Victor DeMiguel
Professor | London Business School
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Contact
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My main research interest is portfolio optimization in the presence of estimation error, transaction costs, and taxes. More generally, I am interested in applications of optimization in finance and management. 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.
Portfolio Optimization
What Alleviates Crowding in Factor Investing?, with A. Martin-Utrera and R. Uppal, LBS working paper (2019). (Manuscript.pdf).
A Transaction-Cost Perspective on the Multitude of Firm Characteristics, with A. Martin-Utrera, F.J. Nogales, and R. Uppal, forthcoming in The Review of Financial Studies (2019). (Manuscript.pdf).
Optimal Portfolio Diversification via Independent Component Analysis, with N. Lassance and F. Vrins, LBS working paper (2018). (Manuscript.pdf).
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).
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).
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).
Portfolio Investment with the Exact Tax Basis via Nonlinear Programming, with R. Uppal, Management Science, 51(2), 277—290 (2005). (Manuscript.pdf).
Operations Research
Cover-Up of Vehicle Defects: The Role of Regulator Investigation Announcements, with S.-H Cho and W. Hwang. LBS working paper (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).
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).
Supply Chain Competition with Multiple Manufacturers and Retailers, with E. Adida. Operations Research, 59(1), 156--172 (2011). (Manuscript.pdf), (Electronic Companion.pdf).
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).
What
Multistage
Stochastic Programming Can Do for Network Revenue Management,
with
N. Mishra. LBS working
paper,
(2008). (Manuscript.pdf).
A
Local Convergence
Analysis of Bilevel Decomposition
Algorithms, with W. Murray, Optimization
and Engineering,
7, 99—133 (2006). (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).
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). (Obit.pdf)