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 0 0 2 128
A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios 0 0 0 65 0 1 3 122
A Note on Portfolio Optimization with Quadratic Transaction Costs 0 0 0 4 1 2 4 32
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 2 4 26 200 4 10 53 391
Copulas for finance 0 1 3 58 0 1 11 178
ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? 0 0 7 41 1 4 19 79
Financial Applications of Gaussian Processes and Bayesian Optimization 0 0 1 44 1 1 12 120
Handbook of Sustainable Finance 0 2 13 35 1 5 36 82
Handbook of Sustainable Finance 0 0 1 33 4 6 12 47
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks 0 0 1 17 0 1 3 35
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation 0 0 4 92 3 4 10 167
Introduction to Risk Parity and Budgeting 0 0 7 230 1 3 13 525
Introduction to Risk Parity and Budgeting 0 0 5 242 0 3 10 584
Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk 0 0 0 8 0 0 1 28
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk 0 0 1 12 0 1 5 31
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 1 16 1 2 5 33
Machine Learning Optimization Algorithms & Portfolio Allocation 0 0 3 78 1 2 11 138
Managing risk exposures using the risk budgeting approach 0 0 4 92 1 4 21 410
Managing sovereign credit risk in bond portfolios 0 0 1 32 1 1 3 125
Measuring Performance of Exchange Traded Funds 0 1 1 255 0 1 3 815
Measuring and Managing Carbon Risk in Investment Portfolios 0 0 3 17 0 1 8 64
On the market portfolio for multi-asset classes 0 0 0 31 0 1 4 121
Risk Management Lessons from Madoff Fraud 0 0 2 68 2 3 10 232
Risk Parity Portfolios with Risk Factors 0 0 2 144 0 2 10 349
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia 0 0 0 11 2 2 10 47
Robust Asset Allocation for Robo-Advisors 0 0 0 52 0 1 4 110
The Correlation Problem in Operational Risk 0 0 0 29 0 1 3 131
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio 0 1 1 14 0 1 2 33
The Smart Beta Indexing Puzzle 0 0 0 69 0 1 1 155
Tracking problems, hedge fund replication and alternative beta 1 1 2 38 2 4 12 136
Understanding the Impact of Weights Constraints in Portfolio Theory 0 0 1 27 1 2 3 88
Total Working Papers 3 10 91 2,086 27 71 307 5,554

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 0 1 202
Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation 0 1 9 83 1 4 28 231
Keep up the momentum 0 0 1 11 0 1 9 78
Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995 0 0 0 4 1 1 1 32
Risk parity portfolios with risk factors 0 2 8 84 0 6 22 240
Tracking Problems, Hedge Fund Replication, and Alternative Beta 0 0 0 0 1 3 4 337
Total Journal Articles 0 3 18 244 3 15 65 1,120

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Statistics updated 2025-10-06