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Thierry Roncalli

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Thierry Roncalli, 2021. "Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk," Papers 2110.01302, arXiv.org.

    Cited by:

    1. Roncalli, Thierry & Cherief, Amina & Karray-Meziou, Fatma & Regnault, Margaux, 2021. "Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk," MPRA Paper 108295, University Library of Munich, Germany.

  2. Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine, 2021. "The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio," Papers 2101.10635, arXiv.org.

    Cited by:

    1. Shashwat Mishra & Rishabh Raj & Siddhartha P. Chakrabarty, 2023. "Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets," Papers 2305.16712, arXiv.org.
    2. Mario Bajo & Emilio Rodríguez, 2022. "Integrating the carbon footprint into the construction of corporate bond portfolios," Working Papers 2226, Banco de España.
    3. Siddhartha P. Chakrabarty & Suryadeepto Nag, 2023. "Risk measures and portfolio analysis in the paradigm of climate finance: a review," SN Business & Economics, Springer, vol. 3(3), pages 1-22, March.
    4. Daniel Ramos-García & Carmen López-Martín & Raquel Arguedas-Sanz, 2023. "Climate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 index," Empirical Economics, Springer, vol. 65(5), pages 2091-2114, November.

  3. Thierry Roncalli & Amina Cherief & Fatma Karray-Meziou & Margaux Regnault, 2021. "Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk," Papers 2105.08377, arXiv.org.

    Cited by:

    1. Thierry Roncalli, 2021. "Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk," Papers 2110.01302, arXiv.org.

  4. Thierry Roncalli & Fatma Karray-Meziou & Franc{c}ois Pan & Margaux Regnault, 2021. "Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk," Papers 2101.02110, arXiv.org.

    Cited by:

    1. Thierry Roncalli, 2021. "Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk," Papers 2110.01302, arXiv.org.

  5. Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine, 2020. "Measuring and Managing Carbon Risk in Investment Portfolios," Papers 2008.13198, arXiv.org.

    Cited by:

    1. Mario Bajo & Emilio Rodríguez, 2022. "Integrating the carbon footprint into the construction of corporate bond portfolios," Working Papers 2226, Banco de España.
    2. Siddhartha P. Chakrabarty & Suryadeepto Nag, 2023. "Risk measures and portfolio analysis in the paradigm of climate finance: a review," SN Business & Economics, Springer, vol. 3(3), pages 1-22, March.

  6. Pierre Chen & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2020. "A Note on Portfolio Optimization with Quadratic Transaction Costs," Papers 2001.01612, arXiv.org.

    Cited by:

    1. Tian Zhu & Wei Zhu, 2022. "Quantitative Trading through Random Perturbation Q-Network with Nonlinear Transaction Costs," Stats, MDPI, vol. 5(2), pages 1-15, June.

  7. Edmond Lezmi & Jules Roche & Thierry Roncalli & Jiali Xu, 2020. "Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks," Papers 2007.04838, arXiv.org.

    Cited by:

    1. Solveig Flaig & Gero Junike, 2021. "Scenario generation for market risk models using generative neural networks," Papers 2109.10072, arXiv.org, revised Aug 2023.

  8. Jean-Charles Richard & Thierry Roncalli, 2019. "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers 1902.05710, arXiv.org.

    Cited by:

    1. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
    2. Ayse Sinem Uysal & Xiaoyue Li & John M. Mulvey, 2021. "End-to-End Risk Budgeting Portfolio Optimization with Neural Networks," Papers 2107.04636, arXiv.org.
    3. Biasin, Massimo & Delle Foglie, Andrea & Giacomini, Emanuela, 2024. "Addressing climate challenges through ESG-real estate investment strategies: An asset allocation perspective," Finance Research Letters, Elsevier, vol. 63(C).
    4. Joan Gonzalvez & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2019. "Financial Applications of Gaussian Processes and Bayesian Optimization," Papers 1903.04841, arXiv.org.

  9. Joan Gonzalvez & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2019. "Financial Applications of Gaussian Processes and Bayesian Optimization," Papers 1903.04841, arXiv.org.

    Cited by:

    1. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
    2. Taco de Wolff & Alejandro Cuevas & Felipe Tobar, 2020. "Gaussian process imputation of multiple financial series," Papers 2002.05789, arXiv.org.
    3. Trent Spears & Stefan Zohren & Stephen Roberts, 2020. "Investment sizing with deep learning prediction uncertainties for high-frequency Eurodollar futures trading," Papers 2007.15982, arXiv.org.

  10. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.

    Cited by:

    1. Pierre Chen & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2020. "A Note on Portfolio Optimization with Quadratic Transaction Costs," Papers 2001.01612, arXiv.org.
    2. Nymisha Bandi & Theja Tulabandhula, 2020. "Off-Policy Optimization of Portfolio Allocation Policies under Constraints," Papers 2012.11715, arXiv.org.
    3. Qing Yang & Zhenning Hong & Ruyan Tian & Tingting Ye & Liangliang Zhang, 2020. "Asset Allocation via Machine Learning and Applications to Equity Portfolio Management," Papers 2011.00572, arXiv.org, revised Nov 2020.
    4. van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.

