Thierry Roncalli : Citation Profile

Université Paris-Saclay

7

H index

5

i10 index

289

Citations

RESEARCH PRODUCTION:

8

Articles

32

Papers

RESEARCH ACTIVITY:

   29 years (1996 - 2025). See details.
   Cites by year: 9
   Journals where Thierry Roncalli has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 21 (6.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro660
   Updated: 2026-02-21    RAS profile: 2025-11-12    
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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)

Targino, Rodrigo (6)

Giuzio, Margherita (5)

Moran, Kevin (5)

Engle, Robert (5)

Nadal De Simone, Francisco (4)

Fantazzini, Dean (3)

Cites to:

Fama, Eugene (8)

French, Kenneth (7)

Sharpe, William (6)

Tol, Richard (6)

Markowitz, Harry (6)

Pedersen, Lasse (6)

Svensson, Lars (5)

Candelon, Bertrand (5)

Uppal, Raman (5)

Jagannathan, Ravi (5)

Hurlin, Christophe (5)

Main data

Where Thierry Roncalli has published?

Journals with more than one article published# docs
Journal of Financial Transformation2
Journal of Computational Finance2

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 (2025 and 2024)

YearTitle of citing document
2024European option pricing with model constrained Gaussian process regressions. (2024). Vrins, Frederic ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024021.

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

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2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2024Asset and Factor Risk Budgeting: A Balanced Approach. (2024). Gu, Olivier ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2312.11132.

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2024The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2407.09536.

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2024Mirror Descent Algorithms for Risk Budgeting Portfolios. (2024). Frikha, Noufel ; Cetingoz, Adil Rengim ; Iglesias, Martin Arnaiz. In: Papers. RePEc:arx:papers:2411.12323.

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2024Turnover of investment portfolio via covariance matrix of returns. (2024). Shnurnikov, I N ; Kuliga, A V. In: Papers. RePEc:arx:papers:2412.03305.

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2025Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431.

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2025Synthetic Data for Portfolios: A Throw of the Dice Will Never Abolish Chance. (2025). Lehalle, Charles-Albert ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2501.03993.

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2025A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection. (2025). Moka, Sarat ; Asimit, Vali ; Quiroz, Matias ; Muller, Samuel. In: Papers. RePEc:arx:papers:2505.10099.

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2025On Evaluating Loss Functions for Stock Ranking: An Empirical Analysis With Transformer Model. (2025). Chudziak, Jaroslaw A ; Kwiatkowski, Jan. In: Papers. RePEc:arx:papers:2510.14156.

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2025Denoising Complex Covariance Matrices with Hybrid ResNet and Random Matrix Theory: Cryptocurrency Portfolio Applications. (2025). Garcia-Medina, Andres. In: Papers. RePEc:arx:papers:2510.19130.

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2026The Shape of Markets: Machine learning modeling and Prediction Using 2-Manifold Geometries. (2025). Papaioannou, Panagiotis G ; Yannacopoulos, Athanassios N. In: Papers. RePEc:arx:papers:2511.05030.

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2025Basis Immunity: Isotropy as a Regularizer for Uncertainty. (2025). Segonne, Florent. In: Papers. RePEc:arx:papers:2511.13334.

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2024Financial stability, stranded assets and the low‐carbon transition – A critical review of the theoretical and applied literatures. (2024). Daumas, Louis. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:601-716.

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2024Risk Budgeting portfolios: Existence and computation. (2024). Guéant, Olivier ; Cetingoz, Adil Rengim ; Guant, Olivier ; Fermanian, Jeandavid. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:896-924.

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2025The Theoretical Properties of Novel Risk-Based Asset Allocation Strategies using Portfolio Volatility and Kurtosis. (2025). Riso, Luigi ; Braga, Maria Debora ; Zoia, Maria Grazia. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0044.

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2025A novel nature-based risk index: Application to acute risks and their financial materiality on corporate bonds. (2025). Cherief, Amina ; Sekine, Takaya ; Stagnol, Lauren. In: Ecological Economics. RePEc:eee:ecolec:v:228:y:2025:i:c:s0921800924003240.

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

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2024Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization. (2024). Morstedt, Torsten ; Neumann, Dirk ; Lutz, Bernhard. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:670-685.

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2025Stock market index enhancement via machine learning. (2025). Zhang, Liangliang ; Guo, LI ; Ye, Tingting ; Yang, Qing ; Tian, Ruyan. In: Emerging Markets Review. RePEc:eee:ememar:v:68:y:2025:i:c:s1566014125000743.

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2024The carbon premium: Correlation or causality? Evidence from S&P 500 companies. (2024). Nag, Suryadeepto ; Chakrabarty, Siddhartha P ; Basu, Sankarshan ; Sankar, Namasi G. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003438.

