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Victor DeMiguel
Victor DeMiguel
Verified email at london.edu - Homepage
Title
Cited by
Cited by
Year
Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?
V DeMiguel, L Garlappi, R Uppal
The Review of Financial Studies 22 (5), 1915-1953, 2009
33522009
A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms
V DeMiguel, L Garlappi, FJ Nogales, R Uppal
Management Science 55 (5), 798-812, 2009
9922009
Portfolio selection with robust estimation
V DeMiguel, FJ Nogales
Operations Research 57 (3), 560-577, 2009
4002009
Improving portfolio selection using option-implied volatility and skewness
V DeMiguel, Y Plyakha, R Uppal, G Vilkov
Journal of Financial and Quantitative Analysis 48 (6), 1813-1845, 2013
2382013
A stochastic multiple leader Stackelberg model: analysis, computation, and application
V DeMiguel, H Xu
Operations Research 57 (5), 1220-1235, 2009
1882009
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
V DeMiguel, FJ Nogales, R Uppal
The Review of Financial Studies 27 (4), 1031--1073, 2014
1612014
A Transaction-Cost Perspective on the Multitude of Firm Characteristics
V DeMiguel, A Martin-Utrera, FJ Nogales, R Uppal
The Review of Financial Studies 33 (5), 2180-2222, 2020
145*2020
Size matters: Optimal calibration of shrinkage estimators for portfolio selection
V DeMiguel, A Martin-Utrera, FJ Nogales
Journal of Banking & Finance 37 (8), 3018-3034, 2013
1452013
A two-sided relaxation scheme for mathematical programs with equilibrium constraints
V DeMiguel, MP Friedlander, FJ Nogales, S Scholtes
SIAM Journal on Optimization 16 (2), 587-609, 2005
129*2005
Supply chain competition with multiple manufacturers and retailers
E Adida, V DeMiguel
Operations Research 59 (1), 156-172, 2010
1232010
An analysis of collaborative optimization methods
AV DeMiguel, W Murray
8th symposium on multidisciplinary analysis and optimization, 4720, 2000
1222000
A local convergence analysis of bilevel decomposition algorithms
V DeMiguel, W Murray
Optimization and Engineering 7 (2), 99-133, 2006
822006
Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
V DeMiguel, R Uppal
Management Science 51 (2), 277-290, 2005
812005
Multiperiod portfolio optimization with multiple risky assets and general transaction costs
V DeMiguel, X Mei, FJ Nogales
Journal of Banking and Finance 69, 108--120, 2016
64*2016
Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization
AV Olivares-Nadal, V DeMiguel
Operations Research 66 (3), 733--739, 2018
552018
Parameter uncertainty in multiperiod portfolio optimization with transaction costs
V Miguel, A Martín Utrera, FJ Nogales
Journal of Financial and Quantitative Analysis 50 (6), 1443-1471, 2015
482015
Two decomposition algorithms for nonconvex optimization problems with global variables
AV De Miguel
Stanford University, 2001
482001
Wholesale Price Contracts for Reliable Supply
W Hwang, N Bakshi, V DeMiguel
Production and Operations Management 27 (6), 1021--1037, 2018
39*2018
Supplier Capacity and Intermediary Profits: Can Less Be More?
E Adida, N Bakshi, V DeMiguel
Production and Operations Management 25 (4), 630-646, 2016
31*2016
What multistage stochastic programming can do for network revenue management
V DeMiguel, N Mishra
Working paper, London Business School, 2006 and Optimization Online URL …, 2006
27*2006
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