  11. Thierry Roncalli, 2014. "Introduction to Risk Parity and Budgeting," Papers 1403.1889, arXiv.org.

    Cited by:

    1. Alex Garivaltis, 2021. "Universal Risk Budgeting," Papers 2106.10030, arXiv.org, revised Oct 2022.
    2. Davide Benedetti & Enrico Biffis & Fotis Chatzimichalakis & Luciano Lilloy Fedele & Ian Simm, 2021. "Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy," Annals of Operations Research, Springer, vol. 299(1), pages 847-871, April.
    3. William Lefebvre & Gregoire Loeper & Huy^en Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Papers 2009.08214, arXiv.org, revised Sep 2020.
    4. Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," Papers 1311.4057, arXiv.org.
    5. Gianni Pola, 2016. "On entropy and portfolio diversification," Journal of Asset Management, Palgrave Macmillan, vol. 17(4), pages 218-228, July.
    6. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
    7. Marielle de Jong & Lauren Stagnol, 2016. "A fundamental bond index including solvency criteria," Post-Print hal-01410662, HAL.
    8. Timo Dimitriadis & Yannick Hoga, 2023. "Regressions under Adverse Conditions," Papers 2311.13327, arXiv.org, revised Jul 2024.
    9. Olessia Caillé & Daria Onori, 2018. "Conditional Risk-Based Portfolio," Working Papers hal-01973115, HAL.
    10. Andrés García-Medina & Ester Aguayo-Moreno, 2024. "LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1511-1542, April.
    11. Biasin, Massimo & Delle Foglie, Andrea & Giacomini, Emanuela, 2024. "Addressing climate challenges through ESG-real estate investment strategies: An asset allocation perspective," Finance Research Letters, Elsevier, vol. 63(C).
    12. Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019. "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers 19-12, Federal Reserve Bank of Cleveland.
    13. Kato, Kensuke & Nakamura, Nobuhiro, 2023. "Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).
    14. Willliam Lefebvre & Gregoire Loeper & Huyên Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Working Papers hal-02941289, HAL.
    15. Ricca, Federica & Scozzari, Andrea, 2024. "Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification," European Journal of Operational Research, Elsevier, vol. 312(2), pages 700-717.
    16. Andr'es Garc'ia-Medina & Benito Rodrigu'ez-Camejo, 2023. "Random matrix theory and nested clustered portfolios on Mexican markets," Papers 2306.05667, arXiv.org.
    17. Christian Bongiorno & Damien Challet, 2020. "Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning," Papers 2005.08703, arXiv.org, revised Mar 2023.
    18. Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp'eri`ere & Jean-Philippe Bouchaud & Marc Potters, 2016. "Tail protection for long investors: Trend convexity at work," Papers 1607.02410, arXiv.org.
    19. Lauren Stagnol, 2015. "Designing a corporate bond index on solvency criteria," Working Papers hal-04141378, HAL.
    20. Thierry Roncalli, 2018. "Keep up the momentum," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 351-361, September.
    21. Johann Pfitzinger & Nico Katzke, 2019. "A constrained hierarchical risk parity algorithm with cluster-based capital allocation," Working Papers 14/2019, Stellenbosch University, Department of Economics.
    22. Pierre Chen & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2020. "A Note on Portfolio Optimization with Quadratic Transaction Costs," Papers 2001.01612, arXiv.org.
    23. Ravi Kashyap, 2024. "The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments," Papers 2407.09536, arXiv.org.
    24. Thibault Bourgeron & Edmond Lezmi & Thierry Roncalli, 2019. "Robust Asset Allocation for Robo-Advisors," Papers 1902.07449, arXiv.org.
    25. Andrea Fronzetti Colladon & Stefano Grassi & Francesco Ravazzolo & Francesco Violante, 2023. "Forecasting financial markets with semantic network analysis in the COVID‐19 crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1187-1204, August.
    26. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
    27. Elisabetta Cagna & Giulio Casuccio, 2014. "Equally-weighted Risk Contribution Portfolios: an empirical study using expected shortfall," CeRP Working Papers 142, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    28. Younes Berouaga & Cherif El Msiyah & Jaouad Madkour, 2023. "Portfolio Optimization Using Minimum Spanning Tree Model in the Moroccan Stock Exchange Market," IJFS, MDPI, vol. 11(2), pages 1-20, March.
    29. Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018. "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, vol. 266(1), pages 255-291, July.
    30. Paskalis Glabadanidis, 2022. "Portfolio weights concentration: optimal strategies and equilibrium implications," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 19(3), pages 572-582, May.
    31. Bruno Spilak & Wolfgang Karl Hardle, 2022. "Risk budget portfolios with convex Non-negative Matrix Factorization," Papers 2204.02757, arXiv.org, revised Jun 2023.
    32. Michalis Kapsos & Nicos Christofides & Berc Rustem, 2018. "Robust risk budgeting," Annals of Operations Research, Springer, vol. 266(1), pages 199-221, July.
    33. Lourme, Alexandre & Maurer, Frantz, 2017. "Testing the Gaussian and Student's t copulas in a risk management framework," Economic Modelling, Elsevier, vol. 67(C), pages 203-214.
    34. Paskalis Glabadanidis, 2016. "Maximizing excess return per unit variance: A novel investment management objective," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 486-501, December.
    35. Damian Kisiel & Denise Gorse, 2021. "A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection," Papers 2111.05935, arXiv.org.
    36. Raphael Benichou & Yves Lemp'eri`ere & Emmanuel S'eri'e & Julien Kockelkoren & Philip Seager & Jean-Philippe Bouchaud & Marc Potters, 2016. "Agnostic Risk Parity: Taming Known and Unknown-Unknowns," Papers 1610.08818, arXiv.org.
    37. Tristan Froidure & Khalid Jalalzai & Yves Choueifaty, 2019. "Portfolio Rho-Presentativity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-52, November.
    38. Roncalli, Thierry, 2013. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation," MPRA Paper 49821, University Library of Munich, Germany.
    39. Gianni Filograsso & Giacomo Tollo, 2023. "Adaptive evolutionary algorithms for portfolio selection problems," Computational Management Science, Springer, vol. 20(1), pages 1-38, December.
    40. Koumou, Gilles Boevi & Dionne, Georges, 2019. "Coherent diversification measures in portfolio theory: An axiomatic foundation," Working Papers 19-2, HEC Montreal, Canada Research Chair in Risk Management.
