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 17 138
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 2 4 16 144
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 0 2 15 45
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 0 4 10 206 2 7 39 420
Copulas for finance 0 0 1 58 0 6 23 200
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 0 1 42 1 6 26 101
Financial Applications of Gaussian Processes and Bayesian Optimization 1 2 3 47 2 5 39 158
Handbook of Sustainable Finance 0 1 2 35 2 7 25 66
Handbook of Sustainable Finance 0 0 2 35 3 9 35 112
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 0 17 3 10 21 55
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 0 1 93 2 9 40 203
Introduction to Risk Parity and Budgeting 1 4 7 249 4 14 37 618
Introduction to Risk Parity and Budgeting 0 1 1 231 0 4 22 544
Lecture Notes on Biodiversity 0 0 1 10 0 3 11 15
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 2 8 17 45
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 0 12 0 9 24 54
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 0 3 0 3 11 29
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 1 1 2 18 1 18 36 67
Machine Learning Optimization Algorithms & Portfolio Allocation 0 1 2 80 3 9 27 163
Managing risk exposures using the risk budgeting approach 0 3 3 95 0 8 34 440
Managing sovereign credit risk in bond portfolios 1 1 1 33 2 5 18 142
Measuring Performance of Exchange Traded Funds 1 1 3 257 1 6 15 829
Measuring and Managing Carbon Risk in Investment Portfolios 0 1 2 19 0 3 17 80
On the market portfolio for multi-asset classes 0 0 0 31 0 3 11 131
Risk Management Lessons from Madoff Fraud 0 0 0 68 1 10 29 258
Risk Parity Portfolios with Risk Factors 1 2 3 147 4 13 37 384
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 1 1 12 0 5 23 68
Robust Asset Allocation for Robo-Advisors 0 0 1 53 0 3 22 131
The Correlation Problem in Operational Risk 0 0 0 29 0 3 16 146
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 1 14 1 8 15 47
The Smart Beta Indexing Puzzle 0 0 0 69 0 2 9 163
Tracking problems, hedge fund replication and alternative beta 0 1 2 39 0 6 15 147
Understanding the Impact of Weights Constraints in Portfolio Theory 0 1 1 28 0 8 20 106
Total Working Papers 6 25 51 2,136 36 217 762 6,249

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 3 7 209
Hopscotch methods for two-state financial models 0 1 1 1 0 3 11 11
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 0 0 4 86 2 4 32 259
Keep up the momentum 0 0 0 11 0 3 11 88
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 0 3 5 36
Risk parity portfolios with risk factors 1 3 8 90 5 12 33 267
Technical note: Dependence and two-asset options pricing 0 0 0 0 0 1 2 3
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 0 2 9 343
Total Journal Articles 1 4 13 254 7 31 110 1,216

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Statistics updated 2026-07-10