Munich Personal RePEc Archive

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Group by: Date | Item ID
Number of items: 14.

7 March 2000

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

23 January 2004

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

24 December 2008

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

2 March 2009

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)

15 January 2010

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

15 October 2011

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

January 2012

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

15 April 2012

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

15 September 2012

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

5 February 2013

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

1 June 2013

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

1 July 2013

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

15 July 2013

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

1 September 2013

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

This list was generated on Tue Aug 20 16:58:30 2019 CEST.
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