    41. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2020. "An optimization–diversification approach to portfolio selection," Journal of Global Optimization, Springer, vol. 76(2), pages 245-265, February.
    42. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Gu'eant, 2022. "Risk Budgeting Portfolios: Existence and Computation," Papers 2211.07212, arXiv.org, revised Sep 2023.
    43. Roncalli, Thierry & Cherief, Amina & Karray-Meziou, Fatma & Regnault, Margaux, 2021. "Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk," MPRA Paper 108295, University Library of Munich, Germany.
    44. Frieder Meyer-Bullerdiek, 2017. "Rebalancing and Diversification Return – Evidence from the German Stock Market," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 6(2), pages 1-1.
    45. Andrés García-Medina & Norberto A Hernández-Leandro & Graciela González Farías & Nelson Muriel, 2021. "Multistage allocation problem for Mexican pension funds," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-28, April.
    46. Lauren Stagnol, 2016. "The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread," Working Papers hal-04141582, HAL.
    47. Braga, Maria Debora & Nava, Consuelo Rubina & Zoia, Maria Grazia, 2023. "Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation," Finance Research Letters, Elsevier, vol. 54(C).
    48. Burkhardt, Raphael & Ulrych, Urban, 2023. "Sparse and stable international portfolio optimization and currency risk management," Journal of International Money and Finance, Elsevier, vol. 139(C).
    49. William Lefebvre & Grégoire Loeper & Huyên Pham, 2020. "Mean-Variance Portfolio Selection with Tracking Error Penalization," Mathematics, MDPI, vol. 8(11), pages 1-23, November.
    50. M. Barkhagen & S. García & J. Gondzio & J. Kalcsics & J. Kroeske & S. Sabanis & A. Staal, 2023. "Optimising portfolio diversification and dimensionality," Journal of Global Optimization, Springer, vol. 85(1), pages 185-234, January.
    51. Margherita Giuzio & Kay Eichhorn-Schott & Sandra Paterlini & Vincent Weber, 2018. "Tracking hedge funds returns using sparse clones," Annals of Operations Research, Springer, vol. 266(1), pages 349-371, July.
    52. Ran Ji & Miguel A. Lejeune, 2018. "Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints," Annals of Operations Research, Springer, vol. 262(2), pages 547-578, March.
    53. Anis, Hassan T. & Kwon, Roy H., 2022. "Cardinality-constrained risk parity portfolios," European Journal of Operational Research, Elsevier, vol. 302(1), pages 392-402.
    54. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
    55. Sebastian Jaimungal & Silvana M. Pesenti & Yuri F. Saporito & Rodrigo S. Targino, 2023. "Risk Budgeting Allocation for Dynamic Risk Measures," Papers 2305.11319, arXiv.org, revised Jul 2024.
    56. Jean-Charles Richard & Thierry Roncalli, 2019. "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers 1902.05710, arXiv.org.
    57. MUTEBA MWAMBA, John Weirstrass & MANTSHIMULI, Lamukanyani, 2017. "On the Protection of Investment Capital During Financial Crisis in the South African Equity Market: A Risk-Based Asset Allocation Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 70(2), pages 165-192.
    58. da Costa, B. Freitas Paulo & Pesenti, Silvana M. & Targino, Rodrigo S., 2023. "Risk budgeting portfolios from simulations," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1040-1056.
    59. Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.
    60. Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
    61. Kremer, Philipp J. & Lee, Sangkyun & Bogdan, Małgorzata & Paterlini, Sandra, 2020. "Sparse portfolio selection via the sorted ℓ1-Norm," Journal of Banking & Finance, Elsevier, vol. 110(C).
    62. Tom Erik Sønsteng Henriksen & Alois Pichler & Sjur Westgaard & Stein Frydenberg, 2019. "Can commodities dominate stock and bond portfolios?," Annals of Operations Research, Springer, vol. 282(1), pages 155-177, November.
    63. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
    64. Adil Rengim Cetingoz & Olivier Gu'eant, 2023. "Asset and Factor Risk Budgeting: A Balanced Approach," Papers 2312.11132, arXiv.org, revised May 2024.
    65. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2018. "The sparse method of simulated quantiles: An application to portfolio optimization," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 375-398, August.
    66. Francesco Cesarone & Fabio Tardella, 2017. "Equal Risk Bounding is better than Risk Parity for portfolio selection," Journal of Global Optimization, Springer, vol. 68(2), pages 439-461, June.
    67. Marielle Jong, 2018. "Portfolio optimisation in an uncertain world," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 216-221, July.
    68. Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine, 2020. "Measuring and Managing Carbon Risk in Investment Portfolios," Papers 2008.13198, arXiv.org.
    69. Luis Lorenzo & Javier Arroyo, 2023. "Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
    70. Masset, Philippe & Maurer, Frantz, 2021. "Mitigating downside risk of portfolio diversification: Wine versus other tangible assets," Economic Modelling, Elsevier, vol. 102(C).
    71. Kai Zheng & Weidong Xu & Xili Zhang, 2023. "Multivariate Regime Switching Model Estimation and Asset Allocation," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 165-196, January.
    72. Weichuan Deng & Pawel Polak & Abolfazl Safikhani & Ronakdilip Shah, 2023. "A Unified Framework for Fast Large-Scale Portfolio Optimization," Papers 2303.12751, arXiv.org, revised Nov 2023.
    73. Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016. "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, vol. 30(C), pages 103-124.
    74. Roberto Savona & Cesare Orsini, 2019. "Taking the right course navigating the ERC universe," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 157-174, May.
    75. Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry, 2013. "The Smart Beta Indexing Puzzle," MPRA Paper 48823, University Library of Munich, Germany.
    76. Massimiliano Kaucic & Roberto Daris, 2015. "Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints," Risks, MDPI, vol. 3(3), pages 1-30, September.
    77. Joan Gonzalvez & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2019. "Financial Applications of Gaussian Processes and Bayesian Optimization," Papers 1903.04841, arXiv.org.
    78. Charles-Albert Lehalle & Guillaume Simon, 2021. "Portfolio selection with active strategies: how long only constraints shape convictions," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 443-463, October.

