Stefano Ciliberti

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 15,754

SSRN RANKINGS

Top 15,754

in Total Papers Downloads

5,726

SSRN CITATIONS

9

CROSSREF CITATIONS

5

Scholarly Papers (11)

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 3,062 (7,458)
Citation 4

Abstract:

Loading...

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 1,032 (39,439)
Citation 7

Abstract:

Loading...

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 601 (81,226)
Citation 1

Abstract:

Loading...

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

4.

A New Spin on Optimal Portfolios and Ecological Equilibria

Number of pages: 37 Posted: 14 Apr 2021 Last Revised: 04 Nov 2021
Ecole polytechnique, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 462 (112,334)
Citation 1

Abstract:

Loading...

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

5.

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 229 (240,067)
Citation 1

Abstract:

Loading...

portfolio construction, minimum variance, maximum diversification, sparsity

6.

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 196 (274,926)
Citation 5

Abstract:

Loading...

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

7.

Smile Dynamics -- A Theory of the Implied Leverage Effect

Number of pages: 20 Posted: 27 Apr 2013
Capital Fund Management, Capital Fund Management and Capital Fund ManagementCapital Fund Management
Downloads 144 (358,201)

Abstract:

Loading...

8.

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:

Loading...

Market Anomalies, Dividend bias, Defensive Equities

9.

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:

Loading...

Portfolio Construction, Equity Market Neutral Factors, Asset Management

10.

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:

Loading...

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

11.

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:

Loading...

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