Yves Lemperiere

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 12,496

SSRN RANKINGS

Top 12,496

in Total Papers Downloads

4,004

SSRN CITATIONS
Rank 24,109

SSRN RANKINGS

Top 24,109

in Total Papers Citations

20

CROSSREF CITATIONS

12

Scholarly Papers (7)

1.

Tail Protection for Long Investors: Trend Convexity at Work

Number of pages: 26 Posted: 09 May 2016 Last Revised: 07 Jul 2016
Millennium Capital Management, France branch, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,955 (8,049)
Citation 3

Abstract:

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Trend Following, Convexity, Volatility, Option Hedging, Variance Swap, CTA, Risk Parity, Tail Risk, Protection

2.

Risk Premia: Asymmetric Tail Risks and Excess Returns

Number of pages: 25 Posted: 30 Sep 2014
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 919 (25,948)
Citation 7

Abstract:

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Risk Premium, skewness, equity, carry trade

3.

Black Was Right: Price Is Within a Factor 2 of Value

Number of pages: 9 Posted: 16 Nov 2017 Last Revised: 19 Nov 2017
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 673 (39,870)
Citation 2

Abstract:

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Trend Following, Mean-Reversion, Market Anomalies, Behavioral Biases

4.

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 Management
Downloads 301 (105,879)

Abstract:

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

5.

Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Number of pages: 13 Posted: 11 May 2011
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 156 (198,832)
Citation 21

Abstract:

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6.

Deconstructing the Low-Vol Anomaly

Posted: 22 May 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management

Abstract:

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Market Anomalies, Dividend bias, Defensive Equities

7.

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