  12. Hassine, Marlène & Roncalli, Thierry, 2013. "Measuring Performance of Exchange Traded Funds," MPRA Paper 44298, University Library of Munich, Germany.

    Cited by:

    1. Ewa Feder-Sempach & Tomasz Miziołek, 2023. "How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index," Journal of Asset Management, Palgrave Macmillan, vol. 24(2), pages 121-135, March.
    2. Martin Širůček & Václav Ruml & Petr Strejček, 2018. "Measuring the Performance of Leveraged and Non-Leveraged ETF's," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(5), pages 1357-1367.
    3. Laurent Deville & A. Calamia & Fabrice Riva, 2013. "Liquidity in European Equity ETFs: What Really Matters?," Post-Print halshs-00861646, HAL.
    4. Kent T. Saunders, 2018. "Analysis of International ETF Tracking Error in Country-Specific Funds," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 46(2), pages 151-160, June.
    5. Hurlin, Christophe & Iseli, Grégoire & Pérignon, Christophe & Yeung, Stanley, 2019. "The counterparty risk exposure of ETF investors," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 215-230.

  13. Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," Papers 1311.4057, arXiv.org.

    Cited by:

    1. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
    2. Jean-Charles Richard & Thierry Roncalli, 2019. "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers 1902.05710, arXiv.org.
    3. da Costa, B. Freitas Paulo & Pesenti, Silvana M. & Targino, Rodrigo S., 2023. "Risk budgeting portfolios from simulations," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1040-1056.
    4. Jaehyuk Choi & Rong Chen, 2022. "Improved iterative methods for solving risk parity portfolio," Papers 2203.00148, arXiv.org.

  14. Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry, 2013. "The Smart Beta Indexing Puzzle," MPRA Paper 48823, University Library of Munich, Germany.

    Cited by:

    1. Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," Papers 1311.4057, arXiv.org.
    2. Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2015. "Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy," Cahiers de recherche 1508, CIRPEE.
    3. Philipp J. Kremer & Sangkyun Lee & Malgorzata Bogdan & Sandra Paterlini, 2017. "Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm," Papers 1710.02435, arXiv.org.
    4. Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016. "Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?," Working Papers 2016-09, Faculty of Economic Sciences, University of Warsaw.
    5. Gilles Boevi Koumou & Kevin Moran, 2015. "A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy," Cahiers de recherche 1509, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    6. Lauren Stagnol, 2016. "The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread," Working Papers hal-04141582, HAL.

  15. Roncalli, Thierry, 2013. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation," MPRA Paper 49821, University Library of Munich, Germany.

    Cited by:

    1. Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," Papers 1311.4057, arXiv.org.

  16. Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.

    Cited by:

    1. Jaehyung Choi & Hyangju Kim & Young Shin Kim, 2021. "Diversified reward-risk parity in portfolio construction," Papers 2106.09055, arXiv.org, revised Sep 2022.
    2. Alex Garivaltis, 2021. "Universal Risk Budgeting," Papers 2106.10030, arXiv.org, revised Oct 2022.
    3. Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," Papers 1311.4057, arXiv.org.
    4. Timo Dimitriadis & Yannick Hoga, 2023. "Regressions under Adverse Conditions," Papers 2311.13327, arXiv.org, revised Jul 2024.
    5. Biasin, Massimo & Delle Foglie, Andrea & Giacomini, Emanuela, 2024. "Addressing climate challenges through ESG-real estate investment strategies: An asset allocation perspective," Finance Research Letters, Elsevier, vol. 63(C).
    6. Margherita Giuzio & Sandra Paterlini, 2019. "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
    7. Roncalli, Thierry & Weisang, Guillaume, 2012. "Risk Parity Portfolios with Risk Factors," MPRA Paper 44017, University Library of Munich, Germany.
    8. Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018. "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, vol. 266(1), pages 255-291, July.
    9. Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers 1908.05419, arXiv.org.
    10. Giorgio Costa & Roy H. Kwon, 2020. "Generalized risk parity portfolio optimization: an ADMM approach," Journal of Global Optimization, Springer, vol. 78(1), pages 207-238, September.
    11. Li, Xiaoyue & Uysal, A. Sinem & Mulvey, John M., 2022. "Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1158-1176.
    12. Michalis Kapsos & Nicos Christofides & Berc Rustem, 2018. "Robust risk budgeting," Annals of Operations Research, Springer, vol. 266(1), pages 199-221, July.
    13. Yuta Kurose & Yasuhiro Omori, 2016. "Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity," CIRJE F-Series CIRJE-F-1022, CIRJE, Faculty of Economics, University of Tokyo.
    14. Roncalli, Thierry, 2013. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation," MPRA Paper 49821, University Library of Munich, Germany.
    15. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
    16. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2016. "A Return Prediction-based Investment with Particle Filtering and Anomaly Detection," CARF F-Series CARF-F-391, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    17. Lauren Stagnol, 2016. "The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread," Working Papers hal-04141582, HAL.
    18. Anis, Hassan T. & Kwon, Roy H., 2022. "Cardinality-constrained risk parity portfolios," European Journal of Operational Research, Elsevier, vol. 302(1), pages 392-402.
    19. Andrea Delle Foglie & Gianni Pola, 2021. "Make the Best from Comparing Conventional and Islamic Asset Classes: A Design of an All-Seasons Combined Portfolio," JRFM, MDPI, vol. 14(10), pages 1-17, October.
    20. da Costa, B. Freitas Paulo & Pesenti, Silvana M. & Targino, Rodrigo S., 2023. "Risk budgeting portfolios from simulations," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1040-1056.
    21. Giorgio Costa & Roy Kwon, 2020. "A robust framework for risk parity portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 447-466, September.
    22. Chao Zhang & Zihao Zhang & Mihai Cucuringu & Stefan Zohren, 2021. "A Universal End-to-End Approach to Portfolio Optimization via Deep Learning," Papers 2111.09170, arXiv.org.
    23. Xiaoyue Li & A. Sinem Uysal & John M. Mulvey, 2021. "Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks," Papers 2103.10813, arXiv.org.

