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 2 4 20 148
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 65 1 2 18 140
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 0 3 16 48
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 0 1 7 207 1 6 35 426
Copulas for finance 0 0 0 58 1 2 24 202
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 1 1 2 43 2 6 28 107
Financial Applications of Gaussian Processes and Bayesian Optimization 0 1 4 48 1 4 42 162
Handbook of Sustainable Finance 0 1 1 36 2 7 37 119
Handbook of Sustainable Finance 0 0 2 35 0 0 19 66
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 0 17 0 2 22 57
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 0 1 93 1 1 37 204
Introduction to Risk Parity and Budgeting 0 2 3 233 0 3 22 547
Introduction to Risk Parity and Budgeting 0 2 9 251 2 4 38 622
Lecture Notes on Biodiversity 0 0 1 10 0 1 12 16
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 0 1 18 46
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 0 12 0 2 25 56
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 0 3 1 2 13 31
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 0 0 2 18 0 1 35 68
Machine Learning Optimization Algorithms & Portfolio Allocation 0 0 2 80 0 1 26 164
Managing risk exposures using the risk budgeting approach 1 1 4 96 4 7 37 447
Managing sovereign credit risk in bond portfolios 0 1 2 34 1 2 19 144
Measuring Performance of Exchange Traded Funds 1 1 3 258 2 3 17 832
Measuring and Managing Carbon Risk in Investment Portfolios 0 0 2 19 0 2 18 82
On the market portfolio for multi-asset classes 0 0 0 31 1 2 12 133
Risk Management Lessons from Madoff Fraud 0 0 0 68 1 3 29 261
Risk Parity Portfolios with Risk Factors 0 0 3 147 4 11 46 395
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 2 3 14 0 4 25 72
Robust Asset Allocation for Robo-Advisors 0 0 1 53 0 1 22 132
The Correlation Problem in Operational Risk 0 0 0 29 1 3 18 149
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 0 14 0 2 16 49
The Smart Beta Indexing Puzzle 0 0 0 69 0 0 8 163
Tracking problems, hedge fund replication and alternative beta 1 2 3 41 2 3 14 150
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 1 28 0 0 18 106
Total Working Papers 4 15 56 2,151 30 95 786 6,344

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 8 210
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 0 1 4 87 0 2 30 261
Keep up the momentum 0 0 0 11 0 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 4 36
Risk parity portfolios with risk factors 0 4 10 94 6 12 39 279
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 6 343
Total Journal Articles 0 5 15 259 7 18 113 1,234

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Statistics updated 2026-10-11