Victor DeMiguel

London Business School

Sussex Place

Regent's Park

London, London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 2,770

in Total Papers Downloads

13,554

SSRN CITATIONS
Rank 3,928

SSRN RANKINGS

Top 3,928

in Total Papers Citations

76

CROSSREF CITATIONS

210

Scholarly Papers (14)

1.
Downloads 3,537 ( 2,950)
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 2,277 (6,097)
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 1,260 (15,946)
Citation 3

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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 3,361 (3,174)
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 (601,271)
Citation 5
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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 2,061 (7,187)
Citation 29

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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 1 (716,513)
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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 1,154 (18,234)
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 (702,675)
Citation 8
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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 1,038 (21,709)
Citation 13

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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 849 (29,054)
Citation 13

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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 506 (57,834)
Citation 4

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

8.

Optimal Portfolio Diversification via Independent Component Analysis

Number of pages: 46 Posted: 09 Dec 2018 Last Revised: 29 Jan 2020
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 265 (121,928)
Citation 2

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

9.

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 262 (122,897)
Citation 6

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

10.

Portfolio Investment with the Exact Tax Basis Via Nonlinear Programming

EFA 2004 Maastricht Meetings Paper No. 1599
Number of pages: 47 Posted: 01 Jul 2004
Victor DeMiguel and Raman Uppal
London Business School and EDHEC Business School
Downloads 198 (161,481)
Citation 7

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Portfolio choice, capital gains tax, optimization, nonlinear programming

11.

What Alleviates Crowding in Factor Investing?

Number of pages: 76 Posted: 10 Jun 2019 Last Revised: 26 Jan 2020
Victor DeMiguel, Alberto Martin Utrera and Raman Uppal
London Business School, Lancaster University - Lancaster University Management School and EDHEC Business School
Downloads 155 (200,292)

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financial institutions, capacity of quantitative strategies, price impact, competition, liquidity provision

12.

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 108 (266,085)
Citation 1

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

13.

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 (437,604)
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Portfolio choice, asset allocation, investment management

14.

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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