Chapter 1 - Thierry Roncalli's Home Page

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Table 1.12, <strong>Page</strong> 57Table: Effect of deleting a PCA factorx ⋆ MV λ 1 = 0 λ 2 = 0 λ 3 = 0 λ 4 = 0 λ 5 = 0 λ 6 = 0x ⋆ 1 15.29 15.77 20.79 27.98 0.00 13.40 0.00x ⋆ 2 10.98 16.92 1.46 12.31 0.00 8.86 0.00x ⋆ 3 34.40 12.68 35.76 28.24 52.73 53.38 2.58x ⋆ 4 0.00 22.88 0.00 0.00 0.00 0.00 0.00x ⋆ 5 1.01 17.99 2.42 0.00 15.93 0.00 0.00x ⋆ 6 38.32 13.76 39.57 31.48 31.34 24.36 97.42Introduction to Risk Parity and Budgeting Modern Portfolio Theory 32 / 40
Table 1.13, <strong>Page</strong> 60Table: Limiting the turnover of MVO portfoliosτ + 5.00 10.00 25.00 50.00 75.00 x 0x ⋆ 1 35.00 36.40 42.34 45.59 30.00x ⋆ 2 45.00 42.50 30.00 24.74 45.00x ⋆ 3 15.00 21.10 27.66 29.67 15.00x ⋆ 4 5.00 0.00 0.00 0.00 10.00µ (x ⋆ ) 5.95 6.06 6.13 6.14 6.00σ (x ⋆ ) 15.00 15.00 15.00 15.00 15.69Introduction to Risk Parity and Budgeting Modern Portfolio Theory 33 / 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 30 and 31: Tables 1.10 & 1.11, Page 55Table: P
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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