Alberto Martin-Utrera

Lancaster University Management School

Assistant Professor

Lancaster LA1 4YX

United Kingdom

SCHOLARLY PAPERS

4

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Top 15,452

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2

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Scholarly Papers (4)

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, Lancaster University Management School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 1,852 (7,876)

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, Lancaster University Management School and Universidad Carlos III de Madrid - Department of Statistics
Downloads 820 (28,248)

Abstract:

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Portfolio choice, estimation error, shrinkage intensity, bootstrap

3.

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 257 (116,729)

Abstract:

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

4.

Mispricing Asymmetries on Announcement Days

Number of pages: 64 Posted: 31 Aug 2018 Last Revised: 25 Nov 2018
Alberto Martin-Utrera
Lancaster University Management School
Downloads 109 (245,714)

Abstract:

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Regularization, factors, anomalies, risk, arbitrage