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Munich Personal RePEc Archive

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Group by: Date | Item ID
Number of items: 16.

36673

Bruder, Benjamin and Hereil, Pierre and Roncalli, Thierry (2011): Managing sovereign credit risk in bond portfolios.

36753

Roncalli, Thierry (2010): Understanding the Impact of Weights Constraints in Portfolio Theory.

36754

Clauss, Pierre and Roncalli, Thierry and Weisang, Guillaume (2009): Risk Management Lessons from Madoff Fraud. Published in: International Finance Review , Vol. Credit, No. 10 (2009)

37358

Roncalli, Thierry and Weisang, Guillaume (2008): Tracking problems, hedge fund replication and alternative beta.

37359

Bouye, Eric and Durlleman, Valdo and Nikeghbali, Ashkan and Riboulet, Gaël and Roncalli, Thierry (2000): Copulas for finance.

37749

Bruder, Benjamin and Roncalli, Thierry (2012): Managing risk exposures using the risk budgeting approach.

38052

Frachot, Antoine and Roncalli, Thierry and Salomon, Eric (2004): The Correlation Problem in Operational Risk. Published in: Operational Risk (May 2004)

39087

Louis, Rodolphe and Roncalli, Thierry (2012): On the market portfolio for multi-asset classes.

44017

Roncalli, Thierry and Weisang, Guillaume (2012): Risk Parity Portfolios with Risk Factors.

44298

Hassine, Marlène and Roncalli, Thierry (2013): Measuring Performance of Exchange Traded Funds.

47679

Roncalli, Thierry (2013): Introduction to Risk Parity and Budgeting.

48823

Cazalet, Zelia and Grison, Pierre and Roncalli, Thierry (2013): The Smart Beta Indexing Puzzle.

49821

Roncalli, Thierry (2013): Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation.

49844

Griveau-Billion, Théophile and Richard, Jean-Charles and Roncalli, Thierry (2013): A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios.

108295

Roncalli, Thierry and Cherief, Amina and Karray-Meziou, Fatma and Regnault, Margaux (2021): Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk.

120466

Roncalli, Thierry (2024): Handbook of Sustainable Finance.

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