Chapter 1 - Thierry Roncalli's Home Page

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Tables 1.19 & 1.20, <strong>Page</strong>s 69 & 70Table: Mean-variance portfolio when 10% ≤ x i ≤ 40% and µ ⋆ = 6%˜x i λ −iλ +i˜σ i40.000 0.000 0.125 15.81 100.00˜ρ i,j30.000 0.000 0.000 20.00 13.44 100.0020.000 0.000 0.000 25.00 41.11 70.00 100.0010.000 1.460 0.000 24.66 23.47 19.06 73.65 100.00Table: MSR portfolio when 10% ≤ x i ≤ 40%˜x i λ −iλ +i˜σ i40.000 0.000 0.342 17.13 100.00˜ρ i,j39.377 0.000 0.000 20.00 18.75 100.0010.000 0.390 0.000 23.39 36.25 66.49 100.0010.623 0.000 0.000 30.00 50.44 40.00 79.96 100.00Introduction to Risk Parity and Budgeting Modern Portfolio Theory 40 / 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 38 and 39: Figure 1.20, Page 65Figure: Samplin

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