Yves Lemperiere

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 12,063

SSRN RANKINGS

Top 12,063

in Total Papers Downloads

5,777

SSRN CITATIONS
Rank 23,453

SSRN RANKINGS

Top 23,453

in Total Papers Citations

27

CROSSREF CITATIONS

14

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 ManagementCapital Fund Management
Downloads 2,902 (6,222)
Citation 4

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 ManagementCapital Fund Management and Capital Fund Management
Downloads 1,328 (21,238)
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 857 (39,945)
Citation 7

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 ManagementCapital Fund Management
Downloads 479 (84,310)
Citation 1

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 211 (201,169)
Citation 27

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 ManagementCapital 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