6
H index
5
i10 index
260
Citations
Thierry Roncalli : Citation Profile
Université Paris-Saclay | RESEARCH PRODUCTION: 6 Articles 31 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1996 - 2024). 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:
| Cites to:
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Main data
Where Thierry Roncalli has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Financial Transformation | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 16 |
| Papers / arXiv.org | 15 |
Recent works citing Thierry Roncalli (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. (2020). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2005.08703. Full description at Econpapers || Download paper |
| 2023 | Scenario generation for market risk models using generative neural networks. (2021). Junike, Gero ; Flaig, Solveig. In: Papers. RePEc:arx:papers:2109.10072. Full description at Econpapers || Download paper |
| 2023 | Does 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. Full description at Econpapers || Download paper |
| 2023 | Stochastic Algorithms for Advanced Risk Budgeting. (2022). Gu, Olivier ; Fermanian, Jean-David ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2211.07212. Full description at Econpapers || Download paper |
| 2023 | Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196. Full description at Econpapers || Download paper |
| 2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper |
| 2024 | Risk 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. Full description at Econpapers || Download paper |
| 2023 | Green 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. Full description at Econpapers || Download paper |
| 2023 | Random matrix theory and nested clustered portfolios on Mexican markets. (2023). Rodrigu, Benito ; Garc, Andr'Es. In: Papers. RePEc:arx:papers:2306.05667. Full description at Econpapers || Download paper |
| 2024 | Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327. Full description at Econpapers || Download paper |
| 2023 | Risk 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. Full description at Econpapers || Download paper |
| 2024 | Portfolio 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. Full description at Econpapers || Download paper |
| 2023 | Kurtosis-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. Full description at Econpapers || Download paper |
| 2024 | Addressing climate challenges through ESG-real estate investment strategies: An asset allocation perspective. (2024). Giacomini, Emanuela ; delle Foglie, Andrea ; Biasin, Massimo. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324004112. Full description at Econpapers || Download paper |
| 2023 | Sparse 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. Full description at Econpapers || Download paper |
| 2023 | Sparse and stable international portfolio optimization and currency risk management. (2023). Ulrych, Urban ; Burkhardt, Raphael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s026156062300150x. Full description at Econpapers || Download paper |
| 2023 | Cointegration 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. Full description at Econpapers || Download paper |
| 2023 | Portfolio 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. Full description at Econpapers || Download paper |
| 2023 | Multivariate 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. Full description at Econpapers || Download paper |
| 2024 | LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. (2024). Garcia-Medina, Andres ; Aguayo-Moreno, Ester. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10373-8. Full description at Econpapers || Download paper |
| 2023 | How 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. Full description at Econpapers || Download paper |
| 2023 | Risk 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. Full description at Econpapers || Download paper |
| 2023 | Adaptive 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. Full description at Econpapers || Download paper |
| 2023 | Climate 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. Full description at Econpapers || Download paper |
| 2023 | Online 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. Full description at Econpapers || Download paper |
| 2023 | Optimising 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. Full description at Econpapers || Download paper |
| 2023 | Risk 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. Full description at Econpapers || Download paper |
Works by Thierry Roncalli:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | A 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 | |
| 2014 | Introduction to Risk Parity and Budgeting In: Papers. [Full Text][Citation analysis] | paper | 71 |
| 2013 | Introduction to Risk Parity and Budgeting.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 71 | paper | |
| 2019 | Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | Robust Asset Allocation for Robo-Advisors In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Financial Applications of Gaussian Processes and Bayesian Optimization In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | Machine Learning Optimization Algorithms & Portfolio Allocation In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | A Note on Portfolio Optimization with Quadratic Transaction Costs In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Measuring and Managing Carbon Risk in Investment Portfolios In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2021 | Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2021 | Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Liquidity 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 | |
| 2021 | Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Keep up the momentum In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
| 2024 | Handbook of Sustainable Finance In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Managing sovereign credit risk in bond portfolios In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Understanding the Impact of Weights Constraints in Portfolio Theory In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Risk Management Lessons from Madoff Fraud In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Managing risk exposures using the risk budgeting approach In: MPRA Paper. [Full Text][Citation analysis] | paper | 21 |
| 2008 | Tracking problems, hedge fund replication and alternative beta In: MPRA Paper. [Full Text][Citation analysis] | paper | 5 |
| 2011 | Tracking Problems, Hedge Fund Replication, and Alternative Beta.(2011) In: Journal of Financial Transformation. [Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2000 | Copulas for finance In: MPRA Paper. [Full Text][Citation analysis] | paper | 71 |
| 2004 | The Correlation Problem in Operational Risk In: MPRA Paper. [Full Text][Citation analysis] | paper | 17 |
| 2012 | On the market portfolio for multi-asset classes In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Risk Parity Portfolios with Risk Factors In: MPRA Paper. [Full Text][Citation analysis] | paper | 28 |
| 2016 | Risk parity portfolios with risk factors.(2016) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
| 2013 | Measuring Performance of Exchange Traded Funds In: MPRA Paper. [Full Text][Citation analysis] | paper | 5 |
| 2013 | The Smart Beta Indexing Puzzle In: MPRA Paper. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995 In: Économie et Prévision. [Full Text][Citation analysis] | article | 2 |
| 2015 | Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation In: Bankers, Markets & Investors. [Full Text][Citation analysis] | article | 3 |
| 2008 | An Alternative Approach to Alternative Beta In: Journal of Financial Transformation. [Full Text][Citation analysis] | article | 4 |
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