Alberto Martin-Utrera

Iowa State University

613 Wallace Road

Ames, IA 50011-2063

United States

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 16,907

in Total Papers Citations

41

CROSSREF CITATIONS

23

Scholarly Papers (11)

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 2,595 (7,224)
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 971 (33,184)
Citation 17

Abstract:

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Portfolio choice, estimation error, shrinkage intensity, bootstrap

3.

A Multifactor Perspective on Volatility-Managed Portfolios

Number of pages: 50 Posted: 21 Jan 2022 Last Revised: 16 May 2022
Victor DeMiguel, Alberto Martin-Utrera and Raman Uppal
London Business School, Iowa State University and EDHEC Business School
Downloads 349 (120,231)

Abstract:

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Risk-return relation, factor timing, transaction costs, trading diversification, estimation error, sentiment.

4.

The Risk of Out-of-Sample Portfolio Performance

Number of pages: 82 Posted: 01 Jun 2021 Last Revised: 08 Apr 2022
Nathan Lassance, Alberto Martin-Utrera and Majeed Simaan
LFIN/LIDAM, UCLouvain, Iowa State University and Stevens Institute of Technology - School of Business
Downloads 341 (123,435)

Abstract:

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parameter uncertainty, mean-variance portfolio, shrinkage

5.

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 280 (151,654)
Citation 9

Abstract:

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

6.

Comparing Factor Models with Price-Impact Costs

Number of pages: 66 Posted: 30 Oct 2020 Last Revised: 16 May 2022
Sicong (Allen) Li, Victor DeMiguel and Alberto Martin-Utrera
London Business School, London Business School and Iowa State University
Downloads 243 (174,512)

Abstract:

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trading costs, mean-variance utility, statistical test.

7.

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 171 (240,077)

Abstract:

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Sentiment, anomalies, risk, behavioral finance

8.

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 114 (328,893)

Abstract:

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Portfolio optimization, Implementation Shortfall, Time-series models.

9.

Shrinking Against Sentiment: Exploiting Behavioral Biases in Portfolio Optimization

Number of pages: 54 Posted: 02 Apr 2020 Last Revised: 16 May 2022
Nathan Lassance and Alberto Martin-Utrera
LFIN/LIDAM, UCLouvain and Iowa State University
Downloads 111 (335,058)

Abstract:

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Shrinkage, sentiment, parameter uncertainty

10.

Can Competition Increase Profits in Factor Investing?

Posted: 10 Jun 2019
Victor DeMiguel, Alberto Martin-Utrera and Raman Uppal
London Business School, Iowa State University and EDHEC Business School
Downloads 561

Abstract:

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capacity of quantitative strategies, crowding, price impact.

11.

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 (68,965)
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Abstract:

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capacity of quantitative strategies, Competition, price impact