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 8 8 11 130
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 8 8 10 136
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 4 5 8 36
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 1 4 22 201 4 11 47 395
Copulas for finance 0 1 3 58 0 1 10 178
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 1 1 8 42 2 4 21 81
Financial Applications of Gaussian Processes and Bayesian Optimization 0 0 1 44 1 2 11 121
Handbook of Sustainable Finance 0 1 10 35 4 7 33 86
Handbook of Sustainable Finance 0 0 1 33 0 4 11 47
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 1 17 1 1 4 36
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 0 4 92 2 5 12 169
Introduction to Risk Parity and Budgeting 0 0 7 230 4 6 17 529
Introduction to Risk Parity and Budgeting 1 1 4 243 1 3 9 585
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 1 1 2 29
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 1 12 0 1 5 31
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 1 3 1 1 3 19
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 0 0 1 16 2 3 7 35
Machine Learning Optimization Algorithms & Portfolio Allocation 1 1 4 79 4 5 15 142
Managing risk exposures using the risk budgeting approach 0 0 2 92 3 5 22 413
Managing sovereign credit risk in bond portfolios 0 0 1 32 1 2 4 126
Measuring Performance of Exchange Traded Funds 1 1 2 256 1 1 4 816
Measuring and Managing Carbon Risk in Investment Portfolios 0 0 2 17 2 3 9 66
On the market portfolio for multi-asset classes 0 0 0 31 0 1 4 121
Risk Management Lessons from Madoff Fraud 0 0 1 68 1 4 9 233
Risk Parity Portfolios with Risk Factors 0 0 2 144 6 8 16 355
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 0 11 1 3 11 48
Robust Asset Allocation for Robo-Advisors 0 0 0 52 4 4 8 114
The Correlation Problem in Operational Risk 0 0 0 29 0 0 3 131
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 1 1 14 2 3 4 35
The Smart Beta Indexing Puzzle 0 0 0 69 0 1 1 155
Tracking problems, hedge fund replication and alternative beta 0 1 2 38 0 2 12 136
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 1 27 1 3 4 89
Total Working Papers 5 12 82 2,091 69 116 347 5,623

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 0 1 202
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 1 1 10 84 3 5 30 234
Keep up the momentum 0 0 0 11 1 2 5 79
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 1 2 2 33
Risk parity portfolios with risk factors 0 0 8 84 1 3 20 241
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 0 1 4 337
Total Journal Articles 1 1 18 245 6 13 62 1,126

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Statistics updated 2025-11-08