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Alberto Martin-Utrera

Lancaster University Management School

Assistant Professor

Lancaster LA1 4YX

United Kingdom

  • Lancaster University Management School

SCHOLARLY PAPERS

3

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2

Scholarly Papers (3)

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1.

Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection

Number of pages: 39 Posted: 21 Jul 2011 Last Revised: 22 Apr 2013
Victor DeMiguel, Alberto Martin-Utrera and Francisco J. Nogales
London Business School, Lancaster University Management School and Universidad Carlos III de Madrid - Department of Statistics
Downloads 592 (27,602)
Citation 2

Abstract:

Portfolio choice, estimation error, shrinkage intensity, bootstrap

2.

Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs

Number of pages: 45 Posted: 16 Jul 2013 Last Revised: 28 Feb 2014
Victor DeMiguel, Alberto Martin-Utrera and Francisco J. Nogales
London Business School, Lancaster University Management School and Universidad Carlos III de Madrid - Department of Statistics
Downloads 168 (111,524)

Abstract:

estimation error, shrinkage portfolios, trading costs, out-of-sample performance

3.

A Portfolio Perspective on the Multitude of Firm Characteristics

Number of pages: 75 Posted: 08 Feb 2017
Victor DeMiguel, Alberto Martin-Utrera, Francisco J. Nogales and Raman Uppal
London Business School, Lancaster University Management School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 0 (28,003)

Abstract:

anomalies, risk, transaction costs, out of sample performance

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