Details about Thierry Roncalli

Access statistics for papers by Thierry Roncalli.

Last updated 2024-02-06. Update your information in the RePEc Author Service.

Short-id: pro660

Working Papers

2024

1. Handbook of Sustainable Finance
   MPRA Paper, University Library of Munich, Germany
   Also in Working Papers, HAL (2024)

2022

2. Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
   Papers, arXiv.org

2021

3. ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies?
   Papers, arXiv.org View citations (1)
4. Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk
   MPRA Paper, University Library of Munich, Germany View citations (1)
   Also in Papers, arXiv.org (2021) View citations (1)
5. Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk
   Papers, arXiv.org View citations (1)
6. Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk
   Papers, arXiv.org View citations (2)
7. The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio
   Papers, arXiv.org View citations (5)

2020

8. A Note on Portfolio Optimization with Quadratic Transaction Costs
   Papers, arXiv.org View citations (1)
9. Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks
   Papers, arXiv.org View citations (2)
10. Measuring and Managing Carbon Risk in Investment Portfolios
    Papers, arXiv.org View citations (4)

2019

11. Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles
    Papers, arXiv.org View citations (5)
12. Financial Applications of Gaussian Processes and Bayesian Optimization
    Papers, arXiv.org View citations (4)
13. Machine Learning Optimization Algorithms & Portfolio Allocation
    Papers, arXiv.org View citations (4)
14. Robust Asset Allocation for Robo-Advisors
    Papers, arXiv.org

2014

15. Introduction to Risk Parity and Budgeting
    Papers, arXiv.org View citations (18)
    Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (73)

2013

16. A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
    Papers, arXiv.org View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (5)
17. Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation
    MPRA Paper, University Library of Munich, Germany View citations (2)
18. Measuring Performance of Exchange Traded Funds
    MPRA Paper, University Library of Munich, Germany View citations (7)
19. The Smart Beta Indexing Puzzle
    MPRA Paper, University Library of Munich, Germany View citations (11)

2012

20. Managing risk exposures using the risk budgeting approach
    MPRA Paper, University Library of Munich, Germany View citations (29)
21. On the market portfolio for multi-asset classes
    MPRA Paper, University Library of Munich, Germany
22. Risk Parity Portfolios with Risk Factors
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article Risk parity portfolios with risk factors, Quantitative Finance, Taylor & Francis Journals (2016) View citations (27) (2016)

2011

23. Managing sovereign credit risk in bond portfolios
    MPRA Paper, University Library of Munich, Germany View citations (2)

2010

24. Understanding the Impact of Weights Constraints in Portfolio Theory
    MPRA Paper, University Library of Munich, Germany View citations (3)

2009

25. Risk Management Lessons from Madoff Fraud
    MPRA Paper, University Library of Munich, Germany View citations (1)

2008

26. Tracking problems, hedge fund replication and alternative beta
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Tracking Problems, Hedge Fund Replication, and Alternative Beta, Journal of Financial Transformation, Capco Institute (2011) View citations (4) (2011)

2004

27. The Correlation Problem in Operational Risk
    MPRA Paper, University Library of Munich, Germany View citations (17)

2000

28. Copulas for finance
    MPRA Paper, University Library of Munich, Germany View citations (69)

Journal Articles

2018

1. Keep up the momentum
   Journal of Asset Management, 2018, 19, (5), 351-361

2016

2. Risk parity portfolios with risk factors
   Quantitative Finance, 2016, 16, (3), 377-388 View citations (27)
   See also Working Paper Risk Parity Portfolios with Risk Factors, MPRA Paper (2012) View citations (4) (2012)

2015

3. Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation
   Bankers, Markets & Investors, 2015, (138), 18-28 View citations (7)

2011

4. Tracking Problems, Hedge Fund Replication, and Alternative Beta
   Journal of Financial Transformation, 2011, 31, 19-29 View citations (4)
   See also Working Paper Tracking problems, hedge fund replication and alternative beta, MPRA Paper (2008) View citations (2) (2008)

2008

5. An Alternative Approach to Alternative Beta
   Journal of Financial Transformation, 2008, 24, 43-52 View citations (5)

1996

6. Retour à la moyenne dans les cours du change du mécanisme de change européen: 1987-1995
   Économie et Prévision, 1996, 123, (2), 189-205 View citations (2)