Thierry Roncalli : Citation Profile

Are you Thierry Roncalli?

Université Paris-Saclay

6

H index

5

i10 index

246

Citations

RESEARCH PRODUCTION:

6

Articles

31

Papers

RESEARCH ACTIVITY:

   28 years (1996 - 2024). See details.
   Cites by year: 8
   Journals where Thierry Roncalli has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 21 (7.87 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro660
   Updated: 2024-04-18    RAS profile: 2024-02-06    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Thierry Roncalli.

Is cited by:

Paterlini, Sandra (14)

Stagnol, Lauren (9)

Koumou, Nettey Boevi Gilles (8)

Gallo, Giampiero (6)

Cipollini, Fabrizio (6)

Giuzio, Margherita (5)

Moran, Kevin (5)

Engle, Robert (5)

Nadal De Simone, Francisco (4)

Fantazzini, Dean (3)

Ledenyov, Dimitri (3)

Cites to:

Fama, Eugene (8)

French, Kenneth (7)

Markowitz, Harry (6)

Sharpe, William (6)

Tol, Richard (6)

Pedersen, Lasse (6)

Hurlin, Christophe (5)

Uppal, Raman (5)

Candelon, Bertrand (5)

Svensson, Lars (5)

Reinhart, Carmen (5)

Main data

Where Thierry Roncalli has published?

Journals with more than one article published# docs
Journal of Financial Transformation2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany16
Papers / arXiv.org15

Recent works citing Thierry Roncalli (2024 and 2023)

YearTitle of citing document
2023Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. (2020). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2005.08703.

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2023Scenario generation for market risk models using generative neural networks. (2021). Junike, Gero ; Flaig, Solveig. In: Papers. RePEc:arx:papers:2109.10072.

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2023Does non-linear factorization of financial returns help build better and stabler portfolios?. (2022). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2204.02757.

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2023Stochastic Algorithms for Advanced Risk Budgeting. (2022). Gu, Olivier ; Fermanian, Jean-David ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2211.07212.

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2023Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2024Risk Budgeting Allocation for Dynamic Risk Measures. (2023). Targino, Rodrigo S ; Saporito, Yuri F ; Pesenti, Silvana M ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2305.11319.

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2023Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets. (2023). Chakrabarty, Siddhartha P ; Raj, Rishabh ; Mishra, Shashwat. In: Papers. RePEc:arx:papers:2305.16712.

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2023Random matrix theory and nested clustered portfolios on Mexican markets. (2023). Rodrigu, Benito ; Garc, Andr'Es. In: Papers. RePEc:arx:papers:2306.05667.

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2023Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2023Risk budgeting portfolios from simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Freitas B. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:3:p:1040-1056.

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2024Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification. (2024). Scozzari, Andrea ; Ricca, Federica. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:700-717.

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2023Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation. (2023). Zoia, Maria Grazia ; Nava, Consuelo Rubina ; Braga, Maria Debora. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001708.

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2023Sparse portfolio selection via the sorted â„“1-Norm. (2020). Paterlini, Sandra ; Bogdan, Magorzata ; Lee, Sangkyun ; Kremer, Philipp J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302614.

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2023Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy. (2023). Nakamura, Nobuhiro ; Kato, Kensuke. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:612:y:2023:i:c:s0378437123000444.

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2023Portfolio Optimization Using Minimum Spanning Tree Model in the Moroccan Stock Exchange Market. (2023). Madkour, Jaouad ; el Msiyah, Cherif ; Berouaga, Younes. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:2:p:53-:d:1104772.

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2023Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9.

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2023How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index. (2023). Mizioek, Tomasz ; Feder-Sempach, Ewa. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:2:d:10.1057_s41260-022-00287-9.

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2023Risk budgeting using a generalized diversity index. (2023). Koumou, Gilles Boevi. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00326-z.

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2023Adaptive evolutionary algorithms for portfolio selection problems. (2023). Tollo, Giacomo ; Filograsso, Gianni. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00441-7.

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2023Climate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 index. (2023). Lopez-Martin, Carmen ; Ramos-Garcia, Daniel ; Arguedas-Sanz, Raquel. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02416-8.