  17. Roncalli, Thierry & Weisang, Guillaume, 2012. "Risk Parity Portfolios with Risk Factors," MPRA Paper 44017, University Library of Munich, Germany.

    Cited by:

    1. Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," CREATES Research Papers 2018-33, Department of Economics and Business Economics, Aarhus University.
    2. Pierre O. De souza & Tiago P. Filomena & João F. Caldeira & Denis Borenstein & Marcelo B. Righi, 2017. "Risk parity in the brazilian market," Economics Bulletin, AccessEcon, vol. 37(3), pages 1555-1566.
    3. Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019. "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers 19-12, Federal Reserve Bank of Cleveland.
    4. Eduardo Bered Fernandes Vieira & Tiago Pascoal Filomena, 2020. "Liquidity Constraints for Portfolio Selection Based on Financial Volume," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 1055-1077, December.
    5. M. D. Braga & C. R. Nava & M. G. Zoia, 2023. "Kurtosis-based risk parity: methodology and portfolio effects," Quantitative Finance, Taylor & Francis Journals, vol. 23(3), pages 453-469, March.
    6. Ravi Kashyap, 2024. "The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments," Papers 2407.09536, arXiv.org.
    7. Gilles Boevi Koumou, 2023. "Risk budgeting using a generalized diversity index," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 443-458, October.
    8. Maria-Laura Torrente & Pierpaolo Uberti, 2024. "Risk-adjusted geometric diversified portfolios," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(1), pages 35-55, February.
    9. Vaughn Gambeta & Roy Kwon, 2020. "Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization," JRFM, MDPI, vol. 13(10), pages 1-28, October.
    10. Paskalis Glabadanidis, 2022. "Portfolio weights concentration: optimal strategies and equilibrium implications," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 19(3), pages 572-582, May.
    11. Qing Yang & Zhenning Hong & Ruyan Tian & Tingting Ye & Liangliang Zhang, 2020. "Asset Allocation via Machine Learning and Applications to Equity Portfolio Management," Papers 2011.00572, arXiv.org, revised Nov 2020.
    12. Paskalis Glabadanidis, 2016. "Maximizing excess return per unit variance: A novel investment management objective," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 486-501, December.
    13. Liu, Weiyi & Liu, Yangyi & Luo, Ronghua & Ding, Yue, 2021. "Ability parity model for optimal fund allocation: Evidence from China's mutual fund markets," Emerging Markets Review, Elsevier, vol. 48(C).
    14. Kozo Omori, 2013. "The Risk Parity Portfolio and the Low-Risk Asset Anomaly," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(3), pages 491-514, September.
    15. Fays, Boris & Papageorgiou, Nicolas & Lambert, Marie, 2021. "Risk optimizations on basis portfolios: The role of sorting," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 136-163.
    16. Eric Benhamou & David Saltiel & Sandrine Ungari & Abhishek Mukhopadhyay, 2020. "Bridging the gap between Markowitz planning and deep reinforcement learning," Papers 2010.09108, arXiv.org.
    17. M. Barkhagen & S. García & J. Gondzio & J. Kalcsics & J. Kroeske & S. Sabanis & A. Staal, 2023. "Optimising portfolio diversification and dimensionality," Journal of Global Optimization, Springer, vol. 85(1), pages 185-234, January.
    18. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
    19. Sebastian Jaimungal & Silvana M. Pesenti & Yuri F. Saporito & Rodrigo S. Targino, 2023. "Risk Budgeting Allocation for Dynamic Risk Measures," Papers 2305.11319, arXiv.org, revised Jul 2024.
    20. Jean-Charles Richard & Thierry Roncalli, 2019. "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers 1902.05710, arXiv.org.
    21. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
    22. Adil Rengim Cetingoz & Olivier Gu'eant, 2023. "Asset and Factor Risk Budgeting: A Balanced Approach," Papers 2312.11132, arXiv.org, revised May 2024.
    23. Hidehiko Shimizu & Takayuki Shiohama, 2019. "Multifactor Portfolio Construction by Factor Risk Parity Strategies: An Empirical Comparison of Global Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 453-477, December.
    24. de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018. "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 119-132.
    25. Wonbin Ahn & Hee Soo Lee & Hosun Ryou & Kyong Joo Oh, 2020. "Asset Allocation Model for a Robo-Advisor Using the Financial Market Instability Index and Genetic Algorithms," Sustainability, MDPI, vol. 12(3), pages 1-15, January.
    26. Traianos-Ioannis Theodorou & Alexandros Zamichos & Michalis Skoumperdis & Anna Kougioumtzidou & Kalliopi Tsolaki & Dimitris Papadopoulos & Thanasis Patsios & George Papanikolaou & Athanasios Konstanti, 2021. "An AI-Enabled Stock Prediction Platform Combining News and Social Sensing with Financial Statements," Future Internet, MDPI, vol. 13(6), pages 1-22, May.
    27. Ricard Durall, 2022. "Asset Allocation: From Markowitz to Deep Reinforcement Learning," Papers 2208.07158, arXiv.org.

