Chapter 1 - Thierry Roncalli's Home Page

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Table 1.15, <strong>Page</strong> 63Table: Sampling the SX5E index with the backward elimination algorithmk Stock b i σ ( x (k) | b )1 Iberdrola 1.05 0.112 France Telecom 1.48 0.183 Carrefour 0.60 0.224 Muenchener Rueckver 1.34 0.265 Repsol 0.71 0.306 BMW 1.37 0.347 Generali 1.06 0.378 RWE 1.18 0.419 Koninklijke Philips 1.07 0.4410 Air Liquide 2.10 0.4842 GDF Suez 1.92 3.4943 Bayer 3.51 3.8844 BNP Paribas 2.26 4.4245 Total 5.89 4.9946 LVMH 2.39 5.7447 Allianz 2.67 7.1548 Sanofi 5.38 8.9049 BBVA 2.13 12.8350 Siemens 4.36 30.33Introduction to Risk Parity and Budgeting Modern Portfolio Theory 36 / 40
Table 1.16, <strong>Page</strong> 64Table: Sampling the SX5E index with the forward selection algorithmk Stock b i σ ( x (k) | b )1 Siemens 4.36 12.832 Banco Santander 3.65 8.863 Bayer 3.51 6.924 Eni 3.32 5.985 Allianz 2.67 5.116 LVMH 2.39 4.557 France Telecom 1.48 3.938 Carrefour 0.60 3.629 BMW 1.37 3.3541 Société Générale 1.07 0.5042 CRH 0.82 0.4543 Air Liquide 2.10 0.4144 RWE 1.18 0.3745 Nokia 0.45 0.3346 Unibail-Rodamco 0.99 0.2847 Repsol 0.71 0.2448 Essilor 1.17 0.1849 Muenchener Rueckver 1.34 0.1150 Iberdrola 1.05 0.00Introduction to Risk Parity and Budgeting Modern Portfolio Theory 37 / 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 34 and 35: Page 62Number of solved QP problems
Page 38 and 39: Figure 1.20, Page 65Figure: Samplin
Page 40: Tables 1.19 & 1.20, Pages 69 & 70Ta

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