Stefano Ciliberti

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 20,435

SSRN RANKINGS

Top 20,435

in Total Papers Downloads

2,927

SSRN CITATIONS

6

CROSSREF CITATIONS

5

Scholarly Papers (12)

1.

The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly

HEC Paris Research Paper No. FIN-2016-1134
Number of pages: 11 Posted: 18 Jan 2016 Last Revised: 27 Nov 2017
Capital Fund Management, Capital Fund Management, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,588 (13,322)
Citation 4

Abstract:

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Quality anomaly, financial analysts misplaced focus, behavioral biases

2.

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 738 (40,965)
Citation 7

Abstract:

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

3.

Equity Factors: To Short Or Not To Short, That is the Question

Number of pages: 9 Posted: 14 Apr 2020
affiliation not provided to SSRN, Capital Fund Management and Capital Fund Management
Downloads 300 (121,879)
Citation 1

Abstract:

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equity factors, asset pricing, factor investing, risk premia, equity market neutral, alternative beta

4.

Co-Existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model

Number of pages: 49 Posted: 07 Aug 2018
Adam Majewski, Stefano Ciliberti and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 114 (287,668)
Citation 3

Abstract:

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Trend Following, Value Investing, Market Anomalies, Agent-Based Models

5.

Smile Dynamics -- A Theory of the Implied Leverage Effect

Number of pages: 20 Posted: 27 Apr 2013
Stefano Ciliberti, Jean-Philippe Bouchaud and Marc Potters
Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 89 (338,831)

Abstract:

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6.

The Case for Long-Only Agnostic Allocation Portfolios

Number of pages: 20 Posted: 20 Jun 2019
Capital Fund Management, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 79 (363,954)
Citation 1

Abstract:

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portfolio construction, minimum variance, maximum diversification, sparsity

7.

A New Spin on Optimal Portfolios and Ecological Equilibria

Number of pages: 37 Posted: 14 Apr 2021 Last Revised: 16 Apr 2021
Ecole polytechnique, Ecole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 19 (627,220)

Abstract:

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Spin-glasses, metastable states, cavity and replica method, quantitative finance, Markowitz portfolios, population dynamics

8.

Drivers of Participation in Collective Arrangements in the Agri‐Food Supply Chain. Evidence from Italy Using a Transaction Costs Economics Perspective

Annals of Public and Cooperative Economics, Vol. 91, Issue 3, pp. 387-409, 2020
Number of pages: 23 Posted: 08 Sep 2020
Stefano Ciliberti, Angelo Frascarelli and Gaetano Martino
Capital Fund Management, Università degli Studi di Perugia and University of Perugia - Department of Agricultural Economics and Food Sciences
Downloads 0 (779,536)
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cooperation, producer organization, TCE

9.

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

10.

Portfolio Construction Matters

The Journal of Portfolio Management, July 2020; DOI: https://doi.org/10.3905/jpm.2020.1.155
Posted: 11 Nov 2018
Stanislao Gualdi and Stefano Ciliberti
Capital Fund Management and Capital Fund Management

Abstract:

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Portfolio Construction, Equity Market Neutral Factors, Asset Management

11.

Is ESG an Equity Factor or Just an Investment Guide?

https://joi.pm-research.com/content/28/2/32
Posted: 24 Jul 2018
André Breedt, Stefano Ciliberti, Stanislao Gualdi and Philip Seager
Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management

Abstract:

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ESG ratings, Quantitative Asset Management, Equity market neutral, Risk premia

12.

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