The Asset Management Page

General Ressources

• Advanced Course in Asset Management (Roncalli)
• Big Data in Asset Management (Roncalli)
• Asset Management and Systemic Risk (Roncalli, Weisang)
• The Active Versus Passive Management Debate (Roncalli)
• Liquidity Stress Testing in Asset Management - Part 1. Modeling the Liability Liquidity Risk (Roncalli, Karray, Pan, Regnault)
• Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asser Liquidity Risk (Roncalli, Cherief, Karray, Regnault)
• Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Liquidity Risk (Roncalli)
• Liquidity Stress Testing in Asset Management - Part 4. A Step-by-step Practical Guide (Roncalli, Cherief)
• Handbook of Sustainable Finance (Roncalli)

Portfolio Theory

• Multi-Period Portfolio Optimization (Lezmi, Roncalli, Xu)
• A Note on Portfolio Optimization with Quadratic Transaction Costs (Chen, Lezmi, Roncalli, Xu)
• Machine Learning Optimization Algorithms & Portfolio Allocation (Perrin, Roncalli)
• Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles (Richard, Roncalli)
• Robust Asset Allocation for Robo-Advisors (Bourgeron, Lezmi, Roncalli)
• Portfolio Allocation with Skewness Risk: A Practical Guide (Lezmi, Malongo, Roncalli, Sobotka)
• The Quest for Diversification: Why Does It Make Sense to Mix Risk Parity, Carry and Momentum Risk Premia? (Burgues, Knockaert, Lezmi, Malongo, Roncalli, Sobotka)
• Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia (Bruder, Kostyuchyk, Roncalli)
• Smart Beta: Managing Diversification of Minimum Variance Portfolios (Richard, Roncalli)
• Introduction to Risk Parity and Budgeting (Roncalli)
• Regularization of Portfolio Allocation (Bruder, Gaussel, Richard, Roncalli)
• How to Design Target-Date Funds? (Bruder, Culerier, Roncalli)
• Understanding the Impact of Weights Constraints in Portfolio Theory (Roncalli)
• On the Properties of Equally-Weighted Risk Contributions Portfolios (Maillard, Roncalli, Teiletche)

ESG & Climate Investing

• Net Zero Investment Portfolios - Part 2. The Core-Satellite Approach (Ben Slimane, Lucius, Roncalli and Xu)
• From Climate Stress Testing to Climate Value-at-Risk: A Stochastic Approach (Desnos, Le Guenedal, Morais and Roncalli)
• Green vs. Social Bond Premium (Ben Slimane, Roncalli and Semet)
• Handbook of Sustainable Finance (Roncalli)
• Net Zero Investment Portfolios - Part 1. The Comprehensive Integrated Approach (Barahhou, Ben Slimane, Oulid Azouz and Roncalli)
• Net Zero Carbon Metrics (Le Guenedal, Lombard, Roncalli, Sekine)
• Portfolio Construction with Climate Risk Measures (Le Guenedal, Roncalli)
• ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies? (Semet, Roncalli, Stagnol)
• The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio (Roncalli, Le Guenedal, Lepetit, Roncalli, Sekine)
• Measuring and Managing Carbon Risk in Investment Portfolios (Roncalli, Le Guenedal, Lepetit, Roncalli, Sekine)
• ESG Investing in Fixed Income: It's Time to Cross the Rubicon (Ben Slimane, Brard, Le Guenedal, Roncalli, Sekine)
• ESG Investing in Corporate Bonds: Mind the Gap (Ben Slimane, Le Guenedal, Roncalli, Sekine)
• ESG Investing in Recent Years: New Insights from Old Challenges (Drei, Le Guenedal, Lepetit, Mortier, Roncalli, Sekine)
• How ESG Investing Has Impacted the Asset Pricing in the Equity Market (Bennani, Le Guenedal, Lepetit, Ly, Mortier, Roncalli, Sekine)

Expected Returns

• Green vs. Social Bond Premium (Ben Slimane, Roncalli and Semet)
• Understanding the Performance of the Equity Value Factor (Stagnol, Lopez, Roncalli, Taillardat)
• Factor Investing in Currency Markets: Does it Make Sense? (Baku, Fortes, Hervé, Lezmi, Malongo, Roncalli, Xu)
• Keep Up the Momentum (Roncalli)
• Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies (Jusselin, Lezmi, Malongo, Masselin, Roncalli, Dao)
• Alternative Risk Premia: What Do We Know? (Roncalli)
• A Primer on Alternative Risk Premia (Hamdan, Pavlowsky, Roncalli, Zheng)
• Facts and Fantasies About Factor Investing (Cazalet, Roncalli)
• Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation (Roncalli)
• Trend Filtering Methods for Momentum Strategies (Bruder, Dao, Richard, Roncalli)
• Strategic Asset Allocation (Eychenne, Martinetti, Roncalli)
• Strategic Asset Allocation and Long-Term Investment Policy (Roncalli)

ETF & Indexing

• Measuring the Liquidity of ETFs: An Application to the European Market (Roncalli, Zheng)
• The Smart Beta Indexing Puzzle (Cazalet, Grison, Roncalli)
• Measuring Performance of Exchange Traded Funds (Hassine, Roncalli)
• On the Market Portfolio for Multi-Asset Classes (Louis, Roncalli)
• Managing Sovereign Credit Risk in Bond Portfolios (Bruder, Hereil, Roncalli)
• Risk-Based Indexation (Demey, Maillard, Roncalli)

Mutual Funds & Active Management

• The Active Versus Passive Management Debate (Roncalli)
• Mutual Fund Ratings and Performance Persistence (Hereil, Mitaine, Moussavi, Roncalli)

Hedge Funds

• Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies (Jusselin, Lezmi, Malongo, Masselin, Roncalli and Dao)
• Alternative Risk Premia: What Do We Know? (Roncalli)
• A Primer on Alternative Risk Premia (Hamdan, Pavlowsky, Roncalli, Zheng)
• Portfolio Allocation of Hedge Funds (Bruder, Darolles, Koudiraty, Roncalli)
• Risk Management Lessons from Madoff Fraud (Clauss, Roncalli, Weisang)
• Tracking Problems, Hedge Fund Replication and Alternative Beta (Roncalli, Weisang)
• An Alternative Approach to Alternative Beta (Roncalli, Teilteche)

Back to the main page.