Victor DeMiguel
Victor DeMiguel
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Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?
V DeMiguel, L Garlappi, R Uppal
The Review of Financial Studies 22 (5), 1915-1953, 2009
A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms
V DeMiguel, L Garlappi, FJ Nogales, R Uppal
Management Science 55 (5), 798-812, 2009
Portfolio selection with robust estimation
V DeMiguel, FJ Nogales
Operations Research 57 (3), 560-577, 2009
Improving portfolio selection using option-implied volatility and skewness
V DeMiguel, Y Plyakha, R Uppal, G Vilkov
Journal of Financial and Quantitative Analysis 48 (6), 1813-1845, 2013
A Transaction-Cost Perspective on the Multitude of Firm Characteristics
V DeMiguel, A Martin-Utrera, FJ Nogales, R Uppal
The Review of Financial Studies 33 (5), 2180-2222, 2020
A stochastic multiple leader Stackelberg model: analysis, computation, and application
V DeMiguel, H Xu
Operations Research 57 (5), 1220-1235, 2009
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
V DeMiguel, FJ Nogales, R Uppal
The Review of Financial Studies 27 (4), 1031--1073, 2014
Size matters: Optimal calibration of shrinkage estimators for portfolio selection
V DeMiguel, A Martin-Utrera, FJ Nogales
Journal of Banking & Finance 37 (8), 3018-3034, 2013
Supply chain competition with multiple manufacturers and retailers
E Adida, V DeMiguel
Operations Research 59 (1), 156-172, 2010
A two-sided relaxation scheme for mathematical programs with equilibrium constraints
V DeMiguel, MP Friedlander, FJ Nogales, S Scholtes
SIAM Journal on Optimization 16 (2), 587-609, 2005
An analysis of collaborative optimization methods
AV DeMiguel, W Murray
8th symposium on multidisciplinary analysis and optimization, 4720, 2000
A local convergence analysis of bilevel decomposition algorithms
V DeMiguel, W Murray
Optimization and Engineering 7 (2), 99-133, 2006
Multiperiod portfolio optimization with multiple risky assets and general transaction costs
V DeMiguel, X Mei, FJ Nogales
Journal of Banking and Finance 69, 108--120, 2016
Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
V DeMiguel, R Uppal
Management Science 51 (2), 277-290, 2005
Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization
AV Olivares-Nadal, V DeMiguel
Operations Research 66 (3), 733--739, 2018
Parameter uncertainty in multiperiod portfolio optimization with transaction costs
V Miguel, A Martín Utrera, FJ Nogales
Journal of Financial and Quantitative Analysis 50 (6), 1443-1471, 2015
Wholesale Price Contracts for Reliable Supply
W Hwang, N Bakshi, V DeMiguel
Production and Operations Management 27 (6), 1021--1037, 2018
Two decomposition algorithms for nonconvex optimization problems with global variables
AV De Miguel
Stanford University, 2001
Optimal Portfolio Diversification via Independent Component Analysis
N Lassance, V DeMiguel, F Vrins
Operations Research 70 (1), 55-72, 2022
Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha
V DeMiguel, J Gil-Bazo, FJ Nogales, A A. P. Santos
The Journal of Financial Ecomomics 150 (3), 2023
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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