Victor DeMiguel

Professor | London Business School


Teaching picture

Contact information
London Business School
Regent's Park, London NW1 4SA, UK
E-mail:avmiguel@london.edu
Phone: +44 (0) 207 000 8831
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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.

Working papers

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). 

Publications

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). (Manuscript.pdf).

Technical NoteA  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).


Supplier Capacity and Intermediary Profits: Can Less Be More?, with E. Adida and N. Bakshi, Production and Operations Management, 25(4), 630--646 (2016). (Manuscript.pdf), (Electronic Companion.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).


Supply Chain Competition with Multiple Manufacturers and Retailers, with E. Adida. Operations Research, 59(1), 156--172 (2011). (Manuscript.pdf), (Electronic Companion.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).


Portfolio Selection with Robust Estimation
, with F.J. Nogales, Operations Research, 57(3), 560—577 (2009). (Manuscript.pdf), (Electronic Companion.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).


A Stochastic Multiple Leader Stackelberg Model: Analysis, Computation, and Application, with H. Xu, Operations Research, 57(5), 1220—1235 (2009). (Manuscript.pdf), (Electronic Companion.pdf).


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

What Multistage Stochastic Programming Can Do for Network Revenue Management, with N. Mishra. LBS working paper, (2008). (Manuscript.pdf).


Revenue Management With Correlated Demand Forecasting, with K. Fridgeirsdottir, C. Stefanescu, and S. Zenios. 2004 Proceedings of the American Statistical Association , Business and Economics Statistics Section, Alexandria, VA: American Statistical Association. (Manuscript.pdf)


Two Decomposition Algorithms for Nonconvex Optimization Problems with Global Variables. Ph.D. thesis, Stanford University, (2001). (Thesis.pdf)


A Class of Quadratic Programming Test Problems with Global Variables
, with W. Murray. Technical Report SOL 01-2, Dept. of MS&E, Stanford University, (2001). (Manuscript.pdf)


Generating Optimization Problems with Global Variables
, with W. Murray. Technical Report SOL 01-3, Dept. of MS&E, Stanford University, (2001). (Manuscript.pdf)    


An Analysis of Collaborative Optimization Methods, with W. Murray. Eight AIAA/USAF/NASA/ISSMO Symposium on Multidisciplinary Analysis and Optimization, (2000).  (Manuscript.pdf)

Other

Obituary to Angel Victor de Miguel Rodriguez, (2008). (Obituary.pdf)