Guillaume Simon

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

  • Capital Fund Management

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 16,127

SSRN RANKINGS

Top 16,127

in Total Papers Downloads

4,814

SSRN CITATIONS
Rank 45,302

SSRN RANKINGS

Top 45,302

in Total Papers Citations

5

CROSSREF CITATIONS

10

Scholarly Papers (9)

Actions:
Email selected abstracts
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
Jean-Philippe Bouchaud, Stefano Ciliberti, Augustin Landier, Guillaume Simon and David Thesmar
Capital Fund Management, Capital Fund Management, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,225 (10,336)
Citation 4

Abstract:

Loading...

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
Maxime Bonelli, Augustin Landier, Guillaume Simon and David Thesmar
HEC Paris - Finance Department, HEC, Capital Fund Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,438 (20,446)
Citation 9

Abstract:

Loading...

trading costs, asset pricing anomalies, asset management, arbitrage

3.

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 427 (104,559)
Citation 1

Abstract:

Loading...

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

4.

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 398 (113,436)

Abstract:

Loading...

Implied Volatility, Stylized Fact, Stochastic Volatility Models, Volatility

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 199 (230,580)
Citation 3

Abstract:

Loading...

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 127 (334,598)
Citation 4

Abstract:

Loading...

Endogeneity, Instrumental Variables, Dynamic Models, Duration Models

7.

Deconstructing the Low-Vol Anomaly

https://doi.org/10.3905/jpm.2017.44.1.091
Posted: 22 May 2019
Stefano Ciliberti, Yves Lemperiere, Alexios Beveratos, Guillaume Simon, Laurent Laloux, Marc Potters, Marc Potters and Jean-Philippe Bouchaud
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

8.

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
Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lemperiere and Jean-Philippe Bouchaud
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

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:

Loading...

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