Victor DeMiguel
Professor | London Business School
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Contact
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A Portfolio Perspective on the Multitude of Firm Characteristics,with A. Martin-Utrera, F.J. Nogales, and R. Uppal, LBS working paper (2017). Best Paper Award at the XXIV Finance Forum, accepted for 2017 EFA Annual Meeting and 2018 AFA Annual Meeting. (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, 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).
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), 1220—1235 (2009). (Manuscript.pdf), (Electronic Companion.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).
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)
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,
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 Angel Victor de Miguel Rodriguez, 2008. (Obit.pdf)