Yves Lempérière

Capital Fund Management

Yves Lempérière joined CFM in 2003 to conduct research on execution algorithms. After two years focused on price impact modeling and slippage analysis, he turned to alpha strategies, first on futures, and then in other asset classes including stocks and options. Prior to joining CFM, Dr. Lempérière was a PhD student in cosmology at Cambridge University. He also holds a Master in Maths from the Université Pierre et Marie Curie in Paris, a Master in Physics from Cambridge University and a Master in Engineering from the Ecole Centrale Paris.

Articles by Yves Lempérière

Original research

Agnostic risk parity: taming known and unknown unknowns

This paper offers a new perspective on portfolio allocation, which avoids any explicit optimization and instead takes the point of view of symmetry.

20 Jun 2017

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