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2023Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm. (2023). Arroyo, Javier ; Lorenzo, Luis. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00438-2.

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2023Optimising portfolio diversification and dimensionality. (2023). Staal, A ; Sabanis, S ; Kroeske, J ; Kalcsics, J ; Gondzio, J ; Garcia, S ; Barkhagen, M. In: Journal of Global Optimization. RePEc:spr:jglopt:v:85:y:2023:i:1:d:10.1007_s10898-022-01202-7.

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2023Risk measures and portfolio analysis in the paradigm of climate finance: a review. (2023). Nag, Suryadeepto ; Chakrabarty, Siddhartha P. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:3:d:10.1007_s43546-023-00449-w.

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2023.

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Works by Thierry Roncalli:

YearTitleTypeCited
2013A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios In: Papers.
[Full Text][Citation analysis]		paper2
2013A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2014Introduction to Risk Parity and Budgeting In: Papers.
[Full Text][Citation analysis]		paper66
2013Introduction to Risk Parity and Budgeting.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2019Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles In: Papers.
[Full Text][Citation analysis]		paper1
2019Robust Asset Allocation for Robo-Advisors In: Papers.
[Full Text][Citation analysis]		paper0
2019Financial Applications of Gaussian Processes and Bayesian Optimization In: Papers.
[Full Text][Citation analysis]		paper2
2019Machine Learning Optimization Algorithms & Portfolio Allocation In: Papers.
[Full Text][Citation analysis]		paper3
2020A Note on Portfolio Optimization with Quadratic Transaction Costs In: Papers.
[Full Text][Citation analysis]		paper1
2020Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks In: Papers.
[Full Text][Citation analysis]		paper1
2020Measuring and Managing Carbon Risk in Investment Portfolios In: Papers.
[Full Text][Citation analysis]		paper2
2021Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk In: Papers.
[Full Text][Citation analysis]		paper0
2021The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio In: Papers.
[Full Text][Citation analysis]		paper4
2021Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk In: Papers.
[Full Text][Citation analysis]		paper0
2021Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk.(2021) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk In: Papers.
[Full Text][Citation analysis]		paper0
2021ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? In: Papers.
[Full Text][Citation analysis]		paper0
2022Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia In: Papers.
[Full Text][Citation analysis]		paper0
2018Keep up the momentum In: Journal of Asset Management.
[Full Text][Citation analysis]		article0
2024Handbook of Sustainable Finance In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2011Managing sovereign credit risk in bond portfolios In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2010Understanding the Impact of Weights Constraints in Portfolio Theory In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2009Risk Management Lessons from Madoff Fraud In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2012Managing risk exposures using the risk budgeting approach In: MPRA Paper.
[Full Text][Citation analysis]		paper20
2008Tracking problems, hedge fund replication and alternative beta In: MPRA Paper.
[Full Text][Citation analysis]		paper5
2011Tracking Problems, Hedge Fund Replication, and Alternative Beta.(2011) In: Journal of Financial Transformation.
[Citation analysis]
This paper has nother version. Agregated cites: 5		article
2000Copulas for finance In: MPRA Paper.
[Full Text][Citation analysis]		paper71
2004The Correlation Problem in Operational Risk In: MPRA Paper.
[Full Text][Citation analysis]		paper17
2012On the market portfolio for multi-asset classes In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2012Risk Parity Portfolios with Risk Factors In: MPRA Paper.
[Full Text][Citation analysis]		paper26
2016Risk parity portfolios with risk factors.(2016) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2013Measuring Performance of Exchange Traded Funds In: MPRA Paper.
[Full Text][Citation analysis]		paper5
2013The Smart Beta Indexing Puzzle In: MPRA Paper.
[Full Text][Citation analysis]		paper9
2013Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation In: MPRA Paper.
[Full Text][Citation analysis]		paper0
1996Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995 In: Économie et Prévision.
[Full Text][Citation analysis]		article2
2015Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article2
2008An Alternative Approach to Alternative Beta In: Journal of Financial Transformation.
[Full Text][Citation analysis]		article4

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