  18. Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.

    Cited by:

    1. Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
    2. Heidorn, Thomas & Buschmann, Christian, 2014. "The liquidity reserve funding and management strategies," Frankfurt School - Working Paper Series 210, Frankfurt School of Finance and Management.

  19. Roncalli, Thierry, 2010. "Understanding the Impact of Weights Constraints in Portfolio Theory," MPRA Paper 36753, University Library of Munich, Germany.

    Cited by:

    1. Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
    2. Giovanni Bonaccolto & Sandra Paterlini, 2020. "Developing new portfolio strategies by aggregation," Annals of Operations Research, Springer, vol. 292(2), pages 933-971, September.
    3. Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.

  20. Clauss, Pierre & Roncalli, Thierry & Weisang, Guillaume, 2009. "Risk Management Lessons from Madoff Fraud," MPRA Paper 36754, University Library of Munich, Germany.

    Cited by:

    1. Philippe Bernard & Najat El Mekkaoui De Freitas & Bertrand B. Maillet, 2022. "A financial fraud detection indicator for investors: an IDeA," Annals of Operations Research, Springer, vol. 313(2), pages 809-832, June.

  21. Roncalli, Thierry & Weisang, Guillaume, 2008. "Tracking problems, hedge fund replication and alternative beta," MPRA Paper 37358, University Library of Munich, Germany.

    Cited by:

    1. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256, Bank for International Settlements.
    2. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    3. Clauss, Pierre & Roncalli, Thierry & Weisang, Guillaume, 2009. "Risk Management Lessons from Madoff Fraud," MPRA Paper 36754, University Library of Munich, Germany.
    4. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    5. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    6. Marcel Prokopczuk & Yingying Wu, 2013. "Estimating term structure models with the Kalman filter," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 4, pages 97-113, Edward Elgar Publishing.

  22. Frachot, Antoine & Roncalli, Thierry & Salomon, Eric, 2004. "The Correlation Problem in Operational Risk," MPRA Paper 38052, University Library of Munich, Germany.

    Cited by:

    1. Oliver Kley & Claudia Klüppelberg & Sandra Paterlini, 2019. "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph," DEM Working Papers 2019/2, Department of Economics and Management.
    2. Lu, Zhaoyang, 2011. "Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(4), pages 604-616.
    3. Gabriela ANGHELACHE & Ana-Cornelia OLTEANU (PUIU) & Alina-Nicoleta RADU, 2010. "Operational Risk Measurement," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 215-223.
    4. Albrecht, Peter & Schwake, Edmund & Winter, Peter, 2007. "Quantifizierung operationeller Risiken: Der Loss Distribution Approach," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 3(1), pages 1-45.
    5. Ming-Tao CHUNG & Ming-Hua HSIEH & Yan-Ping CHI, 2017. "Computation of Operational Risk for Financial Institutions," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 77-87, September.
    6. Chavez-Demoulin, V. & Embrechts, P. & Neslehova, J., 2006. "Quantitative models for operational risk: Extremes, dependence and aggregation," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2635-2658, October.
    7. Franco-Arbeláez, Luis Ceferino & Franco-Ceballos, Luis Eduardo & Murillo-Gómez, Juan Guillermo & Venegas-Martínez, Francisco, 2015. "Riesgo operativo en el sector salud en Colombia [Operational Risk in the Health Sector in Colombia]," MPRA Paper 63149, University Library of Munich, Germany.
    8. Xiaoqian Zhu & Jianping Li & Dengsheng Wu, 2019. "Should the Advanced Measurement Approach for Operational Risk be Discarded? Evidence from the Chinese Banking Industry," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-15, March.
    9. Pavel V. Shevchenko, 2009. "Implementing Loss Distribution Approach for Operational Risk," Papers 0904.1805, arXiv.org, revised Jul 2009.
    10. Stefan Mittnik & Irina Starobinskaya, 2010. "Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 379-390, September.
    11. Brechmann, Eike & Czado, Claudia & Paterlini, Sandra, 2014. "Flexible dependence modeling of operational risk losses and its impact on total capital requirements," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 271-285.
    12. Hans Buhlmann & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "A "Toy" Model for Operational Risk Quantification using Credibility Theory," Papers 0904.1772, arXiv.org.
    13. Venegas-Martínez, Francisco & Franco-Arbeláez, Luis Ceferino & Franco-Ceballos, Luis Eduardo & Murillo-Gómez, Juan Guillermo, 2015. "Riesgo operativo en el sector salud en Colombia: 2013," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(43), pages 7-36, segundo s.
    14. Georges Hübner & Jean-Philippe Peters, 2008. "Practical methods for measuring and managing operational risk in the financial sector: a clinical study," ULB Institutional Repository 2013/14158, ULB -- Universite Libre de Bruxelles.
    15. Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "Dynamic operational risk: modeling dependence and combining different sources of information," Papers 0904.4074, arXiv.org, revised Jul 2009.

