7 citations · 19 across the 10 of their papers we have counts for
13 papers
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
Benjamin Bruder, Nazar Kostyuchyk, Thierry Roncalli
This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or ran…
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk
Thierry Roncalli
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling…
Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk
Thierry Roncalli, Amina Cherief, Fatma Karray-Meziou +1
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liq…
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio
Théo Roncalli, Théo Le Guenedal, Frédéric Lepetit +2
Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured…
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk
Thierry Roncalli, Fatma Karray-Meziou, François Pan +1
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liq…
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks
Edmond Lezmi, Jules Roche, Thierry Roncalli +1
This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose s…