29 citations · 157 across the 16 of their papers we have counts for
21 papers
A new spin on optimal portfolios and ecological equilibria
Jerome Garnier-Brun, Michael Benzaquen, Stefano Ciliberti +1
We consider the classical problem of optimal portfolio construction with the constraint that no short position is allowed, or equivalently the valid equilibria of multispecies Lotk…
Equity Factors: To Short Or Not To Short, That Is The Question
Florent Benaych-Georges, Jean-Philippe Bouchaud, Stefano Ciliberti
What is the best market-neutral implementation of classical Equity Factors? Should one use the specific predictability of the short-leg to build a zero beta Long-Short portfolio, i…
The Case for Long-Only Agnostic Allocation Portfolios
Pierre-Alain Reigneron, Vincent Nguyen, Stefano Ciliberti +2
We advocate the use of Agnostic Allocation for the construction of long-only portfolios of stocks. We show that Agnostic Allocation Portfolios (AAPs) are a special member of a fami…
Portfolio Construction Matters
Stefano Ciliberti, Stanislao Gualdi
The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show tha…
Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model
Adam Majewski, Stefano Ciliberti, Jean-Philippe Bouchaud
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent B…
Black was right: Price is within a factor 2 of Value
J. P. Bouchaud, S. Ciliberti, Y. Lempérière +3
We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend…