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 3 12 140
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 65 0 2 16 137
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 0 4 14 43
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 0 1 11 202 3 13 40 413
Copulas for finance 0 0 2 58 2 10 19 194
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 0 5 42 0 9 26 95
Financial Applications of Gaussian Processes and Bayesian Optimization 0 0 1 45 5 14 35 153
Handbook of Sustainable Finance 0 0 6 35 1 13 33 103
Handbook of Sustainable Finance 0 1 1 34 0 7 19 59
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 0 17 3 7 11 45
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 1 4 93 4 13 35 194
Introduction to Risk Parity and Budgeting 1 2 5 245 4 16 26 604
Introduction to Risk Parity and Budgeting 0 0 3 230 2 8 22 540
Lecture Notes on Biodiversity 0 1 10 10 0 4 12 12
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 2 7 9 37
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 0 12 4 10 15 45
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 0 3 2 4 8 26
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 1 1 1 17 3 8 20 49
Machine Learning Optimization Algorithms & Portfolio Allocation 0 0 1 79 2 3 19 154
Managing risk exposures using the risk budgeting approach 0 0 1 92 6 12 34 432
Managing sovereign credit risk in bond portfolios 0 0 0 32 0 7 14 137
Measuring Performance of Exchange Traded Funds 0 0 2 256 0 4 10 823
Measuring and Managing Carbon Risk in Investment Portfolios 0 0 3 18 3 6 17 77
On the market portfolio for multi-asset classes 0 0 0 31 2 5 9 128
Risk Management Lessons from Madoff Fraud 0 0 1 68 4 12 21 248
Risk Parity Portfolios with Risk Factors 0 0 2 145 3 8 30 371
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 0 11 3 9 20 63
Robust Asset Allocation for Robo-Advisors 0 0 1 53 0 6 20 128
The Correlation Problem in Operational Risk 0 0 0 29 1 6 14 143
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 1 14 0 2 8 39
The Smart Beta Indexing Puzzle 0 0 0 69 0 5 7 161
Tracking problems, hedge fund replication and alternative beta 0 0 1 38 0 4 12 141
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 0 27 6 8 12 98
Total Working Papers 2 7 62 2,111 65 249 619 6,032

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 3 4 206
Hopscotch methods for two-state financial models 0 0 0 0 0 8 8 8
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 0 1 6 86 1 11 38 255
Keep up the momentum 0 0 0 11 0 3 8 85
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 0 0 2 33
Risk parity portfolios with risk factors 2 2 5 87 5 10 24 255
Technical note: Dependence and two-asset options pricing 0 0 0 0 0 1 1 2
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 1 3 8 341
Total Journal Articles 2 3 11 250 7 39 93 1,185

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Statistics updated 2026-04-09