Victor DeMiguel
|In Person |Research| Papers| Courses| CV | 

Portfolio selection

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).

Portfolio Selection with Robust Estimation
, with F.J. Nogales, Operations Research, 57(3), 560577 (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).

Supply chain competition

Simple Contracts for Reliable Supply, with W. Hwang and N. Bakshi, LBS working paper (2015). (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), 12201235 (2009). (Manuscript.pdf), (Electronic Companion.pdf

Optimization methods

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).

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).

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

Revenue management

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)

PhD thesis and technical reports

Two Decomposition Algorithms for Nonconvex Optimization Problems with Global Variables. Ph.D. thesis, Stanford University, April 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)


Obituary to my father ( Angel Victor de Miguel Rodriguez ), February 2008. (Obit.pdf)

| London Business School Management Science and Operations |