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 3 13 16 135
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 0 9 10 137
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 2 7 11 39
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 0 1 16 201 2 9 39 400
Copulas for finance 0 0 3 58 4 6 13 184
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 1 7 42 4 7 24 86
Financial Applications of Gaussian Processes and Bayesian Optimization 1 1 2 45 12 19 28 139
Handbook of Sustainable Finance 0 0 9 35 1 8 27 90
Handbook of Sustainable Finance 0 0 0 33 5 5 14 52
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 0 17 0 3 5 38
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 0 4 92 9 14 24 181
Introduction to Risk Parity and Budgeting 0 0 5 230 3 7 17 532
Introduction to Risk Parity and Budgeting 0 1 3 243 3 4 10 588
Lecture Notes on Biodiversity 0 0 9 9 2 4 8 8
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 0 2 2 30
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 0 12 3 4 7 35
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 1 3 2 4 5 22
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 0 0 1 16 6 8 13 41
Machine Learning Optimization Algorithms & Portfolio Allocation 0 1 4 79 7 13 22 151
Managing risk exposures using the risk budgeting approach 0 0 1 92 4 10 25 420
Managing sovereign credit risk in bond portfolios 0 0 1 32 3 5 8 130
Measuring Performance of Exchange Traded Funds 0 1 2 256 2 4 6 819
Measuring and Managing Carbon Risk in Investment Portfolios 1 1 3 18 4 7 13 71
On the market portfolio for multi-asset classes 0 0 0 31 2 2 6 123
Risk Management Lessons from Madoff Fraud 0 0 1 68 3 4 12 236
Risk Parity Portfolios with Risk Factors 1 1 3 145 4 14 23 363
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 0 11 2 7 14 54
Robust Asset Allocation for Robo-Advisors 1 1 1 53 6 12 16 122
The Correlation Problem in Operational Risk 0 0 0 29 6 6 9 137
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 1 14 2 4 6 37
The Smart Beta Indexing Puzzle 0 0 0 69 1 1 2 156
Tracking problems, hedge fund replication and alternative beta 0 0 2 38 1 1 12 137
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 0 27 1 2 4 90
Total Working Papers 4 9 79 2,104 109 225 451 5,783

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 1 1 1 203
Hopscotch methods for two-state financial models 0 0 0 0 0 0 0 0
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 1 2 9 85 8 13 35 244
Keep up the momentum 0 0 0 11 2 4 5 82
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 0 1 2 33
Risk parity portfolios with risk factors 0 1 7 85 2 5 20 245
Technical note: Dependence and two-asset options pricing 0 0 0 0 0 0 1 1
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 0 1 5 338
Total Journal Articles 1 3 16 247 13 25 69 1,146

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Statistics updated 2026-01-09