Guillaume Simon

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 16,457

SSRN RANKINGS

Top 16,457

in Total Papers Downloads

3,072

SSRN CITATIONS
Rank 42,896

SSRN RANKINGS

Top 42,896

in Total Papers Citations

2

CROSSREF CITATIONS

11

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 1,283 (15,788)
Citation 5

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 980 (23,583)
Citation 7

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
Unigestion and Capital Fund Management
Downloads 354 (88,303)

Abstract:

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Implied Volatility, Stylized Fact, Stochastic Volatility Models, Volatility

4.

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 181 (174,683)
Citation 3

Abstract:

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Hedge funds, Duration models, Nonparametric specifications, competing risks

5.

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 163 (191,216)

Abstract:

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

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 111 (258,536)
Citation 2

Abstract:

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Endogeneity, Instrumental Variables, Dynamic Models, Duration Models

7.

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

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
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

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