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 29 0 0 6 128
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 65 0 1 2 121
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 3 7 30 195 5 13 66 380
Copulas for finance 0 1 3 57 0 2 12 176
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 1 2 4 38 1 4 13 71
Financial Applications of Gaussian Processes and Bayesian Optimization 0 1 3 44 0 4 16 118
Handbook of Sustainable Finance 0 0 1 33 0 1 5 40
Handbook of Sustainable Finance 2 3 16 31 4 7 44 75
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 1 17 0 0 3 34
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 1 3 5 92 1 4 7 163
Introduction to Risk Parity and Budgeting 1 3 8 230 1 4 16 522
Introduction to Risk Parity and Budgeting 1 2 9 242 1 3 14 581
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 0 6 30
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 1 3 0 0 3 18
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 0 0 2 16 1 1 3 30
Machine Learning Optimization Algorithms & Portfolio Allocation 0 3 4 78 0 6 13 136
Managing risk exposures using the risk budgeting approach 0 1 4 92 2 8 21 406
Managing sovereign credit risk in bond portfolios 0 0 1 32 0 1 2 124
Measuring Performance of Exchange Traded Funds 0 0 0 254 0 1 4 814
Measuring and Managing Carbon Risk in Investment Portfolios 0 2 3 17 0 2 9 62
On the market portfolio for multi-asset classes 0 0 0 31 0 1 4 120
Risk Management Lessons from Madoff Fraud 0 1 3 68 1 4 12 229
Risk Parity Portfolios with Risk Factors 0 1 2 144 2 6 8 347
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 2 11 1 2 15 45
Robust Asset Allocation for Robo-Advisors 0 0 1 52 1 2 6 109
The Correlation Problem in Operational Risk 0 0 0 29 0 0 2 129
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 0 13 1 1 1 32
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 0 4 11 132
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 1 27 0 0 2 86
Total Working Papers 9 31 108 2,070 22 82 329 5,469

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 2 11 82 4 11 30 226
Keep up the momentum 0 0 1 11 0 0 13 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 0 9 82 2 3 24 234
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 1 1 4 334
Total Journal Articles 1 2 22 241 7 15 73 1,104

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Statistics updated 2025-06-06