Victor DeMiguel

London Business School

Sussex Place

Regent's Park

London, London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 2,754

in Total Papers Downloads

15,349

SSRN CITATIONS
Rank 3,842

SSRN RANKINGS

Top 3,842

in Total Papers Citations

146

CROSSREF CITATIONS

199

Scholarly Papers (16)

1.
Downloads 3,782 ( 3,120)
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 2,458 (6,365)
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 1,324 (17,168)
Citation 5

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Portfolio choice, asset allocation, investment management

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 18 Jun 2012
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 3,510 (3,448)
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 (667,996)
Citation 15
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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, New Jersey Institute of Technology, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2,312 (7,054)
Citation 41

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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 2 (777,773)
Citation 1
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Anomalies, out of sample performance, Risk, transaction costs

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 1,179 (20,464)
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 (777,773)
Citation 11
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out-of-sample performance, portfolio choice, Serial dependence, vector autoregression

5.

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 1,053 (24,633)
Citation 18

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

6.

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, New Jersey Institute of Technology and Universidad Carlos III de Madrid - Department of Statistics
Downloads 898 (30,994)
Citation 16

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Portfolio choice, estimation error, shrinkage intensity, bootstrap

7.

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 522 (63,579)
Citation 6

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

8.

Optimal Portfolio Diversification via Independent Component Analysis

Operations Research, forthcoming
Number of pages: 56 Posted: 09 Dec 2018 Last Revised: 07 Apr 2021
Nathan Lassance, Victor DeMiguel and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance, London Business School and Louvain Finance Center (LFIN), UC Louvain
Downloads 508 (65,769)
Citation 3

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

9.

Can Machine Learning Help to Select Portfolios of Mutual Funds?

Number of pages: 41 Posted: 16 Mar 2021 Last Revised: 18 Mar 2021
London Business School, Universitat Pompeu Fabra, Universidad Carlos III de Madrid - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 402 (87,131)

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Mutual Fund Performance; Performance Predictability; Active Management; Machine Learning; Elastic Net; Random Forests; Gradient Boosting

10.

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 361 (98,631)
Citation 1

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capacity of quantitative strategies, price impact, competition.

11.

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, New Jersey Institute of Technology and Universidad Carlos III de Madrid - Department of Statistics
Downloads 269 (135,520)
Citation 7

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

12.

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 203 (178,002)
Citation 9

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Portfolio choice, capital gains tax, optimization, nonlinear programming

13.

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 169 (209,509)
Citation 3

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

14.

Which Factors with Price-Impact Costs?

Number of pages: 70 Posted: 30 Oct 2020
London Business School, London Business School and New Jersey Institute of Technology
Downloads 120 (275,320)

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

15.

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 (488,505)
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Portfolio choice, asset allocation, investment management

16.

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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