Victor DeMiguel

London Business School

Sussex Place

Regent's Park

London, London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

17

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Top 2,734

in Total Papers Downloads

18,262

SSRN CITATIONS
Rank 3,781

SSRN RANKINGS

Top 3,781

in Total Papers Citations

157

CROSSREF CITATIONS

199

Scholarly Papers (17)

1.
Downloads 4,114 ( 3,402)
Citation 8

1/N

EFA 2006 Zurich Meetings
Number of pages: 54 Posted: 23 Jun 2006
Victor DeMiguel, Lorenzo Garlappi and Raman Uppal
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 2,710 (6,722)
Citation 9

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Portfolio choice, asset allocation, investment management

How Inefficient are Simple Asset-Allocation Strategies?

Number of pages: 77 Posted: 03 Mar 2005
Lorenzo Garlappi, Victor DeMiguel and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, London Business School and EDHEC Business School
Downloads 1,404 (18,982)
Citation 5

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Portfolio choice, asset allocation, investment management

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

​Journal of Financial and Quantitative Analysis, 2013, 48(6), 1813-1845
Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 29 Jun 2022
Victor DeMiguel, Yuliya Plyakha, Raman Uppal and Grigory Vilkov
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 3,657 (4,041)
Citation 23

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mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

CEPR Discussion Paper No. DP7686
Number of pages: 49 Posted: 01 Mar 2010
Victor DeMiguel, Yuliya Plyakha, Raman Uppal and Grigory Vilkov
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 15 (760,251)
Citation 17
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Number of pages: 114 Posted: 08 Feb 2017 Last Revised: 17 Jan 2019
London Business School, Iowa State University, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2,590 (7,239)
Citation 42

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cross section of stock returns, trading diversification, factor zoo

A Portfolio Perspective on the Multitude of Firm Characteristics

CEPR Discussion Paper No. DP12417
Number of pages: 63 Posted: 06 Nov 2017
London Business School, Lancaster University - Lancaster University Management School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 3 (884,285)
Citation 2
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Anomalies, out of sample performance, Risk, transaction costs

4.

Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 62 Posted: 16 Mar 2021 Last Revised: 27 Jan 2022
London Business School, Universitat Pompeu Fabra, Universidad Carlos III de Madrid - Department of Statistics and University of Edinburgh - Edinburgh Business School
Downloads 1,384 (19,750)

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Mutual-fund performance; performance predictability; active management; elastic net; random forests; gradient boosting.

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

AFA 2011 Denver Meetings Paper
Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 14 Nov 2013
Victor DeMiguel, Francisco J. Nogales and Raman Uppal
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 1,188 (24,391)
Citation 19

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Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

CEPR Discussion Paper No. DP9456
Number of pages: 64 Posted: 02 May 2013
Victor DeMiguel, Francisco J. Nogales and Raman Uppal
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2 (898,262)
Citation 11
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out-of-sample performance, portfolio choice, Serial dependence, vector autoregression

6.

Portfolio Selection With Robust Estimation

Number of pages: 44 Posted: 28 Jun 2006 Last Revised: 04 Nov 2007
Victor DeMiguel and Francisco J. Nogales
London Business School and Universidad Carlos III de Madrid - Department of Statistics
Downloads 1,078 (28,524)
Citation 18

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Portfolio choice, minimum-variance portfolios, estimation error, robust statistics.

7.

Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection

Number of pages: 39 Posted: 21 Jul 2011 Last Revised: 22 Apr 2013
London Business School, Iowa State University and Universidad Carlos III de Madrid - Department of Statistics
Downloads 969 (33,233)
Citation 17

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Portfolio choice, estimation error, shrinkage intensity, bootstrap

8.

Optimal Portfolio Diversification via Independent Component Analysis

Operations Research, 2022, 70(1):55-72
Number of pages: 56 Posted: 09 Dec 2018 Last Revised: 08 Feb 2022
Nathan Lassance, Victor DeMiguel and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, London Business School and LFIN/LIDAM, UCLouvain
Downloads 805 (43,026)
Citation 2

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Portfolio selection, risk parity, factor analysis, principal component analysis, higher moments

9.

Multiperiod Portfolio Optimization with Many Risky Assets and General Transaction Costs

Number of pages: 48 Posted: 18 Jul 2013 Last Revised: 15 Jan 2014
Victor DeMiguel, Xiaoling Mei and Francisco J. Nogales
London Business School, Xiamen University-Department of Finance, School of Economics and Wang Yanan Institute for Studies in Economics (WISE) and Universidad Carlos III de Madrid - Department of Statistics
Downloads 576 (66,498)
Citation 6

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Portfolio optimization, multiperiod utility, no-trade region, market impact.

10.
Downloads 557 ( 69,353)
Citation 1

Can Competition Increase Profits in Factor Investing?

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 81 Posted: 10 Jun 2019 Last Revised: 29 Jun 2022
Victor DeMiguel, Alberto Martin-Utrera and Raman Uppal
London Business School, Iowa State University and EDHEC Business School
Downloads 557 (68,570)
Citation 1

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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
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capacity of quantitative strategies, Competition, price impact

11.

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 348 (120,465)

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

12.

Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs

Number of pages: 45 Posted: 16 Jul 2013 Last Revised: 28 Feb 2014
London Business School, Iowa State University and Universidad Carlos III de Madrid - Department of Statistics
Downloads 280 (151,519)
Citation 9

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

13.

Comparing Factor Models with Price-Impact Costs

Number of pages: 66 Posted: 30 Oct 2020 Last Revised: 16 May 2022
London Business School, London Business School and Iowa State University
Downloads 243 (174,343)

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trading costs, mean-variance utility, statistical test.

14.

Portfolio Investment with the Exact Tax Basis Via Nonlinear Programming

Number of pages: 47 Posted: 01 Jul 2004
Victor DeMiguel and Raman Uppal
London Business School and EDHEC Business School
Downloads 214 (196,707)
Citation 9

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Portfolio choice, capital gains tax, optimization, nonlinear programming

15.

Cover-Up of Vehicle Defects: The Role of Regulator Investigation Announcements

Cho, DeMiguel, Hwang. 2020. Cover-Up of Vehicle Defects: The Role of Regulator Investigation Announcements. Management Science, Forthcoming.
Number of pages: 55 Posted: 27 Jun 2018 Last Revised: 01 Apr 2020
Soo-Haeng Cho, Victor DeMiguel and Woonam Hwang
Carnegie Mellon University - Tepper School of Business, London Business School and University of Utah - David Eccles School of Business
Downloads 197 (212,213)
Citation 3

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product recalls, automotive industry, socially responsible operations, public policy

16.

How Inefficient is the 1/N Asset-Allocation Strategy?

CEPR Discussion Paper No. 5142
Number of pages: 64 Posted: 17 Aug 2005
Victor DeMiguel, Lorenzo Garlappi and Raman Uppal
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 42 (556,865)
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Portfolio choice, asset allocation, investment management

17.

Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

The Review of Financial Studies, Vol. 22, Issue 5, pp. 1915-1953, 2009
Posted: 13 Apr 2009
Victor DeMiguel, Lorenzo Garlappi and Raman Uppal
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School

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