Chapter 1 - Thierry Roncalli's Home Page

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Figure 1.7, <strong>Page</strong> 22Figure: The tangency portfolio with respect to a benchmarkIntroduction to Risk Parity and Budgeting Modern Portfolio Theory 12 / 40
Table 1.7, <strong>Page</strong> 26Table: Black-Litterman portfolios#0 #1 #2 #3 #4 #5x ⋆ 1 40.00 33.41 51.16 36.41 38.25 39.77x ⋆ 2 30.00 51.56 39.91 42.97 42.72 32.60x ⋆ 3 20.00 5.46 0.00 10.85 9.14 17.65x ⋆ 4 10.00 9.58 8.93 9.77 9.89 9.98σ (x ⋆ | x 0 ) 0.00 3.65 3.67 2.19 2.18 0.45Introduction to Risk Parity and Budgeting Modern Portfolio Theory 13 / 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 and 10: Figure 1.5, Page 15Figure: The effi
Page 11: Figure 1.6, Page 20Figure: The effi
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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