Thierry Roncalli
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Thierry |
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Roncalli |
Identifer
Contact
Affiliations
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Université Paris-Saclay
/ Graduate School of Economics and Management
/ Centre for Economics at Paris-Saclay (CEPS)
Research profile
author of:
- A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios (RePEc:arx:papers:1311.4057)
by Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli - Introduction to Risk Parity and Budgeting (RePEc:arx:papers:1403.1889)
by Thierry Roncalli - Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles (RePEc:arx:papers:1902.05710)
by Jean-Charles Richard & Thierry Roncalli - Robust Asset Allocation for Robo-Advisors (RePEc:arx:papers:1902.07449)
by Thibault Bourgeron & Edmond Lezmi & Thierry Roncalli - Financial Applications of Gaussian Processes and Bayesian Optimization (RePEc:arx:papers:1903.04841)
by Joan Gonzalvez & Edmond Lezmi & Thierry Roncalli & Jiali Xu - Machine Learning Optimization Algorithms & Portfolio Allocation (RePEc:arx:papers:1909.10233)
by Sarah Perrin & Thierry Roncalli - A Note on Portfolio Optimization with Quadratic Transaction Costs (RePEc:arx:papers:2001.01612)
by Pierre Chen & Edmond Lezmi & Thierry Roncalli & Jiali Xu - Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks (RePEc:arx:papers:2007.04838)
by Edmond Lezmi & Jules Roche & Thierry Roncalli & Jiali Xu - Measuring and Managing Carbon Risk in Investment Portfolios (RePEc:arx:papers:2008.13198)
by Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine - Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk (RePEc:arx:papers:2101.02110)
by Thierry Roncalli & Fatma Karray-Meziou & Franc{c}ois Pan & Margaux Regnault - The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio (RePEc:arx:papers:2101.10635)
by Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine - Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk (RePEc:arx:papers:2105.08377)
by Thierry Roncalli & Amina Cherief & Fatma Karray-Meziou & Margaux Regnault - Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk (RePEc:arx:papers:2110.01302)
by Thierry Roncalli - ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? (RePEc:arx:papers:2110.06617)
by Raphael Semet & Thierry Roncalli & Lauren Stagnol - Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia (RePEc:arx:papers:2202.10721)
by Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli - Handbook of Sustainable Finance (RePEc:hal:wpaper:hal-04370824)
by Thierry Roncalli - Keep up the momentum (RePEc:pal:assmgt:v:19:y:2018:i:5:d:10.1057_s41260-018-0078-7)
by Thierry Roncalli - Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk (RePEc:pra:mprapa:108295)
by Roncalli, Thierry & Cherief, Amina & Karray-Meziou, Fatma & Regnault, Margaux - Handbook of Sustainable Finance (RePEc:pra:mprapa:119642)
by Roncalli, Thierry - Managing sovereign credit risk in bond portfolios (RePEc:pra:mprapa:36673)
by Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry - Understanding the Impact of Weights Constraints in Portfolio Theory (RePEc:pra:mprapa:36753)
by Roncalli, Thierry - Risk Management Lessons from Madoff Fraud (RePEc:pra:mprapa:36754)
by Clauss, Pierre & Roncalli, Thierry & Weisang, Guillaume - Managing risk exposures using the risk budgeting approach (RePEc:pra:mprapa:37246)
by Bruder, Benjamin & Roncalli, Thierry - Tracking problems, hedge fund replication and alternative beta (RePEc:pra:mprapa:37358)
by Roncalli, Thierry & Weisang, Guillaume - Copulas for finance (RePEc:pra:mprapa:37359)
by Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry - The Correlation Problem in Operational Risk (RePEc:pra:mprapa:38052)
by Frachot, Antoine & Roncalli, Thierry & Salomon, Eric - On the market portfolio for multi-asset classes (RePEc:pra:mprapa:39087)
by Louis, Rodolphe & Roncalli, Thierry - Risk Parity Portfolios with Risk Factors (RePEc:pra:mprapa:44017)
by Roncalli, Thierry & Weisang, Guillaume - Measuring Performance of Exchange Traded Funds (RePEc:pra:mprapa:44298)
by Hassine, Marlène & Roncalli, Thierry - Introduction to Risk Parity and Budgeting (RePEc:pra:mprapa:47679)
by Roncalli, Thierry - The Smart Beta Indexing Puzzle (RePEc:pra:mprapa:48823)
by Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry - Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation (RePEc:pra:mprapa:49821)
by Roncalli, Thierry - A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios (RePEc:pra:mprapa:49822)
by Griveau-Billion, Théophile & Richard, Jean-Charles & Roncalli, Thierry - Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995 (RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5798)
by Jean-Sébastien Pentecôte & Thierry Roncalli - Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation (RePEc:rbq:journl:i:138:p:18-28)
by Thierry Roncalli - An Alternative Approach to Alternative Beta (RePEc:ris:jofitr:0017)
by Roncalli, Thierry & Teiletche, Jérôme - Tracking Problems, Hedge Fund Replication, and Alternative Beta (RePEc:ris:jofitr:1453)
by Roncalli, Thierry & Weisang, Guillaume - Risk parity portfolios with risk factors (RePEc:taf:quantf:v:16:y:2016:i:3:p:377-388)
by T. Roncalli & G. Weisang