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 0 2 121
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 1 1 2 30
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 1 5 31 196 1 8 65 381
Copulas for finance 0 1 2 57 1 2 11 177
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 3 4 7 41 4 6 16 75
Financial Applications of Gaussian Processes and Bayesian Optimization 0 0 3 44 1 1 16 119
Handbook of Sustainable Finance 0 0 1 33 1 1 6 41
Handbook of Sustainable Finance 2 4 14 33 2 7 41 77
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 0 3 5 92 0 4 7 163
Introduction to Risk Parity and Budgeting 0 2 7 242 0 3 11 581
Introduction to Risk Parity and Budgeting 0 3 8 230 0 4 13 522
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 2 4 31
Machine Learning Optimization Algorithms & Portfolio Allocation 0 0 4 78 0 1 13 136
Managing risk exposures using the risk budgeting approach 0 1 4 92 0 8 20 406
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 2 814
Measuring and Managing Carbon Risk in Investment Portfolios 0 2 3 17 1 3 7 63
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 0 2 10 229
Risk Parity Portfolios with Risk Factors 0 1 2 144 0 6 8 347
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 0 11 0 2 13 45
Robust Asset Allocation for Robo-Advisors 0 0 1 52 0 1 5 109
The Correlation Problem in Operational Risk 0 0 0 29 1 1 3 130
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 0 13 0 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 0 1 37 0 3 10 132
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 1 27 0 0 1 86
Total Working Papers 6 27 105 2,076 14 70 313 5,483

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 0 2 10 82 1 10 30 227
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 0 3 21 234
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 0 1 4 334
Total Journal Articles 0 2 21 241 1 14 70 1,105

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Statistics updated 2025-07-04