Alberto Martin-Utrera

Iowa State University

613 Wallace Road

Ames, IA 50011-2063

United States

SCHOLARLY PAPERS

10

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7,697

SSRN CITATIONS
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SSRN RANKINGS

Top 11,611

in Total Papers Citations

104

CROSSREF CITATIONS

26

Scholarly Papers (10)

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Number of pages: 114 Posted: 08 Feb 2017 Last Revised: 17 Jan 2019
Victor DeMiguel, Alberto Martin-Utrera, Francisco J. Nogales and Raman Uppal
London Business School, Iowa State University, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 3,066 (7,315)
Citation 42

Abstract:

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cross section of stock returns, trading diversification, factor zoo

2.

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, Iowa State University and Universidad Carlos III de Madrid - Department of Statistics
Downloads 1,050 (38,488)
Citation 30

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Portfolio choice, estimation error, shrinkage intensity, bootstrap

3.

A Multifactor Perspective on Volatility-Managed Portfolios

Number of pages: 81 Posted: 21 Jan 2022 Last Revised: 31 Aug 2023
Victor DeMiguel, Alberto Martin-Utrera and Raman Uppal
London Business School, Iowa State University and EDHEC Business School
Downloads 929 (45,812)

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Factor timing, transaction costs, estimation error, factor risk-return tradeoff, factor price of risk.

Can Competition Increase Profits in Factor Investing?

Number of pages: 81 Posted: 10 Jun 2019 Last Revised: 06 Jul 2022
Victor DeMiguel, Alberto Martin-Utrera and Raman Uppal
London Business School, Iowa State University and EDHEC Business School
Downloads 734 (62,082)
Citation 2

Abstract:

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capacity of quantitative strategies, crowding, price impact.

What Alleviates Crowding in Factor Investing?

CEPR Discussion Paper No. DP16527
Number of pages: 69 Posted: 22 Sep 2021
Victor DeMiguel, Alberto Martin-Utrera and Raman Uppal
London Business School, Iowa State University and EDHEC Business School
Downloads 0
Citation 1
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capacity of quantitative strategies, Competition, price impact

5.

The Risk of Expected Utility under Parameter Uncertainty

Management Science, forthcoming
Number of pages: 105 Posted: 01 Jun 2021 Last Revised: 18 Aug 2023
Nathan Lassance, Alberto Martin-Utrera and Majeed Simaan
LFIN/LIDAM, UCLouvain, Iowa State University and Stevens Institute of Technology - School of Business
Downloads 593 (82,469)
Citation 5

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parameter uncertainty, mean-variance portfolio, shrinkage

6.

Comparing Factor Models with Price-Impact Costs

Number of pages: 84 Posted: 30 Oct 2020 Last Revised: 10 Nov 2023
Sicong Li, Victor DeMiguel and Alberto Martin-Utrera
London Business School, London Business School and Iowa State University
Downloads 529 (95,240)
Citation 2

Abstract:

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trading costs, mean-variance utility, statistical test.

7.

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, Iowa State University and Universidad Carlos III de Madrid - Department of Statistics
Downloads 312 (174,050)
Citation 20

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

8.

Investor Behavior, Sentiment and Macroeconomic Announcements

Number of pages: 44 Posted: 31 Aug 2018 Last Revised: 01 May 2020
Alberto Martin-Utrera
Iowa State University
Downloads 247 (220,866)
Citation 1

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Sentiment, anomalies, risk, behavioral finance

9.

The risk of falling short: Implementation Shortfall variance in portfolio construction

Number of pages: 29 Posted: 30 Jan 2022
Filip Basic, Alberto Martin-Utrera, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and Finance, Iowa State University, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 223 (246,909)

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Portfolio optimization, Implementation Shortfall, Time-series models.

10.

Sentiment-Based Portfolios

Number of pages: 74 Posted: 02 Apr 2020 Last Revised: 05 Dec 2023
Nathan Lassance and Alberto Martin-Utrera
LFIN/LIDAM, UCLouvain and Iowa State University
Downloads 14 (973,245)

Abstract:

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Efficient frontier, transaction costs, parameter uncertainty, sentiment.