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DeMiguel, Victor's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
6,339 |
Total
Citations
65 |
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1.
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Improving Portfolio Selection Using Option-Implied Volatility and Skewness
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DeMiguel, Victor
London Business School Plyakha, Yuliya
Goethe University Frankfurt am Main Uppal , Raman
EDHEC Business School Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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Posted:
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16 Sep 09
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Last Revised:
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18 Jun 12
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2,142
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12
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DeMiguel, Victor
London Business School Plyakha, Yuliya
Goethe University Frankfurt am Main Uppal , Raman
EDHEC Business School Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium
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DeMiguel, Victor
London Business School Plyakha, Yuliya
Goethe University Frankfurt am Main Uppal , Raman
EDHEC Business School Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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16 Sep 09
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Last Revised:
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18 Jun 12
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2,129
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12
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mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization
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2.
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How Inefficient are Simple Asset-Allocation Strategies?
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Garlappi, Lorenzo
University of British Columbia (UBC) - Sauder School of Business DeMiguel, Victor
London Business School Uppal , Raman
EDHEC Business School
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Posted:
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03 Mar 05
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Last Revised:
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17 Aug 08
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2,082
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DeMiguel, Victor
London Business School Garlappi, Lorenzo
University of British Columbia (UBC) - Sauder School of Business Uppal , Raman
EDHEC Business School
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1,230
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13
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Portfolio choice, asset allocation, investment management
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Garlappi, Lorenzo
University of British Columbia (UBC) - Sauder School of Business DeMiguel, Victor
London Business School Uppal , Raman
EDHEC Business School
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852
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7
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Portfolio choice, asset allocation, investment management
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3.
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DeMiguel, Victor
London Business School Nogales, Francisco J.
Universidad Carlos III de Madrid - Department of Statistics
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28 Jun 06
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Last Revised:
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04 Nov 07
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840
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14
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Portfolio choice, minimum-variance portfolios, estimation error, robust statistics.
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4.
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Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
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Versions (2)
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DeMiguel, Victor
London Business School Nogales, Francisco J.
Universidad Carlos III de Madrid - Department of Statistics Uppal , Raman
EDHEC Business School
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Posted:
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17 Mar 10
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Last Revised:
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02 May 13
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759
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6
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DeMiguel, Victor
London Business School Nogales, Francisco J.
Universidad Carlos III de Madrid - Department of Statistics Uppal , Raman
EDHEC Business School
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1
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out-of-sample performance, portfolio choice, Serial dependence, vector autoregression
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DeMiguel, Victor
London Business School Nogales, Francisco J.
Universidad Carlos III de Madrid - Department of Statistics Uppal , Raman
EDHEC Business School
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17 Mar 10
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Last Revised:
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26 Apr 13
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758
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Serial dependence, vector autoregression, portfolio choice, out-of-sample performance
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5.
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DeMiguel, Victor
London Business School Martin-Utrera, Alberto
Universidad Carlos III de Madrid - Department of Statistics and Econometrics Nogales, Francisco J.
Universidad Carlos III de Madrid - Department of Statistics
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21 Jul 11
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Last Revised:
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22 Apr 13
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310
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1
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Portfolio choice, estimation error, shrinkage intensity, bootstrap
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6.
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DeMiguel, Victor
London Business School Uppal , Raman
EDHEC Business School
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164
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14
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Portfolio choice, capital gains tax, optimization, nonlinear programming
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7.
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DeMiguel, Victor
London Business School Garlappi, Lorenzo
University of British Columbia (UBC) - Sauder School of Business Uppal , Raman
EDHEC Business School
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42
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5
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Portfolio choice, asset allocation, investment management
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8.
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DeMiguel, Victor
London Business School Garlappi, Lorenzo
University of British Columbia (UBC) - Sauder School of Business Uppal , Raman
EDHEC Business School
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G11
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