The Asset Management Page

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

Risk Factor, Risk Premium and Black-Litterman Model (Abou Rjaily, Roncalli, Xu)
Stock-Bond Correlation: Theory & Empirical Results (Portelli, Roncalli)
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

An Introduction to Carbon Pricing: Carbon Tax, Cap & Trade, ETS and Internal Carbon Price (Dao, Roncalli, Semet)
Portfolio Alignment and Net Zero Investing (Roncalli)
The Economic Cost of the Carbon Tax (Roncalli, Semet)
Net Zero Investment Portfolios - Part 2. The Core-Satellite Approach (Ben Slimane, Lucius, Roncalli, Xu)
From Climate Stress Testing to Climate Value-at-Risk: A Stochastic Approach (Desnos, Le Guenedal, Morais, Roncalli)
Green vs. Social Bond Premium (Ben Slimane, Roncalli, Semet)
Handbook of Sustainable Finance (Roncalli)
Net Zero Investment Portfolios - Part 1. The Comprehensive Integrated Approach (Barahhou, Ben Slimane, Oulid Azouz, 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)

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