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2024Addressing climate challenges through ESG-real estate investment strategies: An asset allocation perspective. (2024). Biasin, Massimo ; Giacomini, Emanuela ; delle Foglie, Andrea. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324004112.

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2024Price discovery share: An order invariant measure of price discovery. (2024). Sultan, Syed Galib ; Shen, Shulin ; Zivot, Eric. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007645.

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2024The equally weighted portfolio still remains a challenging benchmark. (2024). Uberti, Pierpaolo ; Gelmini, Matteo. In: International Economics. RePEc:eee:inteco:v:179:y:2024:i:c:s2110701724000489.

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2025Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management: Dynamic skew-t copula approach. (2025). Ito, Kakeru. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007160.

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2025Asymmetric Volatility Spillovers in Varying Market Conditions and Portfolio Performance Analysis of the South African Foreign Exchange Market. (2025). Ntare, Hamdan Bukenya ; Muteba, John Weirstrass ; Adekambi, Franck. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:8:p:232-:d:1720263.

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2025The Nexus Between Biodiversity and Sovereign Credit Ratings: Global Environmental and Economic Interdependencies from a Sustainability Perspective. (2025). Gven, Mahmut Kadir ; Eker, Ayberk. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:11:p:4977-:d:1666968.

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2025Sustainable Finance. (2025). Simeonovski, Kiril ; Fidanoski, Filip ; Sazdovski, Igor. In: Post-Print. RePEc:hal:journl:hal-04964117.

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2025Construcción de portafolios de inversión usando el enfoque de paridad de riesgo. (2025). Zapata Quimbayo, Carlos ; Garcia, Robinson Alexander. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:20:y:2025:i:1:a:4.

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2024LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. (2024). Aguayo-Moreno, Ester ; Garcia-Medina, Andres. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10373-8.

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2024Modelling capacity for systematic equity strategies. (2024). Dumontier, Luc ; Franco, Carmine. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:4:d:10.1057_s41260-024-00350-7.

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2024MAD risk parity portfolios. (2024). Cesarone, Francesco ; Ararat, Ain ; Pinar, Mustafa Elebi ; Ricci, Jacopo Maria. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05797-2.

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2024End-to-end risk budgeting portfolio optimization with neural networks. (2024). Li, Xiaoyue ; Uysal, Sinem A ; Mulvey, John M. In: Annals of Operations Research. RePEc:spr:annopr:v:339:y:2024:i:1:d:10.1007_s10479-023-05539-4.

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2024Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem. (2024). Mirhassani, S A ; Hooshmand, F ; Bayat, M. In: Annals of Operations Research. RePEc:spr:annopr:v:341:y:2024:i:2:d:10.1007_s10479-024-06227-7.

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2025The state of robo-advisory design: A systematic consolidation of design requirements and recommendations. (2025). Namyslo, Nicole Maria ; Jung, Dominik ; Sturm, Timo. In: Electronic Markets. RePEc:spr:elmark:v:35:y:2025:i:1:d:10.1007_s12525-025-00762-2.

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2024Risk-adjusted geometric diversified portfolios. (2024). Uberti, Pierpaolo ; Torrente, Maria-Laura. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:1:d:10.1007_s11135-023-01631-w.

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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]		paper3
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: 3		paper
2014Introduction to Risk Parity and Budgeting In: Papers.
[Full Text][Citation analysis]		paper81
2013Introduction to Risk Parity and Budgeting.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		paper
2019Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles In: Papers.
[Full Text][Citation analysis]		paper4
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]		paper3
2019Machine Learning Optimization Algorithms & Portfolio Allocation In: Papers.
[Full Text][Citation analysis]		paper5
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]		paper2
2020Measuring and Managing Carbon Risk in Investment Portfolios In: Papers.
[Full Text][Citation analysis]		paper4
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]		paper5
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]		paper2
2022Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia In: Papers.
[Full Text][Citation analysis]		paper1
2025Lecture Notes on Biodiversity In: Post-Print.
[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]		paper1
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]		paper26
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]		paper70
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]		paper29
2016Risk parity portfolios with risk factors.(2016) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2013Measuring Performance of Exchange Traded Funds In: MPRA Paper.
[Full Text][Citation analysis]		paper8
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]		paper1
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]		article3
2008An Alternative Approach to Alternative Beta In: Journal of Financial Transformation.
[Full Text][Citation analysis]		article4
Technical note: Dependence and two-asset options pricing In: Journal of Computational Finance.
[Full Text][Citation analysis]		article0
Hopscotch methods for two-state financial models In: Journal of Computational Finance.
[Full Text][Citation analysis]		article0

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