Ce repo contient les ressources pour le cours de Gestion Quantitative.
Boyd, S. and Vandenberghe, L (2013), Convex Optimization, Cambridge University Press
Griveau-Billion, T., Richard, J-C., and Roncalli, T. (2013), A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios, SSRN.
Hastie, T et al., The Elements of Statistical Learning, Springer.
Maillard, S., Roncalli, T. and Teiletche, J. (2010), The Properties of Equally Weighted Risk Contribution Portfolios, Journal of Portfolio Management, 36(4), pp. 60-70.
Richard, J-C., and Roncalli, T. (2015), Smart Beta: Managing Diversification of Minimum Variance Portfolios, in Jurczenko, E. (Ed.), Risk-based and Factor Investing, ISTE Press -- Elsevier.
Roncalli, T. (2013), Introduction to Risk Parity and Budgeting, Chapman & Hall/CRC Financial Mathematics Series.
Scherer B. (2007), Portfolio Construction & Risk Budgeting, Third edition, Risk Books.
Isichenko M. (2021), Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage.
Roncalli T. (2010), La Gestion d'Actifs Quantitative