Emmanuel Sérié

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

4

DOWNLOADS

1,293

SSRN CITATIONS

5

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 793 (60,495)
Citation 2

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 Qube Research & Technologies
Downloads 282 (205,486)
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
Qube Research & Technologies, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 218 (264,537)
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