My main research interest is portfolio optimization and asset pricing 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.
Can Machine Learning Help to Select Portfolios of Mutual Funds?, with J. Gil-Bazo, F.J. Nogales, and A.A.P. Santos, LBS working paper (2021). (Manuscript.pdf).
Which Factors with Price-Impact Costs?, with S.A. Li and A. Martin-Utrera, LBS working paper (2020). Nominated as finalist for the 2020 INFORMS Finance Student Paper competition. (Manuscript.pdf).
What Alleviates Crowding in Factor Investing?, with A. Martin-Utrera and R. Uppal, LBS working paper (2020). Accepted for presentation at 2021 AFA Meeting. (Manuscript.pdf).
Optimal Portfolio Diversification via Independent Component Analysis, with N. Lassance and F. Vrins, Forthcoming in Operations Research. (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).
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).
Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?,
Garlappi and R. Uppal. The Review
of Financial Studies 22(5),
"Appendix to 1/N: Implementation Details and Robustness
Portfolio Investment with the Exact Tax Basis via Nonlinear Programming, with R. Uppal, Management Science, 51(2), 277—290 (2005). (Manuscript.pdf).
Cover-Up of Vehicle Defects: The Role of Regulator Investigation Announcements, with S.-H Cho and W. Hwang. Forthcoming in Management Science (2020). (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).
Methods for a Class of Partially Separable Nonlinear Programs,
of Operations Research,
33(1), 119—139 (2008). (Manuscript.pdf).
Stochastic Programming Can Do for Network Revenue Management,
N. Mishra. LBS working
A Local Convergence Analysis of Bilevel Decomposition Algorithms, with W. Murray, Optimization and Engineering, 7, 99—133 (2006). (Manuscript.pdf).
Relaxation Scheme for Mathematical Programs
with Equilibrium Constraints,
with M.P. Friedlander, F.J. Nogales,
Scholtes, SIAM Journal on
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,
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)
Obituary to Angel Victor de Miguel Rodriguez, (2008). (Obit.pdf)