Chapter 1 - Thierry Roncalli's Home Page

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<strong>Page</strong> 62Number of solved QP problemsn b n x Heuristic Backward Forward5010 40 1220 45540 10 455 122050050 450 123975 23775450 50 23775 1239751500100 1400 1120700 1450501000 500 625250 1000500Introduction to Risk Parity and Budgeting Modern Portfolio Theory 34 / 40
Table 1.14, <strong>Page</strong> 63Table: Sampling the SX5E index with the heuristic algorithmk Stock b i σ ( x (k) | b )1 Nokia 0.45 0.182 Carrefour 0.60 0.233 Repsol 0.71 0.284 Unibail-Rodamco 0.99 0.305 Muenchener Rueckver 1.34 0.326 RWE 1.18 0.367 Koninklijke Philips 1.07 0.418 Generali 1.06 0.459 CRH 0.82 0.5110 Volkswagen 1.34 0.5542 LVMH 2.39 3.6743 Telefonica 3.08 3.8144 Bayer 3.51 4.3345 Vinci 1.46 5.0246 BBVA 2.13 6.5347 Sanofi 5.38 7.2648 Allianz 2.67 10.7649 Total 5.89 12.8350 Siemens 4.36 30.33Introduction to Risk Parity and Budgeting Modern Portfolio Theory 35 / 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 32 and 33: Table 1.12, Page 57Table: Effect of
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

Chapter 1 - Thierry Roncalli's Home Page

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