Guillaume Simon

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 15,201

SSRN RANKINGS

Top 15,201

in Total Papers Downloads

3,108

CITATIONS
Rank 31,520

SSRN RANKINGS

Top 31,520

in Total Papers Citations

12

Scholarly Papers (9)

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) - Economics, Finance, Accounting (EFA)
Downloads 1,202 (16,183)
Citation 4

Abstract:

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Quality anomaly, financial analysts misplaced focus, behavioral biases

2.

The Capacity of Trading Strategies

HEC Paris Research Paper No. FIN-2015-1089
Number of pages: 50 Posted: 27 Mar 2015 Last Revised: 05 Feb 2019
HEC Paris - Finance Department, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 907 (24,610)
Citation 6

Abstract:

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trading costs, asset pricing anomalies, asset management, arbitrage

3.

Mean-reversion Properties of Implied Volatilities

Number of pages: 35 Posted: 16 Oct 2007 Last Revised: 24 Jul 2010
Florian Ielpo and Guillaume Simon
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Capital Fund Management
Downloads 350 (83,901)

Abstract:

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Implied Volatility, Stylized Fact, Stochastic Volatility Models, Volatility

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 281 (106,779)

Abstract:

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

5.

Nonparametric Analysis of Hedge Funds Lifetimes

Number of pages: 36 Posted: 03 Dec 2008 Last Revised: 15 Jun 2015
Serge Darolles, Jean-Pierre Florens and Guillaume Simon
Université Paris Dauphine - DRM-CEREG, University of Toulouse and Capital Fund Management
Downloads 179 (165,920)
Citation 2

Abstract:

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Hedge funds, Duration models, Nonparametric specifications, competing risks

6.

Endogeneity and Instrumental Variables in Dynamic Models

Number of pages: 21 Posted: 04 Jul 2010
Jean-Pierre Florens and Guillaume Simon
University of Toulouse and Capital Fund Management
Downloads 105 (253,387)
Citation 4

Abstract:

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Endogeneity, Instrumental Variables, Dynamic Models, Duration Models

7.

Portfolio Selection With Active Strategies: How Long Only Constraints Shape Convictions

Number of pages: 45 Posted: 21 Jun 2019
Charles‐Albert Lehalle and Guillaume Simon
Capital Fund Management and Capital Fund Management
Downloads 84 (303,575)

Abstract:

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Portfolio Selection, Long Only, Long-Short, Factors, Sparsity, Optimization, Number of positions, Benchmark

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 Management and Capital Fund Management

Abstract:

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Market Anomalies, Dividend bias, Defensive Equities

9.

Portfolio Allocation as an Inverse Problem

Posted: 19 Dec 2008 Last Revised: 12 Oct 2009
Guillaume Simon and Anna Simoni
Capital Fund Management and University of Toulouse 1 - Toulouse School of Economics (TSE)

Abstract:

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Portfolio Allocation, Black-Litterman, Shrinkage, Inverse Problems, Regularization