Chapter 1 - Thierry Roncalli's Home Page

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Tables 1.5 & 1.6, <strong>Page</strong>s 17 & 18Table: Computation of the betaPortfolio µ (y) β (y | x ⋆ ) π (y | x ⋆ )e 1 3.50 0.72 3.50e 2 4.50 0.92 4.50e 3 6.50 1.33 6.50e 4 4.50 0.92 4.50x ew 4.75 0.98 4.75Table: Computation of the beta with a constrained tangency portfolioPortfolio µ (y) β (y | x ⋆ ) π (y | x ⋆ )e 1 3.50 0.83 3.50e 2 4.50 1.06 4.50e 3 6.50 1.53 6.50e 4 4.50 1.54 6.53x ew 4.75 1.24 5.26Introduction to Risk Parity and Budgeting Modern Portfolio Theory 10 / 40
Figure 1.6, <strong>Page</strong> 20Figure: The efficient frontier with a benchmarkIntroduction to Risk Parity and Budgeting Modern Portfolio Theory 11 / 40
Page 1 and 2: Introduction to Risk Parity and Bud
Page 3 and 4: Figure 1.2, Page 8Figure: The effic
Page 5 and 6: Tables 1.2 & 1.3, Page 8Table: Solv
Page 7 and 8: Table 1.4, Page 10Table: Solving th
Page 9: Figure 1.5, Page 15Figure: The effi
Page 13: Table 1.7, Page 26Table: Black-Litt
Page 16 and 17: Figure 1.9, Page 31Figure: Density
Page 18 and 19: Figure 1.11, Page 35Figure: Cumulat
Page 20 and 21: Figure 1.13, Page 38Figure: Density
Page 22 and 23: Result (1.21), Page 39Ĉ =⎛⎜⎝
Page 24 and 25: Figure 1.16, Page 46Figure: Uncerta
Page 26 and 27: Result (1.23), Page 49Ĉ =⎛⎜⎝
Page 28 and 29: Table 1.9, Page 53Table: Solutions
Page 30 and 31: Tables 1.10 & 1.11, Page 55Table: P
Page 32 and 33: Table 1.12, Page 57Table: Effect of
Page 34 and 35: Page 62Number of solved QP problems
Page 36 and 37: Table 1.15, Page 63Table: Sampling
Page 38 and 39: Figure 1.20, Page 65Figure: Samplin
Page 40: Tables 1.19 & 1.20, Pages 69 & 70Ta

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