My main research interest is portfolio selection and asset pricing in the presence of parameter uncertainty and market frictions. I serve as an Associate Editor of Management Science and Operations Research and I am an external consultant to asset-management firms such as SYZ and Goldman Sachs.
A Multifactor Perspective on Volatility-Managed Portfolios, with A. Martin-Utrera and R. Uppal, LBS working paper (2022). (Manuscript.pdf).
Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha, with J. Gil-Bazo, F.J. Nogales, and A.A.P. Santos, LBS working paper (2022). (Manuscript.pdf).
Comparing Factor Models with Price-Impact Costs, with S.A. Li and A. Martin-Utrera, LBS working paper (2022). (Manuscript.pdf).
What Alleviates Crowding in Factor Investing?, with A. Martin-Utrera and R. Uppal, LBS working paper (2022). (Manuscript.pdf).
Optimal Portfolio Diversification via Independent Component Analysis, with N. Lassance and F. Vrins, Operations Research, 70(1), 55--72, (2022). (Manuscript.pdf).
A Transaction-Cost Perspective on the Multitude of Firm Characteristics, with A. Martin-Utrera, F.J. Nogales, and R. Uppal, The Review of Financial Studies, 33(5), 2180--2222 (2020). (Manuscript.pdf).
Cover-Up of Vehicle Defects: The Role of Regulator Investigation Announcements,
with S.-H Cho and W. Hwang. Management Science, 67(6), 3834–3852 (2021).
Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization,
with A.V. Olivares-Nadal, Operations Research, 66(3), 733--739, (2018). (Manuscript.pdf)
Wholesale Price Contracts for Reliable Supply, with W. Hwang and N. Bakshi, Production and Operations Management, 27(6), 1021--1037 (2018). (Manuscript.pdf).
Multiperiod Portfolio Optimization with Multiple Risky Assets and General Transaction Costs, with X. Mei and F.J. Nogales, Journal of Banking and Finance, 69, 108--120 (2016). (Manuscript.pdf).
Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs, with A. Martin-Utrera and F.J. Nogales, Journal of Financial and Quantitative Analysis, 50(6), 1443--1471 (2015). (Manuscript.pdf).
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance, with F.J. Nogales and R. Uppal, The Review of Financial Studies, 27(4), 1031--1073 (2014). (Manuscript.pdf), (ElectronicCompanion.pdf).
Improving Portfolio Selection Using Option-Implied Volatility and Skewness, with Y. Plyakha, R. Uppal, and G. Vilkov, Journal of Financial and Quantitative Analysis, 48(6), 1813--1845 (2013). (Manuscript.pdf).
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection, with A. Martin-Utrera and F.J. Nogales, Journal of Banking and Finance, 37(8), 3018--3034 (2013). (Manuscript.pdf).
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms, with L. Garlappi, F.J. Nogales, and R. Uppal, Management Science, 55(5), 798—812 (2009). (Manuscript.pdf), (ElectronicCompanion.pdf).
Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?, with L. Garlappi and R. Uppal. The Review of Financial Studies 22(5), 1915--1953 (2009). (Manuscript.pdf). "Appendix to 1/N: Implementation Details and Robustness Checks" (Appendix.pdf). Data and codes to replicate tables (Data and code).
On Decomposition Methods for a Class of Partially Separable Nonlinear Programs, with F.J. Nogales. Mathematics of Operations Research, 33(1), 119—139 (2008). (Manuscript.pdf).
A Local Convergence Analysis of Bilevel Decomposition Algorithms, with W. Murray, Optimization and Engineering, 7, 99—133 (2006). (Manuscript.pdf).
Portfolio Investment with the Exact Tax Basis via Nonlinear Programming, with R. Uppal, Management Science, 51(2), 277—290 (2005). (Manuscript.pdf).
A Two-Sided Relaxation Scheme for Mathematical Programs with Equilibrium Constraints, with M.P. Friedlander, F.J. Nogales, and S. Scholtes, SIAM Journal on Optimization, 16(2), 587—609 (2005). (Manuscript.pdf).
Permanent working papers
Stochastic Programming Can Do for Network Revenue Management,
N. Mishra. LBS working
With Correlated Demand Forecasting,
with K. Fridgeirsdottir, C. Stefanescu, and S. Zenios. 2004
the American Statistical Association ,
Business and Economics
Section, Alexandria, VA: American Statistical Association. (Manuscript.pdf)
Algorithms for Nonconvex Optimization
Problems with Global Variables.
Ph.D. thesis, Stanford University,
An Analysis of Collaborative Optimization Methods, with W. Murray. Eight AIAA/USAF/NASA/ISSMO Symposium on Multidisciplinary Analysis and Optimization, (2000). (Manuscript.pdf)
Obituary to Angel Victor de Miguel Rodriguez, (2008). (Obituary.pdf)