Chapter 1 - Thierry Roncalli's Home Page

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Tables 1.10 & 1.11, <strong>Page</strong> 55Table: Principal component analysis of the covariance matrix ΣAsset / Factor 1 2 31 65.35% −72.29% −22.43%2 69.38% 69.06% −20.43%3 30.26% −2.21% 95.29%Eigenvalue 8.31% 0.84% 0.26%% cumulated 88.29% 97.20% 100.00%Table: Principal component analysis of the information matrix IAsset / Factor 1 2 31 −22.43% −72.29% 65.35%2 −20.43% 69.06% 69.38%3 95.29% −2.21% 30.26%Eigenvalue 379.97 119.18 12.04% cumulated 74.33% 97.65% 100.00%Introduction to Risk Parity and Budgeting Modern Portfolio Theory 30 / 40
Figure 1.19, <strong>Page</strong> 56Figure: PCA applied to the stocks of the FTSE index (June 2012)Introduction to Risk Parity and Budgeting Modern Portfolio Theory 31 / 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 and 12: Figure 1.6, Page 20Figure: 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 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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