Items where Author is "DeMiguel, V"

Article

DeMiguel, V, Martin-Utrera, A and Uppal, R (2024) A Multifactor Perspective on Volatility-Managed Portfolios. Journal of Finance, 79 (6). pp. 3679-4355. ISSN 0022-1082

De-Miguel Campos, V, Martin-Utrera, A and Uppal, R (2024) Can competition increase profits in factor investing? Management Science. ISSN 0025-1909 (In Press)

Li, S, DeMiguel, V and Martin-Utrera, A (2024) Comparing Factor Models with Price-Impact Costs. Journal of Financial Economics. ISSN 0304-405X (In Press)

DeMiguel, V, Gil-Bazo, J, Nogales, F J and Santos, A A P (2023) Machine Learning and Fund Characteristics Help to Select Mutual Funds with Positive Alpha. Journal of Financial Economics, 150 (3). p. 103737. ISSN 0304-405X

Lassance, N, DeMiguel, V and Vrins, F (2022) Optimal portfolio diversification via independent component analysis. Operations Research, 70 (1). pp. 55-72. ISSN 0030-364X

Cho, S-H, DeMiguel, V and Hwang, W (2021) Cover-up of vehicle defects: the role of regulator investigation announcements. Management Science, 67 (6). pp. 3834-3852. ISSN 0025-1909

DeMiguel, V, Martin-Utrera, A, Nogales, F J and Uppal, R (2020) A Transaction-Cost Perspective on the Multitude of Firm Characteristics. Review of Financial Studies, 33 (5). pp. 2180-2222. ISSN 0893-9454

Hwang, W, Bakshi, N and DeMiguel, V (2018) Wholesale price contracts for reliable supply. Production and Operations Management, 27 (6). pp. 1021-1037. ISSN 1059-1478

Olivares-Nadal, A V and DeMiguel, V (2018) Technical note: a robust perspective on transaction costs in portfolio optimization. Operations Research, 66 (3). pp. 733-739. ISSN 0030-364X

Mei, X, DeMiguel, V and Nogales, F J (2016) Multiperiod portfolio optimization with multiple risky assets and general transaction costs. Journal of Banking and Finance, 69 (August). pp. 108-120. ISSN 0378-4266

DeMiguel, V, Adida, E and Bakshi, N (2016) Supplier capacity and intermediary profits: Can less be more? Production and Operations Management, 25 (4). pp. 630-646. ISSN 1059-1478

DeMiguel, V, Martín-Utrera, A and Nogales, F J (2015) Parameter uncertainty in multiperiod portfolio optimization with transaction costs. Journal of Financial and Quantitative Analysis, 50 (06). pp. 1443-1471. ISSN 0022-1090

DeMiguel, V, Nogales, F J and Uppal, R (2014) Stock Return Serial Dependence and Out-of-Sample Portfolio Performance. Review of Financial Studies, 27 (4). pp. 1031-1073. ISSN 0893-9454

DeMiguel, V and Adida, E (2011) Supply chain competition with multiple manufacturers and retailers. Operations Research, 59 (1). pp. 156-172. ISSN 0030-364X

DeMiguel, V and Xu, H (2009) A stochastic multiple-leader Stackelberg Model: analysis, computation, and application. Operations Research, 57 (5). pp. 1220-1235. ISSN 0030-364X

DeMiguel, V, Uppal, R and Garlappi, L (2009) Optimal versus naive diversification: how inefficient is the 1/N portfolio strategy? Review of Financial Studies, 22 (5). pp. 1915-1953. ISSN 0893-9454

DeMiguel, V, Garlappi, L, Nogales, F J and Uppal, R (2009) A generalized approach to portfolio optimization: improving performance by constraining portfolio norms. Management Science, 55 (5). pp. 798-812. ISSN 0025-1909

Monograph

DeMiguel, V and Mishra, N (2006) What multistage stochastic programming can do for network revenue management. Working Paper. London Business School Decision Sciences Working Paper.