Data-Driven Investment Management, Keynote talk at CMS 2014, Lisbon. (Slides.pdf).
A Portfolio Perspective on the Multitude of Firm Characteristics, with A. Martin-Utrera, F.J. Nogales, and R. Uppal, LBS working paper (2017). (Manuscript.pdf). NEW!
A Robust Perspective on Transaction Costs in Portfolio Optimization, with A.V. Olivares-Nadal, LBS working paper (2016). (Manuscript.pdf).
Multiperiod Portfolio Optimization with Multiple Risky Assets and General Transaction Costs, with X. Mei and F.J. Nogales, forthcoming in 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).
Simple Contracts for Reliable Supply, with W. Hwang and N. Bakshi, LBS working paper (2015). (Manuscript.pdf).
Relaxation Scheme for Mathematical Programs
with Equilibrium Constraints,
with M.P. Friedlander, F.J. Nogales,
Scholtes, SIAM Journal on
Methods for a Class of Partially Separable Nonlinear Programs,
of Operations Research,
33(1), 119—139 (2008). (Manuscript.pdf).
Analysis of Bilevel Decomposition
Algorithms, with W. Murray, Optimization
7, 99—133 (2006). (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)
What Multistage Stochastic Programming Can Do for Network Revenue Management, with N. Mishra. LBS working paper, 2008. (Manuscript.pdf).
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)
father ( Angel Victor de Miguel Rodriguez ), February 2008.