Victor DeMiguel
|In
Person |Research| Papers| Courses| CV |
Size Matters: Calibrating Shrinkage Estimators for Portfolio Optimization, with A. Martin-Utrera and F.J. Nogales, LBS working paper (2011). (Manuscript.pdf).
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance, with F.J. Nogales and R. Uppal, LBS working paper (2010). (Manuscript.pdf).
Improving Portfolio Selection Using Option-Implied Volatility and Skewness, with Y. Plyakha, R. Uppal, and G. Vilkov, LBS working paper (2010). (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. 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 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)(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).
A Cournot Type Model
for Competition in Network Revenue Management, with
N. Mishra. LBS working
paper,
2009.
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 my
father ( Angel Victor de Miguel Rodriguez ), February 2008. (Obit.pdf)
| London Business School | Management Science and Operations |