Chapter 1 - Thierry Roncalli's Home Page

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Figure 1.3, <strong>Page</strong> 10Figure: The efficient frontier with some weight constraintsIntroduction to Risk Parity and Budgeting Modern Portfolio Theory 6 / 40
Table 1.4, <strong>Page</strong> 10Table: Solving the σ-problem with weight constraintsx i ∈ R x i ≥ 0 0 ≤ x i ≤ 40%σ ⋆ 15.00 20.00 15.00 20.00 15.00 20.00x ⋆ 1 62.52 54.57 45.59 24.88 40.00 6.13x ⋆ 2 15.58 −10.75 24.74 4.96 34.36 40.00x ⋆ 3 58.92 120.58 29.67 70.15 25.64 40.00x ⋆ 4 −37.01 −64.41 0.00 0.00 0.00 13.87µ (x ⋆ ) 6.55 7.87 6.14 7.15 6.11 6.74φ 2.08 1.17 1.61 0.91 1.97 0.28Introduction to Risk Parity and Budgeting Modern Portfolio Theory 7 / 40
Page 1 and 2: Introduction to Risk Parity and Bud
Page 3 and 4: Figure 1.2, Page 8Figure: The effic
Page 5: Tables 1.2 & 1.3, Page 8Table: Solv
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
Page 40: Tables 1.19 & 1.20, Pages 69 & 70Ta

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