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 1 1 3 122
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 0 0 5 128
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 1 2 3 31
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 1 5 30 197 3 9 58 384
Copulas for finance 0 0 2 57 0 1 10 177
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 4 7 41 2 7 18 77
Financial Applications of Gaussian Processes and Bayesian Optimization 0 0 3 44 0 1 16 119
Handbook of Sustainable Finance 1 5 14 34 2 8 41 79
Handbook of Sustainable Finance 0 0 1 33 2 3 8 43
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 1 17 1 1 4 35
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 1 5 92 1 2 8 164
Introduction to Risk Parity and Budgeting 0 1 5 242 1 2 10 582
Introduction to Risk Parity and Budgeting 0 1 8 230 1 2 14 523
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 5 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 3 5 32
Machine Learning Optimization Algorithms & Portfolio Allocation 0 0 4 78 1 1 14 137
Managing risk exposures using the risk budgeting approach 0 0 4 92 2 4 21 408
Managing sovereign credit risk in bond portfolios 0 0 1 32 0 0 2 124
Measuring Performance of Exchange Traded Funds 1 1 1 255 1 1 3 815
Measuring and Managing Carbon Risk in Investment Portfolios 0 0 3 17 0 1 7 63
On the market portfolio for multi-asset classes 0 0 0 31 0 0 4 120
Risk Management Lessons from Madoff Fraud 0 0 3 68 0 1 10 229
Risk Parity Portfolios with Risk Factors 0 0 2 144 0 2 8 347
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 0 11 0 1 11 45
Robust Asset Allocation for Robo-Advisors 0 0 1 52 1 2 6 110
The Correlation Problem in Operational Risk 0 0 0 29 1 2 4 131
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 2 2 10 134
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 1 27 0 0 1 86
Total Working Papers 3 18 103 2,079 24 60 315 5,507

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 83 2 7 32 229
Keep up the momentum 0 0 1 11 0 0 10 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 2 2 10 84 4 6 24 238
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 2 3 5 336
Total Journal Articles 3 4 23 244 8 16 73 1,113

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Statistics updated 2025-08-05