Daniel Mantilla-Garcia

Optimal Asset Management

Head of research

171 Main St #298

Los Altos, CA 94022

United States

http://optimalam.com/

EDHEC Risk Institute

Lille

France

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 25,123

SSRN RANKINGS

Top 25,123

in Total Papers Downloads

1,468

CITATIONS

2

Scholarly Papers (8)

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
Optimal Asset Management
Downloads 297 (59,833)

Abstract:

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 - CIREQ - Département de sciences économiques, Optimal Asset Management and EDHEC Business School
Downloads 283 (65,927)
Citation 2

Abstract:

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

3.

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
Optimal Asset Management, EDHEC Business School and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 169 (127,804)

Abstract:

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

4.

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
INRIA and Optimal Asset Management
Downloads 136 (115,390)

Abstract:

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

5.

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
INRIA and Optimal Asset Management
Downloads 63 (228,016)

Abstract:

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

6.

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
Optimal Asset Management
Downloads 26 (292,970)

Abstract:

Portfolio Insurance, Asset Allocation, Risk Management

7.

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 and Vijay Vaidyanathan
Optimal Asset Management and Optimal Asset Management LLC
Downloads 21 (352,621)

Abstract:

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

8.

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

Number of pages: 25 Posted: 02 Mar 2016
Daniel Mantilla-Garcia
Optimal Asset Management
Downloads 0 (224,850)

Abstract:

Portfolio Optimization, Diversification, Volatility Return, Portfolio Choice