Emmanuel Sérié

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

4

DOWNLOADS

818

SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (4)

1.

Agnostic Risk Parity: Taming Known and Unknown-Unknowns

Number of pages: 12 Posted: 29 Oct 2016
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 492 (83,033)
Citation 1

Abstract:

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Quantitative Portfolio Management, Portfolio Construction, Asset Allocation, Risk Parity, Risk Budgeting, Diversification, Markowitz, Alternative Beta

2.

LQG for Portfolio Optimization

Number of pages: 24 Posted: 05 Nov 2016
Institut National de Recherche en Informatique et Automatique (INRIA), Capital Fund Management, Institut National de Recherche en Informatique et Automatique (INRIA) and Variance Capital LLP
Downloads 175 (241,188)
Citation 2

Abstract:

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Portfolio optimization, Impact, Return predictability, LQR, LQG, Riccati, State-space

3.

Slow Decay of Impact in Equity Markets

Number of pages: 6 Posted: 27 Jul 2014
Variance Capital LLP, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 151 (272,553)
Citation 10

Abstract:

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price impact, market microstructure

4.

The 'Size Premium' in Equity Markets: Where Is the Risk?

https://jpm.pm-research.com/content/45/5/58
Posted: 15 Aug 2017 Last Revised: 05 Oct 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management

Abstract:

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Small Minus Big, SMB, Size, Risk Premium, Equities, Cold Minus Hot, Beta Neutrality