Yves Lemperiere

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

  • Capital Fund Management

SCHOLARLY PAPERS

7

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Top 10,176

in Total Papers Downloads

8,186

SSRN CITATIONS
Rank 21,224

SSRN RANKINGS

Top 21,224

in Total Papers Citations

42

CROSSREF CITATIONS

14

Scholarly Papers (7)

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1.

Tail Protection for Long Investors: Trend Convexity at Work

Number of pages: 26 Posted: 09 May 2016 Last Revised: 07 Jul 2016
Tung-Lam Dao, Trung-Tu Nguyen, Cyril Deremble, Yves Lemperiere, Jean-Philippe Bouchaud, Marc Potters and Marc Potters
affiliation not provided to SSRN, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 4,673 (3,588)
Citation 4

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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
Yves Lemperiere, Cyril Deremble, Trung-Tu Nguyen, Philip Seager, Marc Potters, Marc Potters and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund ManagementCapital Fund Management and Capital Fund Management
Downloads 1,542 (21,184)
Citation 7

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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
Jean-Philippe Bouchaud, Stefano Ciliberti, Yves Lemperiere, Adam Majewski, Philip Seager and Kevin Sin Ronia
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 991 (40,431)
Citation 7

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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
Raphael Benichou, Yves Lemperiere, Emmanuel Sérié, Julien Kockelkoren, Philip Seager, Jean-Philippe Bouchaud, Marc Potters and Marc Potters
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 680 (67,304)
Citation 1

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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
Bence Toth, Yves Lemperiere, Cyril Deremble, Joachim de Lataillade, Julien Kockelkoren and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 300 (175,449)
Citation 64

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6.

Deconstructing the Low-Vol Anomaly

https://doi.org/10.3905/jpm.2017.44.1.091
Posted: 22 May 2019
Stefano Ciliberti, Yves Lemperiere, Alexios Beveratos, Guillaume Simon, Laurent Laloux, Marc Potters, Marc Potters and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund ManagementCapital Fund Management and Capital Fund Management

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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
Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lemperiere and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management

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