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 17 139
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 1 4 18 146
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 3 3 17 48
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 0 1 9 207 2 7 38 425
Copulas for finance 0 0 0 58 1 1 23 201
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 0 1 42 2 5 27 105
Financial Applications of Gaussian Processes and Bayesian Optimization 1 2 4 48 2 5 42 161
Handbook of Sustainable Finance 1 1 1 36 4 8 36 117
Handbook of Sustainable Finance 0 0 2 35 0 2 23 66
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 0 17 2 5 22 57
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 0 1 93 0 2 39 203
Introduction to Risk Parity and Budgeting 2 2 3 233 2 3 23 547
Introduction to Risk Parity and Budgeting 1 3 9 251 1 6 36 620
Lecture Notes on Biodiversity 0 0 1 10 1 1 12 16
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 1 3 18 46
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 0 12 1 2 25 56
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 0 3 1 1 12 30
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 0 1 2 18 1 2 36 68
Machine Learning Optimization Algorithms & Portfolio Allocation 0 0 2 80 1 4 27 164
Managing risk exposures using the risk budgeting approach 0 0 3 95 2 3 34 443
Managing sovereign credit risk in bond portfolios 1 2 2 34 1 3 19 143
Measuring Performance of Exchange Traded Funds 0 1 2 257 1 2 15 830
Measuring and Managing Carbon Risk in Investment Portfolios 0 0 2 19 2 2 18 82
On the market portfolio for multi-asset classes 0 0 0 31 1 1 11 132
Risk Management Lessons from Madoff Fraud 0 0 0 68 2 3 30 260
Risk Parity Portfolios with Risk Factors 0 1 3 147 2 11 42 391
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 2 3 14 2 4 27 72
Robust Asset Allocation for Robo-Advisors 0 0 1 53 1 1 22 132
The Correlation Problem in Operational Risk 0 0 0 29 1 2 17 148
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 0 14 2 3 16 49
The Smart Beta Indexing Puzzle 0 0 0 69 0 0 8 163
Tracking problems, hedge fund replication and alternative beta 0 1 3 40 0 1 14 148
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 1 28 0 0 19 106
Total Working Papers 6 17 55 2,147 43 101 783 6,314

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 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 1 1 4 87 2 4 31 261
Keep up the momentum 0 0 0 11 1 2 12 90
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 0 0 5 36
Risk parity portfolios with risk factors 2 5 10 94 2 11 33 273
Technical note: Dependence and two-asset options pricing 0 0 0 0 0 1 3 4
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 0 0 7 343
Total Journal Articles 3 6 15 259 5 18 109 1,227

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Statistics updated 2026-09-10