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Capital Fund Management
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Quality anomaly, financial analysts misplaced focus, behavioral biases
trading costs, asset pricing anomalies, asset management, arbitrage
Portfolio Selection, Long Only, Long-Short, Factors, Sparsity, Optimization, Number of positions, Benchmark
Implied Volatility, Stylized Fact, Stochastic Volatility Models, Volatility
Hedge funds, Duration models, Nonparametric specifications, competing risks
Endogeneity, Instrumental Variables, Dynamic Models, Duration Models
Market Anomalies, Dividend bias, Defensive Equities
Small Minus Big, SMB, Size, Risk Premium, Equities, Cold Minus Hot, Beta Neutrality
Portfolio Allocation, Black-Litterman, Shrinkage, Inverse Problems, Regularization