Alberto Martin-Utrera

New Jersey Institute of Technology

University Heights

Newark, NJ 07102

United States

SCHOLARLY PAPERS

7

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SSRN CITATIONS
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Top 17,760

in Total Papers Citations

34

CROSSREF CITATIONS

25

Scholarly Papers (7)

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, New Jersey Institute of Technology, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2,311 (7,029)
Citation 41

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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, New Jersey Institute of Technology and Universidad Carlos III de Madrid - Department of Statistics
Downloads 895 (31,030)
Citation 16

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Portfolio choice, estimation error, shrinkage intensity, bootstrap

3.

What Alleviates Crowding in Factor Investing?

Number of pages: 55 Posted: 10 Jun 2019 Last Revised: 09 Dec 2020
Victor DeMiguel, Alberto Martin-Utrera and Raman Uppal
London Business School, New Jersey Institute of Technology and EDHEC Business School
Downloads 358 (99,319)
Citation 1

Abstract:

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capacity of quantitative strategies, price impact, competition.

4.

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, New Jersey Institute of Technology and Universidad Carlos III de Madrid - Department of Statistics
Downloads 269 (135,154)
Citation 7

Abstract:

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

5.

Investor Behavior, Sentiment and Macroeconomic Announcements

Number of pages: 44 Posted: 31 Aug 2018 Last Revised: 01 May 2020
Alberto Martin-Utrera
New Jersey Institute of Technology
Downloads 143 (240,016)

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Sentiment, anomalies, risk, behavioral finance

6.

Which Factors with Price-Impact Costs?

Number of pages: 70 Posted: 30 Oct 2020
Sicong (Allen) Li, Victor DeMiguel and Alberto Martin-Utrera
London Business School, London Business School and New Jersey Institute of Technology
Downloads 119 (276,398)

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Factor Models, Model Comparisons, Trading Costs, Mean-Variance Utility

7.

Shrinking Against Sentiment: Exploiting Behavioral Biases in Portfolio Optimization

Number of pages: 46 Posted: 02 Apr 2020 Last Revised: 02 Sep 2020
Alberto Martin-Utrera
New Jersey Institute of Technology
Downloads 61 (414,484)
Citation 1

Abstract:

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