Victor DeMiguel

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	すべて	2020 年以来
引用	8771	3986
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i10 指標	29	25

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Raman UppalProfessor of Finance, Edhec Business School確認したメールアドレス: edhec.edu
Francisco J.NogalesFull Professor of Statistics and Optimization, Universidad Carlos III de Madrid, Spain確認したメールアドレス: uc3m.es
Lorenzo GarlappiUniversity of British Columbia確認したメールアドレス: sauder.ubc.ca
Alberto Martín-UtreraIowa State University確認したメールアドレス: iastate.edu
Nitin BakshiProfessor, University of Utah確認したメールアドレス: eccles.utah.edu
Elodie AdidaProfessor, University of California, Riverside確認したメールアドレス: ucr.edu
Woonam HwangKAIST確認したメールアドレス: kaist.ac.kr
Grigory VilkovFrankfurt School of Finance and Management確認したメールアドレス: vilkov.net
Mei XiaolingXiamen University確認したメールアドレス: xmu.edu.cn
Michael P. FriedlanderProfessor of Computer Science and Mathematics, University of British Columbia確認したメールアドレス: friedlander.io
Frédéric VrinsLFIN/LIDAM, UCLouvain確認したメールアドレス: uclouvain.be
Huifu XuThe Chinese University of Hong Kong確認したメールアドレス: cuhk.edu.hk
Javier Gil-BazoUniversitat Pompeu Fabra; Barcelona School of Economics; UPF Barcelona School of Management確認したメールアドレス: upf.edu
André Portela SantosCUNEF確認したメールアドレス: cunef.edu
Sicong LiAssistant Professor of Finance, The Chinese University of Hong Kong確認したメールアドレス: cuhk.edu.hk
Alba V. Olivares-NadalUNSW Bussiness School確認したメールアドレス: unsw.edu.au
Nathan LassanceLFIN/LIDAM, UCLouvain確認したメールアドレス: uclouvain.be
Svetlana BryzgalovaLondon Business School確認したメールアドレス: london.edu
Markus PelgerAssociate Professor, Stanford University確認したメールアドレス: stanford.edu
Soo-Haeng ChoIBM Professor of Operations Management and Strategy, Carnegie Mellon University確認したメールアドレス: andrew.cmu.edu

フォロー

Victor DeMiguel

Professor, London Business School

確認したメールアドレス: london.edu - ホームページ

Portfolio Selection Asset Pricing Asset Management Machine Learning/AI


タイトル引用回数順公開年順タイトル順	引用先引用先	年
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	4496	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	1268	2009
Portfolio selection with robust estimation V DeMiguel, FJ Nogales Operations Research 57 (3), 560-577, 2009	499	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	306	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	264*	2020
A stochastic multiple leader Stackelberg model: analysis, computation, and application V DeMiguel, H Xu Operations Research 57 (5), 1220-1235, 2009	228	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	203	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	197	2013
Supply chain competition with multiple manufacturers and retailers E Adida, V DeMiguel Operations Research 59 (1), 156-172, 2010	170	2010
An analysis of collaborative optimization methods AV DeMiguel, W Murray 8th symposium on multidisciplinary analysis and optimization, 4720, 2000	138	2000
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	136*	2005
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	96*	2016
A local convergence analysis of bilevel decomposition algorithms V DeMiguel, W Murray Optimization and Engineering 7 (2), 99-133, 2006	93	2006
Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization AV Olivares-Nadal, V DeMiguel Operations Research 66 (3), 733--739, 2018	86	2018
Portfolio Investment with the Exact Tax Basis via Nonlinear Programming V DeMiguel, R Uppal Management Science 51 (2), 277-290, 2005	85	2005
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	74	2015
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	64*	2023
Wholesale Price Contracts for Reliable Supply W Hwang, N Bakshi, V DeMiguel Production and Operations Management 27 (6), 1021--1037, 2018	64*	2018
Optimal Portfolio Diversification via Independent Component Analysis N Lassance, V DeMiguel, F Vrins Operations Research 70 (1), 55-72, 2022	57	2022
Two decomposition algorithms for nonconvex optimization problems with global variables AV De Miguel Stanford University, 2001	52	2001

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