Daniel Mantilla-Garcia

Universidad de Los Andes - School of Management

Assistant Professor

Bogota, Bogota D.C.

Colombia

EDHEC Risk Institute

Lille

France

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 32,659

SSRN RANKINGS

Top 32,659

in Total Papers Downloads

2,098

SSRN CITATIONS

4

CROSSREF CITATIONS

7

Scholarly Papers (10)

1.

Dynamic Allocation Strategies for Absolute and Relative Loss Control

Algorithmic Finance 2014, 3:30-4, pp. 209-231
Number of pages: 24 Posted: 08 Mar 2014 Last Revised: 12 Dec 2014
Daniel Mantilla-Garcia
Universidad de Los Andes - School of Management
Downloads 584 (64,384)
Citation 1

Abstract:

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Risk Management, Portfolio Insurance, Hedging Overlay, Loss Aversion, Benchmarks

2.

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

CIRANO - Scientific Publication No. 2013s-01
Number of pages: 58 Posted: 19 Jan 2013
René Garcia, Daniel Mantilla-Garcia and Lionel Martellini
Université de Montréal, Universidad de Los Andes - School of Management and EDHEC Business School
Downloads 430 (93,505)
Citation 4

Abstract:

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Aggregate idiosyncratic volatility, cross-sectional dispersion, prediction of market returns

3.

An Alternative Model of Expected Returns and its Implications for Return Predictability

Number of pages: 68 Posted: 25 May 2014 Last Revised: 29 Oct 2016
Maxime Bonelli and Daniel Mantilla-Garcia
HEC Paris - Finance Department and Universidad de Los Andes - School of Management
Downloads 286 (146,389)

Abstract:

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return predictability, economic constraints, dividend-price ratio, Kalman filter, Bayesian analysis

4.

Idiosyncratic Risk and the Cross-Section of Realized Returns: Reconciling the Aggregate Returns’ Predictability Evidence

Number of pages: 67 Posted: 17 Mar 2010
Daniel Mantilla-Garcia, Lionel Martellini and René Garcia
Universidad de Los Andes - School of Management, EDHEC Business School and Université de Montréal
Downloads 233 (179,304)

Abstract:

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Idiosyncratic volatility, cross-sectional distribution of returns, predictability of aggregate returns

5.

Maximizing the Volatility Return: A Risk-Based Strategy for Homogeneous Groups of Assets

Number of pages: 25 Posted: 02 Mar 2016
Daniel Mantilla-Garcia
Universidad de Los Andes - School of Management
Downloads 141 (277,477)
Citation 1

Abstract:

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Portfolio Optimization, Diversification, Volatility Return, Portfolio Choice

6.

Should a Skeptical Portfolio Insurer Use an Optimal or a Risk-Based Allocation?

Number of pages: 23 Posted: 03 Jun 2014 Last Revised: 30 Apr 2015
Maxime Bonelli and Daniel Mantilla-Garcia
HEC Paris - Finance Department and Universidad de Los Andes - School of Management
Downloads 141 (277,477)
Citation 1

Abstract:

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return predictability, risk-based strategies, asset allocation, portfolio insurance, maximum drawdown

7.

Growth Optimal Portfolio Insurance for Long-Term Investors

Journal Of Investment Management, Forthcoming
Number of pages: 37 Posted: 26 Feb 2014 Last Revised: 26 May 2014
Daniel Mantilla-Garcia
Universidad de Los Andes - School of Management
Downloads 124 (305,728)

Abstract:

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Portfolio Insurance, Asset Allocation, Risk Management

8.

Predicting Stock Returns in the Presence of Uncertain Structural Changes and Sample Noise

Number of pages: 66 Posted: 07 Jul 2015 Last Revised: 28 Jan 2017
Daniel Mantilla-Garcia, Vijay Vaidyanathan and Vijay Vaidyanathan
Universidad de Los Andes - School of Management and EDHEC Risk InstituteOptimal Asset Management LLC
Downloads 84 (395,201)
Citation 2

Abstract:

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Return Predictability; Structural Breaks; Dividend-Price Ratio; Estimation Error

9.

Assets' Dependence Structure Implications for Portfolio Insurance

Number of pages: 27 Posted: 26 Sep 2018
Daniel Mantilla-Garcia, Enrique ter Horst, German Molina and Emilien Audeguil
Universidad de Los Andes - School of Management, Universidad de los Andes, Colombia - School of Business Administration, Idalion Capital US LP and Independent
Downloads 75 (421,680)
Citation 1

Abstract:

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tracking error, extreme risk management, copulas, portfolio insurance

10.

From Defined-Contribution Towards Target-Income Retirement Systems

Posted: 22 May 2020 Last Revised: 04 Aug 2021
Universidad de Los Andes - School of Management, Universidad de los Andes, Colombia - School of Management, Nuovalo and AlphaEngine Global Investment Solutions

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Asset Allocation, Pension Fund Regulation, Portfolio Insurance, Risk Management

Other Papers (1)

Total Downloads: 5
1.

Idiosyncratic Risk and the Cross-Section of Realized Returns

Number of pages: 36 Posted: 22 Mar 2009
René Garcia, Lionel Martellini and Daniel Mantilla-Garcia
Université de Montréal, EDHEC Business School and Universidad de Los Andes - School of Management
Downloads 5

Abstract:

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idiosyncratic risk, asset pricing, returns predictability, risk measurement