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 5 17 137
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 29 1 3 12 140
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 1 6 14 43
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 0 1 14 202 2 12 43 410
Copulas for finance 0 0 2 58 5 12 18 192
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 0 6 42 2 13 28 95
Financial Applications of Gaussian Processes and Bayesian Optimization 0 1 2 45 1 21 34 148
Handbook of Sustainable Finance 0 0 7 35 7 13 34 102
Handbook of Sustainable Finance 1 1 1 34 4 12 20 59
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 0 17 2 4 8 42
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 1 4 93 5 18 31 190
Introduction to Risk Parity and Budgeting 1 1 4 244 4 15 22 600
Introduction to Risk Parity and Budgeting 0 0 3 230 3 9 20 538
Lecture Notes on Biodiversity 1 1 10 10 2 6 12 12
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 0 5 7 35
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 0 12 4 9 11 41
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk 0 0 0 3 2 4 6 24
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk 0 0 0 16 0 11 17 46
Machine Learning Optimization Algorithms & Portfolio Allocation 0 0 4 79 0 8 22 152
Managing risk exposures using the risk budgeting approach 0 0 1 92 3 10 28 426
Managing sovereign credit risk in bond portfolios 0 0 0 32 1 10 14 137
Measuring Performance of Exchange Traded Funds 0 0 2 256 0 6 10 823
Measuring and Managing Carbon Risk in Investment Portfolios 0 1 3 18 1 7 14 74
On the market portfolio for multi-asset classes 0 0 0 31 1 5 7 126
Risk Management Lessons from Madoff Fraud 0 0 1 68 2 11 19 244
Risk Parity Portfolios with Risk Factors 0 1 2 145 0 9 27 368
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 0 11 2 8 17 60
Robust Asset Allocation for Robo-Advisors 0 1 1 53 1 12 21 128
The Correlation Problem in Operational Risk 0 0 0 29 1 11 13 142
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 0 1 14 1 4 8 39
The Smart Beta Indexing Puzzle 0 0 0 69 2 6 7 161
Tracking problems, hedge fund replication and alternative beta 0 0 2 38 1 5 13 141
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 0 27 1 3 6 92
Total Working Papers 3 9 70 2,109 62 293 580 5,967

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 4 4 206
Hopscotch methods for two-state financial models 0 0 0 0 1 8 8 8
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 0 2 6 86 3 18 39 254
Keep up the momentum 0 0 0 11 1 5 8 85
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 0 0 2 33
Risk parity portfolios with risk factors 0 0 3 85 0 7 19 250
Technical note: Dependence and two-asset options pricing 0 0 0 0 0 1 1 2
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 0 2 7 340
Total Journal Articles 0 2 9 248 5 45 88 1,178

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Statistics updated 2026-03-04