  23. Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.

    Cited by:

    1. Yuri Salazar & Wing Ng, 2015. "Nonparametric estimation of general multivariate tail dependence and applications to financial time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 121-158, March.
    2. Vaz de Melo Mendes, Beatriz & Martins de Souza, Rafael, 2004. "Measuring financial risks with copulas," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 27-45.
    3. Panchenko, V., 2004. "Goodness-of-fit test for copulas," CeNDEF Working Papers 04-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    4. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 98-134.
    5. Yanqin Fan & Xiaohong Chen & Andrew Patton, 2004. "(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," FMG Discussion Papers dp483, Financial Markets Group.
    6. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    7. Giacomini, Enzo & Härdle, Wolfgang Karl & Ignatieva, Ekaterina & Spokoiny, Vladimir, 2006. "Inhomogeneous dependency modelling with time varying copulae," SFB 649 Discussion Papers 2006-075, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. José M. R. Murteira & Óscar D. Lourenço, 2007. "Health Care Utilization and Self-Assessed Health Specification of Bivariate Models Using Copulas," Health, Econometrics and Data Group (HEDG) Working Papers 07/27, HEDG, c/o Department of Economics, University of York.
    9. MICHIELS, Frederik & DE SCHEPPER, Ann, 2007. "A copula test space model: How to avoid the wrong copula choice," Working Papers 2007027, University of Antwerp, Faculty of Business and Economics.
    10. Lan-Ya Ma & Zi-Yu Li, 2017. "Research on the Effect of Chinese Margin Trading on Market Risk: Based on GJR Model and Filtered Historical Simulation," Applied Economics and Finance, Redfame publishing, vol. 4(4), pages 84-93, July.
    11. Song, Zhe & Zhang, Zijun & Jiang, Yu & Zhu, Jin, 2018. "Wind turbine health state monitoring based on a Bayesian data-driven approach," Renewable Energy, Elsevier, vol. 125(C), pages 172-181.
    12. Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 361-377.
    13. Cooper, Joseph & Delbecq, Benoît, 2014. "A multi-region approach to assessing fiscal and farm level consequences of government support for farm risk management," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 3(3), pages 1-23, December.
    14. Yan, Jun, 2007. "Enjoy the Joy of Copulas: With a Package copula," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 21(i04).
    15. Fathi, Abid & Nader, Naifar, 2007. "Price Calibration of basket default swap: Evidence from Japanese market," MPRA Paper 6013, University Library of Munich, Germany.
    16. A. Colin Cameron & Tong Li & Pravin K. Trivedi & David M. Zimmer, 2004. "Modeling the Differences in Counted Outcomes using Bivariate Copula Models: with Application to Mismeasured Counts," Working Papers 109, University of California, Davis, Department of Economics.
    17. Harris, Richard D.F. & Mazibas, Murat, 2013. "Dynamic hedge fund portfolio construction: A semi-parametric approach," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 139-149.
    18. Zhang, Ming-Heng, 2008. "Modelling total tail dependence along diagonals," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 73-80, February.
    19. Prokhorov, Artem & Schmidt, Peter, 2009. "Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas," Journal of Econometrics, Elsevier, vol. 153(1), pages 93-104, November.
    20. Bedendo, Mascia & Campolongo, Francesca & Joossens, Elisabeth & Saita, Francesco, 2010. "Pricing multiasset equity options: How relevant is the dependence function?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 788-801, April.
    21. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive 2016_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    22. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York.
    23. Hurlimann, Werner, 2004. "Fitting bivariate cumulative returns with copulas," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 355-372, March.
    24. Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
    25. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
    26. Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," Econometrics Working Papers Archive wp2006_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    27. Beatriz Vaz de Melo Mendes & Cecília Aíube, 2011. "Copula based models for serial dependence," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(1), pages 68-82, February.
    28. Krenar Avdulaj & Jozef Barunik, 2013. "Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data," Papers 1307.5981, arXiv.org, revised Feb 2015.
    29. Azam, Kazim & Pitt, Michael, 2014. "Bayesian Inference for a Semi-Parametric Copula-based Markov Chain," The Warwick Economics Research Paper Series (TWERPS) 1051, University of Warwick, Department of Economics.
    30. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2003. "Stress Testing with Student's t Dependence," ERIM Report Series Research in Management ERS-2003-056-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    31. Cossette, Hélène & Marceau, Etienne & Marri, Fouad, 2008. "On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 444-455, December.
    32. Michal Kaut & Stein Wallace, 2011. "Shape-based scenario generation using copulas," Computational Management Science, Springer, vol. 8(1), pages 181-199, April.
    33. Evis Këllezi & Nick Webber, 2004. "Valuing Bermudan options when asset returns are Levy processes," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 87-100.
    34. Cipollini, Fabrizio & Gallo, Giampiero M., 2010. "Automated variable selection in vector multiplicative error models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2470-2486, November.
    35. Cooper, Joseph & Hungerford, Ashley & O'Donoghue, Erik, 2015. "Interactions of Shallow Loss Support and Traditional Federal Crop Insurance: Building a Framework for Assessing Commodity Support Issues for the Next Farm Act," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205310, Agricultural and Applied Economics Association.
    36. Cumming, Fergus & Noss, Joseph, 2013. "Financial Stability Paper No 26: Assessing the adequacy of CCPs' default resources," Bank of England Financial Stability Papers 26, Bank of England.
    37. Domino, Krzysztof & Błachowicz, Tomasz, 2014. "The use of copula functions for modeling the risk of investment in shares traded on the Warsaw Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 77-85.
    38. Jadran Dobric & Friedrich Schmid, 2005. "Nonparametric estimation of the lower tail dependence λL in bivariate copulas," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(4), pages 387-407.
    39. Michal Kaut, 2014. "A copula-based heuristic for scenario generation," Computational Management Science, Springer, vol. 11(4), pages 503-516, October.
    40. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "To the problem of evaluation of market risk of global equity index portfolio in global capital markets," MPRA Paper 47708, University Library of Munich, Germany, revised 20 Jun 2013.
    41. Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
    42. Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004. "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics 24681, London School of Economics and Political Science, LSE Library.
    43. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 3-21.
    44. Sukcharoen, Kunlapath & Zohrabyan, Tatevik & Leatham, David & Wu, Ximing, 2014. "Interdependence of oil prices and stock market indices: A copula approach," Energy Economics, Elsevier, vol. 44(C), pages 331-339.
    45. Fantazzini, Dean, 2010. "Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2562-2579, November.
    46. Henryk Gurgul & Roland Mestel & Robert Syrek, 2008. "Polish Stock Market and some foreign markets - dependence analysis by copulas," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 18(2), pages 17-35.
    47. Damiano Brigo & Kyriakos Chourdakis, 2012. "Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas," Papers 1204.2090, arXiv.org, revised Apr 2012.
    48. Alejandro García & Ramazan Gençay, 2007. "Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures," Staff Working Papers 07-25, Bank of Canada.
    49. Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation in Intensity Models," Working Papers wp2006_0605, CEMFI.
    50. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    51. Zhang, Chen & Yang, Yu & Yun, Po, 2020. "Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence," Finance Research Letters, Elsevier, vol. 32(C).
    52. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
    53. Huard, David & Evin, Guillaume & Favre, Anne-Catherine, 2006. "Bayesian copula selection," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 809-822, November.
    54. Alexandru Stanga, 2008. "Measuring market risk: a copula and extreme value approach," Advances in Economic and Financial Research - DOFIN Working Paper Series 13, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
    55. Long Kang, 2011. "Asset allocation in a Bayesian copula-GARCH framework: An application to the ‘passive funds versus active funds’ problem," Journal of Asset Management, Palgrave Macmillan, vol. 12(1), pages 45-66, April.
    56. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    57. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
    58. Patton, Andrew J, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series qt3fc1c8hw, Department of Economics, UC San Diego.
    59. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
    60. Param Silvapulle & Gunky Kim & Mervyn J. Silvapulle, 2004. "Robustness of a semiparametric estimator of a copula," Econometric Society 2004 Australasian Meetings 317, Econometric Society.
    61. Zhu, Xiaoqian & Xie, Yongjia & Li, Jianping & Wu, Dengsheng, 2015. "Change point detection for subprime crisis in American banking: From the perspective of risk dependence," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 18-28.

