Smart Beta Indexing Puzzle 0 0 0 69 0 1 9 163
Tracking problems, hedge fund replication and alternative beta 1 1 3 40 1 1 14 148
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 1 28 0 1 20 106
Total Working Papers 5 24 53 2,141 22 114 760 6,271

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 0 1 7 209
Hopscotch methods for two-state financial models 0 0 1 1 0 0 11 11
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 0 0 3 86 0 2 30 259
Keep up the momentum 0 0 0 11 1 1 12 89
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 0 1 5 36
Risk parity portfolios with risk factors 2 4 8 92 4 12 33 271
Technical note: Dependence and two-asset options pricing 0 0 0 0 1 1 3 4
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 0 2 7 343
Total Journal Articles 2 4 12 256 6 20 108 1,222

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Statistics updated 2026-08-07