Yves Lemperiere

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

7

DOWNLOADS
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SSRN RANKINGS

Top 11,976

in Total Papers Downloads

3,926

CITATIONS
Rank 23,898

SSRN RANKINGS

Top 23,898

in Total Papers Citations

26

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
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,796 (8,596)
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 775 (30,884)
Citation 5

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 626 (41,212)
Citation 1

Abstract:

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

4.

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

Number of pages: 10 Posted: 15 Aug 2017 Last Revised: 23 Aug 2017
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 287 (105,198)

Abstract:

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

5.

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 286 (105,587)

Abstract:

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

6.

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

Number of pages: 13 Posted: 11 May 2011
Santa Fe Institute, Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 156 (188,192)
Citation 4

Abstract:

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7.

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