Articles

  1. T. Roncalli & G. Weisang, 2016. "Risk parity portfolios with risk factors," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 377-388, March.
    See citations under working paper version above.
  2. Thierry Roncalli, 2015. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation," Bankers, Markets & Investors, ESKA Publishing, issue 138, pages 18-28, September.

    Cited by:

    1. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
    2. Thibault Bourgeron & Edmond Lezmi & Thierry Roncalli, 2019. "Robust Asset Allocation for Robo-Advisors," Papers 1902.07449, arXiv.org.
    3. Anis, Hassan T. & Kwon, Roy H., 2022. "Cardinality-constrained risk parity portfolios," European Journal of Operational Research, Elsevier, vol. 302(1), pages 392-402.
    4. Jean-Charles Richard & Thierry Roncalli, 2019. "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers 1902.05710, arXiv.org.
    5. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
    6. van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.

  3. Roncalli, Thierry & Weisang, Guillaume, 2011. "Tracking Problems, Hedge Fund Replication, and Alternative Beta," Journal of Financial Transformation, Capco Institute, vol. 31, pages 19-29.
    See citations under working paper version above.
  4. Roncalli, Thierry & Teiletche, Jérôme, 2008. "An Alternative Approach to Alternative Beta," Journal of Financial Transformation, Capco Institute, vol. 24, pages 43-52.

    Cited by:

    1. Ergys Islamaj & Maziar Kazemi, 2014. "Returns to Active Management: The Case of Hedge Funds," International Finance Discussion Papers 1112, Board of Governors of the Federal Reserve System (U.S.).
    2. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256, Bank for International Settlements.
    3. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    4. Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
    5. Roncalli, Thierry & Weisang, Guillaume, 2008. "Tracking problems, hedge fund replication and alternative beta," MPRA Paper 37358, University Library of Munich, Germany.

  5. Jean-Sébastien Pentecôte & Thierry Roncalli, 1996. "Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995," Économie et Prévision, Programme National Persée, vol. 123(2), pages 189-205.

    Cited by:

    1. Marie Bessec, 2000. "Mean-Reversion versus PPP Adjustment: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998," Econometric Society World Congress 2000 Contributed Papers 1305, Econometric Society.
    2. BESSEC Marie, 2010. "The Asymmetric Exchange Rate Dynamics in the EMS: a Time-Varying Threshold Test," EcoMod2003 330700015, EcoMod.

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