Chapter 1 - Thierry Roncalli's Home Page

More documents

Recommendations

Info

Figure 1.20, <strong>Page</strong> 65Figure: Sampling the SX5E and SPX indicesIntroduction to Risk Parity and Budgeting Modern Portfolio Theory 38 / 40
Tables 1.17 & 1.18, <strong>Page</strong>s 68 & 69Table: Minimum variance portfolio when x i ≥ 10%˜x i λ −iλ +i˜σ i56.195 0.000 0.000 15.00 100.00˜ρ i,j23.805 0.000 0.000 20.00 10.00 100.0010.000 1.190 0.000 19.67 10.50 58.71 100.0010.000 1.625 0.000 23.98 17.38 16.16 67.52 100.00Table: Minimum variance portfolio when 10% ≤ x i ≤ 40%˜x i λ −iλ +i˜σ i40.000 0.000 0.915 20.20 100.00˜ρ i,j40.000 0.000 0.000 20.00 30.08 100.0010.000 0.915 0.000 21.02 35.32 61.48 100.0010.000 1.050 0.000 26.27 39.86 25.70 73.06 100.00Introduction to Risk Parity and Budgeting Modern Portfolio Theory 39 / 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 36 and 37: Table 1.15, Page 63Table: Sampling
Page 40: Tables 1.19 & 1.20, Pages 69 & 70Ta

Chapter 1 - Thierry Roncalli's Home Page

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?